As announced on 6 March ESMA has today started to make available the updated annual transparency calculations for equity and equity-like instruments. Those calculations include:
- the liquidity assessment as per Articles 1 to 5 of CDR 2017/567;
- the determination of the most relevant market in terms of liquidity (MRM) as per Article 4 of CDR 2017/587 (RTS 1);
- the determination of the average daily turnover (ADT) relevant for the determination of the pre-trade and post-trade large in scale (LIS) thresholds;
- the determination of the average value of the transactions (AVT) and the related the standard market size (SMS); and,
- the determination of the average daily number of transactions on the most relevant market in terms of liquidity relevant for the determination of the tick-size regime.
The updated results of the annual transparency calculations for equity and equity-like instruments shall apply from 8 July 2019 until 31 March 2020, and they reflect:
- the adjustment of the average daily number of transactions (ADNTE) on the most relevant market (MRM) determining the tick-size regime for shares whose main pool of liquidity is in a third country in accordance with CDR 2019/443;
- late corrections of the underlying data used to perform the calculations by reporting entities. This is the data provided to Financial Instruments Transparency System (FITRS) by trading venues and approved publication arrangements (APAs) in relation to the calendar year 2018.
- the adjustment of the most relevant market (MRM) in accordance with CDR 2017/590.
In the updated results, there are 1,379 liquid shares and 370 liquid equity-like instruments other than shares, subject to MiFID II/MiFIR transparency requirements.
The full list of assessed equity and equity-like instruments will be available through ESMA’s Financial Instruments Transparency System (FITRS) in the XML files from 21 June 2019 (link available here) and through the Register web interface (link available here).
MiFID II/MiFIR became applicable on 3 January 2018 introducing, amongst others, pre-trade and post-trade transparency requirements for equity and non-equity instruments.
Pre-trade transparency requirements may be waived for transactions, whose size is above large-in-scale thresholds (LIS), and systematic internalisers (SIs) have pre-trade transparency obligations for instruments traded on a traded venue which are liquid and when dealing with orders up to the standard market size (SMS).
The publication of post-trade information can be deferred for transactions whose size is above large-in-scale thresholds (LIS).
MiFID II/MiFIR introduce the tick-size regime to orders in shares, depositary receipts based on the average daily number of transactions in the most relevant market in terms of liquidity and to orders in exchange-traded funds (ETFs) on the basis of their price.
From 1 April 2020, the next annual transparency calculations for equity and equity-like instruments to be published by 1 March 2020, will become applicable.