MiFID - Secondary Markets

The European Securities and Markets Authority (ESMA) has published today data for the systematic internaliser calculations for equity, equity-like instruments and bonds under the Markets in Financial Instruments Directive (MiFID II) and Regulation (MiFIR).

As announced on 30 October 2019, ESMA has published the total number of trades and total volume over the period April-September 2019 for the purpose of the systematic internaliser (SI) calculations for 22,015 equity and equity-like instruments and for 334,610 bonds.

The results are published only for instruments for which trading venues submitted data for at least 95% of all trading days over the 6-month observation period. The data publications also incorporate OTC trading to the extent it has been reported to ESMA. The publication includes data also for instruments which are no longer available for trading on EU trading venues at the end of December.

The publication of the data for the SI calculations for derivatives and other instruments has been delayed until 2020 at the latest, as set out in the updated plan announced by ESMA on 30 January 2019. The SI-assessment for those asset classes does not need to be performed until 2020 at the latest.


According to Article 4(1)(20) of Directive 2014/65/EU (MiFID II) investment firms dealing on own account when executing client orders over the counter (OTC) on an organised, frequent systematic and substantial basis are subject to the mandatory SI regime.

Commission Delegated Regulation (EU) No 2017/565 specifies thresholds determining what constitutes frequent, systematic and substantial OTC trading. In particular, investment firms are required to assess whether they are SIs in a specific instrument (for equity and equity-like instruments, bonds, ETCs and ETNs and SFPs) or for a (sub-) class of instruments (for derivatives, securitised derivatives and emission allowances) on a quarterly basis based on data from the previous six months. For each specific instrument/sub-class, an investment firm is required to compare the trading it undertakes on its own account compared to the total volume and number of transactions executed in the European Union (EU). If the investment firm exceeds the relative thresholds it will be deemed an SI and will have to fulfil the SI-specific obligations. ESMA, upon request of market participants and on a voluntary basis, decided to compute the total volume and number of transactions executed in the EU in order to help market participants in the performance of the test since that data is essential for the operation of the SI regime and is not otherwise easily available.

The European Securities and Markets Authority (ESMA) has started today to make available new data for bonds subject to the pre- and post-trade requirements of the Markets in Financial Instruments Directive (MiFID II) and Regulation (MiFIR) through its data register.

As announced on 30 October 2019, ESMA has started today to make available the latest quarterly liquidity assessment for bonds available for trading on EU trading venues. For this period, there are currently 611 liquid bonds subject to MiFID II transparency requirements.

ESMA’s liquidity assessment for bonds is based on a quarterly assessment of quantitative liquidity criteria, which include the daily average trading activity (trades and notional amount) and percentage of days traded per quarter. ESMA updates the bond market liquidity assessments quarterly. However, additional data and corrections submitted to ESMA may result in further updates within each quarter, published in ESMA’s Financial Instruments Transparency System (FITRS), which shall be applicable the day following publication. 

The full list of assessed bonds will be available through FITRS in the XML files with publication date from 8 November 2019 (link available here) and through the Register web interface (link available here).

As communicated on 27 September 2018, ESMA is also publishing two completeness indicators related to bond liquidity data.


MiFID II became applicable on 3 January 2018 introducing, amongst others, pre- and post-trade transparency requirements for equity and non-equity instruments, including for bonds. Post-trade, MiFID II requires real-time publication of the price and quantity of trades in liquid bonds. It is possible to defer the publication of post-trade reports if the instrument does not have a liquid market, or if the transaction size is above large-in-scale thresholds (LIS), or above a size specific to the instrument (SSTI). In order to assist market participants to know whether a bond should be considered as liquid or not, ESMA publishes these quarterly liquidity assessments for bonds.

Next steps

The transparency requirements for bonds deemed liquid today will apply from 16 November 2019 to 15 February 2020. 

The European Securities and Markets Authority (ESMA) has updated today its public register with the latest set of double volume cap (DVC) data under the Markets in Financial Instruments Directive (MiFID II).

Today’s updates include DVC data and calculations for the period 1 October 2018 to 30 September 2019 as well as updates to already published DVC periods.

The number of new breaches is 62: 51 equities for the 8% cap, applicable to all trading venues, and 11 equities for the 4% cap, that applies to individual trading venues. Trading under the waivers for all new instruments in breach of the DVC thresholds should be suspended from 14 November 2019 to 13 May 2020. The instruments for which caps already existed from previous periods will continue to be suspended.

In addition, ESMA highlights that none of the previously identified breaches of the caps proved to be incorrect thus no previously identified suspensions of trading under the waivers had to be lifted.

As of 8 November 2019, there is a total of 385 instruments suspended.

Please be aware that ESMA does not update DVC files older than 6 months.


MiFID II introduced the DVC to limit the amount of dark trading in equities allowed under the reference price waiver and the negotiated transaction waiver. The DVC is calculated per instrument (ISIN) based on the rolling average of trading in that instrument over the last 12 months.

The European Securities and Markets Authority (ESMA) has today launched a Consultation Paper on position limits and position management in commodity derivatives. 

ESMA launches this consultation paper in the context of the review it is obliged to perform under MiFID II, together with the European Commission (EC), on the impact of position limits on liquidity, market abuse and orderly pricing and settlement conditions in commodity derivative markets and is seeking stakeholders’ views on some proposed amendments to the legal framework.

Building on the responses received to the call for evidence published in May 2019, the consultation paper analyses the impact of position limits on market abuse and orderly pricing and settlement as well as the impact the position limit regime may have had on less liquid commodity derivative contracts. The consultation paper is also seeking stakeholders’ views on some proposed changes to the legal framework aiming in particular at limiting the scope of commodity derivatives subject to position limits to key contracts, introducing a limited position limit exemption for financial counterparties and enhancing convergence in the implementation of position management regimes by trading venues.

In a second part, the consultation paper is seeking stakeholders’ views on an amendment to the quantitative thresholds that trigger publication of weekly position reports by trading venues so that more transparency is available for commodity derivative contracts traded in the EU27.

Next steps and timeline

Stakeholders are invited to provide feedback by 8 January 2020. ESMA will consider the feedback received in drafting its final report to the EC on the impact of position limits and position management controls on commodity derivatives markets and in finalising the technical advice on weekly position reports. ESMA intends to complete those two workstreams by the end of March 2020.

Consultation on MiFID II review report on position limits and position management - draft Technical Advice on weekly

Responding to this paper

ESMA invites comments on all matters in this paper and in particular on the specific questions summarised in Annex 1. Comments are most helpful if they:

  1. respond to the question stated;
  2. indicate the specific question to which the comment relates;
  3. contain a clear rationale; and
  4. describe any alternatives ESMA should consider.

ESMA will consider all comments received by 8 January 2020.