ESMA publishes data for quarterly bond liquidity assessment, the systematic internaliser calculations and the CTP calculations

The European Securities and Markets Authority (ESMA), the EU’s financial markets regulator and supervisor, has today published the new quarterly liquidity assessment of bonds, the data for the quarterly systematic internaliser calculations for equity, equity-like instruments, bonds and for other non-equity instruments and the consolidated tape provider (CTP) under MiFID II and MiFIR.

Bonds quarterly liquidity assessment
ESMA has published the latest quarterly liquidity assessment for bonds available for trading on EU trading venues. For this period, there are currently 1374 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 includes the daily average trading activity (trades and notional amount) and the 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 is now available through FITRS in the XML files with publication date from 1 February 2024 (see here) and through the Register web interface (see here).

ESMA also publishes two completeness indicators related to bond liquidity data.

The result of this quarterly liquidity assessment will apply from 19 February 2024 to 19 May 2024. The application dates reflect the entry into force of the RTS 2 amendments (see the news item for more details).

Data for the systematic internaliser quarterly calculations
The data covers the total number of trades and total volume over the period 1 July 2023 to 31 December 2023 and includes:

25,261 equity and equity-like instruments;
131,505 bonds*; and
6,623 sub-classes of derivatives (including equity derivatives, interest rate derivatives, commodity derivatives, emission allowance).
Investment firms are required to perform the SI test by 15 February 2024.

The data is now available through FITRS in the XML files with publication date 1 February 2024.

The results for equity and equity-like instruments 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 for instruments traded or available for trading during the reference period considered.

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