On 23rd July 2020, the European Securities and Markets Authority (ESMA) published the MiFID/MiFIR Annual Review Report under Commission Delegated Regulation (EU) 2017/583 (RTS 2). This report lays down the thresholds for the liquidity criterion ‘average daily number of trades’ for bonds, as well as the trade percentiles.
In the report, ESMA is suggesting to the European Commission to move to the next stage for:
- the criterion ‘average daily number of trades’ used for the quarterly liquidity assessment of bonds; and
- the trade percentiles that determine the pre-trade sizes specific to the financial instrument for bonds.
These measures are designed to increase the transparency available to market participants in the bond market.
ESMA does not recommend moving to the next stage for the trade percentiles that determine the pre-trade sizes specific to the financial instrument for other non-equity financial instruments. ESMA considers such move premature since the first annual transparency calculation for these non-equity instruments will only be published this year.