EUROPEAN UNION: ESMA Makes New Bond Liquidity Data Available

Friday August 2 2019

On 2^nd August 2019, the European Securities and Markets Authority (ESMA) started 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.

ESMA has started to make available the latest quarterly liquidity assessment for bonds available for trading on EU trading venues. For this period, there are currently 594 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 1 August 2019 (link available here) and through the Register web interface.

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

Background

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.

Next steps

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

Click on the above link for further information.