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    ESMA Updates Bond Liquidity Data Under MiFID II/MiFIR

    October 31, 2018

    ESMA issued 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 third quarterly liquidity assessment for bonds available for trading on EU trading venues at the end of October. For this period, 470 liquid bonds are subject to the MiFID II transparency requirements. The transparency requirements for bonds deemed liquid today will apply from November 16, 2018 to February 15, 2019. The next quarterly assessment, to be published on February 01, 2019, will become applicable from February 16, 2019. In addition, ESMA published the completeness indicators related to bond liquidity data.

    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. The full list of assessed bonds will be available through Financial Instruments Transparency System (FITRS) of ESMA in the XML files, with publication date from October 31, 2018. 

     

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    Keywords: Europe, EU, Securities, Bonds, MiFID/MiFIR, FITRS, Bond Liquidity, Post-trade Transparency, ESMA

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