ESMA launches bond liquidity system under MIFID II
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ESMA launches bond liquidity system under MIFID II 02 May 2018Paris Reporter: Jenna Lomax
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The European Securities and Markets Authority (ESMA) has published its first liquidity assessment for bonds subject to the pre- and post-trade requirements of the second Markets in Financial Instruments Directive (MiFID II) and Regulation (MiFIR).
ESMA’s assessment of the European bond market for Q1 2018 found 220 bonds (out of 71,000 for which the assessment was executed) to be “sufficiently liquid” to be subject to MiFID II’s real-time transparency requirements.
The full list of liquid bonds is available through ESMA’s Financial Instruments Transparency System (FITRS).
The ESMA liquidity assessment for bonds is based on a quarterly assessment of quantitative liquidity criteria, such as the daily average trading activity (trades and notional amounts) and number of days traded per quarter.
The quality of ESMA’s assessment depends on the data submitted to ESMA, the data received so far, for Q1 2018, is not fully complete for most instruments, according to the authority.
These data completeness and quality issues result in a lower number of liquid instruments identified compared to ESMA’s earlier transitional transparency calculations.
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