On 1 August 2022, the European Securities and Markets Authority (ESMA) published the new quarterly liquidity assessment for bonds as well as the data for the systemic internaliser (SI) quarterly calculations for equity, equity-like instruments and bonds under MiFID II and MiFIR.

Bond quarterly liquidity assessment

 The 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.

The full list of bonds will be available through FITRS in the XML files with a publication date from 1 August 2022 (see here) and through the Register web interface (see here).

The transparency requirements for bonds deemed liquid today will apply from 16 August 2022 to 15 November 2022.

Data for the systemic internaliser quarterly calculations

 The data covers the total number of trades and total volume over the period 1 January 2022 to 30 June 2022 for the purpose of the SI calculations under MiFID II for:

  • 24,552 equity and equity-like instruments; and
  • 128,876 bonds.

Investment firms are required to perform the SI test by 15 August 2022.

The data is made available through:

As announced on 28 June 2022, due to operational constraints, the ESMA is not publishing the SI regime data for non-equity instruments other than bonds at this time. The non-publication of this data means the mandatory SI regime will not apply from 15 August to 14 November, and investment firms will not need to perform the SI-tests for non-equity instruments other than bonds. However, investment firms can continue to opt into the SI-regime in the interim period. The SI-calculations for non-equity instruments other than bonds will resume on 1 November 2022.