On 28 July 2021, the European Securities and Markets Authority (ESMA) published its latest MiFID II / MiFIR Annual Report under Commission Delegated Regulation (EU) 2017/583 (RTS 2).

The final report covers the mandate under Article 17 of RTS 2 whereby ESMA is required to analyse whether it is appropriate to move to the following stage in terms of transparency with regard to (i) the average daily number of trades threshold used for the quarterly liquidity assessment of bonds, and (ii) the trade percentile used for determining the pre-trade SSTI thresholds.

In the final report ESMA suggests to the European Commission to:

• Move to stage three for the average daily number of trades threshold used for the quarterly liquidity assessment of bonds.
• Move to stage three for the pre-trade size specific to the instrument threshold for bonds.
• Not to move to stage two for the pre-trade size specific to the instrument threshold for the other non-equity instruments – ESMA considered that the level of completeness and the quality of the data were still insufficient to perform the annual transparency calculations in 2020 for a number of instrument classes and therefore it was considered premature to move to the next stage.