On 23 July 2020, the European Securities and Markets Authority (ESMA) published a MiFID II / MiFIR Annual Review Report under Commission Delegated Regulation (EU) 2017/583 (RTS 2). The report lays down the thresholds for the liquidity criterion ‘average daily number of trades’ for bonds, as well as the trade percentiles.
The 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 assessment of bonds, and (ii) the trade percentile used for determining the pre-trade size specific to the financial instrument thresholds. If the move is deemed appropriate, ESMA is required to submit amendments to RTS 2 to the European Commission adjusting the thresholds for the relevant parameters.
In the report, ESMA is suggesting to the European Commission to move to the next stage.
The report has been submitted to the Commission and the amendments to RTS 2 (set out in the report’s annex) are expected to be adopted and published in the Official Journal of the EU