The European Securities and Markets Authority (ESMA) has updated its interim transparency calculations (TTCs) for non-equity instruments under MiFID II.

On 3 July 2017, ESMA published the TTCs for all non-equity instruments except for bonds. The publication for bonds was delayed because ESMA detected a data quality problem in the data provided and requested re-submission of the information from trading venues.  ESMA has now set out the TTCs for bonds.

After the publication of the TTCs in July, some trading venues notified ESMA that they were having problems in their submitted data. Those problems affected the calculations for credit derivatives and equity derivatives. ESMA has therefore corrected and recalculated the TTCs for both asset classes accordingly.

ESMA states that it has performed the calculations with utmost care and to the best of its ability. However, it warns that given the scope and complexity of the calculations, including the various underlying data sources, further changes cannot be ruled out. Any future update will be published on ESMA’s website.

View ESMA updates FAQs on transitional transparency calculations under MiFID II, 11 September 2017