On 9 March 2021, the FCA published the annual transparency calculations for UK equity and equity-like financial instruments which take effect on 1 April 2021.
The calculations include the:
- Liquidity assessment.
- Determination of the most relevant market in terms of liquidity (MRM).
- Determination of the average daily turnover (ADT) relevant for the determination of the pre-trade and post-trade large in scale (LIS) thresholds.
- Determination of the average value of the transactions (AVT) and the related the standard market size (SMS).
- Determination of the average daily number of transactions (ADNTE) on the most relevant market in terms of liquidity relevant for the determination of the tick-size regime.
The FCA states that the published calculations reflect the approach set out in its December Supervisory Statement where the regulator said that until further notice it would regard the shares of EU issuers who have not sought admission to trading in the UK as illiquid and subject to the pre-trade and post-trade LIS thresholds associated with having ADT of under 50,000. However, the FCA adds that where there are discrepancies in the published results, the approach outlined in paragraph 27 of the Supervisory Statement should prevail.
The FCA also states that the annual calculations do not change what it said about tick sizes in paragraphs 54 and 55 of the Supervisory Statement. For EU shares, trading venues and systematic internalisers (SIs) can use the ADNTE figure published by the European Securities and Markets Authority to determine the tick size where it is larger than the published ADNTE.
The FCA has also published the SMS of equity instruments for the purposes of the pre-trade transparency regime for SIs. This differs from the approach set out in an earlier Statement of Policy because the FCA has the capability to publish calculations.