On 30 April 2024, the European Securities and Markets Authority (ESMA) published the results of the annual transparency calculations for non-equity instruments, bond liquidity data and quarterly systematic internaliser (SI) calculations under MiFID II and MiFIR.

Annual transparency calculations for non-equity instruments

The results of the annual transparency calculations for non-equity instruments will apply from 3 June 2024. The calculations include the liquidity assessment and the determination of the pre- and post-trade size specific to the instruments and large in scale thresholds.  

The results for the liquid and illiquid sub-classes will be published in XML format from 30 April 2024 (here) and related instructions on their download can be found in the Transparency System downloading instructions. The results at ISIN level will be available through the Financial Instruments Transparency System (FITRS) in the XML files also from 30 April 2024 (here) and through the Register web interface (here).  

Bonds quarterly liquidity assessment

For this period, there are currently 1,371 liquid bonds subject to MiFID II transparency requirements. The transparency requirements for bonds deemed liquid will apply from 20 May 2024 to 18 August 2024. 

The results at ISIN level are available through the FITRS in the XML files from 30 April 2024 (here) and through the Register web interface (here). 

ESMA is also publishing two completeness indicators related to bond liquidity data.  

Data for the SI quarterly calculations

The data covers the total number of trades and total volume over the period 1 October 2023 to 31 March 2024 and includes:  

  • 25,244 equity and equity-like instruments.  
  • 137,480 bonds.  
  • 6,530 sub-classes of derivatives (including equity derivatives, interest rate derivatives, commodity derivatives, emission allowance).

Investment firms are required to perform the SI test by 15 May 2024.  The data is made available through FITRS in the XML files from 30 April 2024.