The European Securities and Markets Authority (ESMA) has made new data around bonds available through its data register to support MiFID II and MiFIR compliance.
ESMA has made available the third quarterly liquidity assessment for bonds which are trading on EU trading venues from the as of December 2018.
During Q1 2019, there are currently 987 liquid bonds that are subject to MiFID II transparency requirements. This figure has increased due to a higher lever of data completeness which is driven by better data reporting by systematic internalisers.
The liquidity assessment for bonds is based on a quarterly assessment of quantitative liquidity criteria. This includes the daily average trading activity and percentage of days traded per quarter.
A full list of the assessed bonds is available through FITRS in the XML files.
Post-trade, MiFID II requires real-time publication of the price and quantity of trades in liquid bonds, the regulator said. Publication of this can be slowed if the instrument does not have a liquid market or the transaction is above a large-in-scale threshold.
To help firms understand if a bond should be considered as liquid, it releases these quarterly reports.
Following the release of this information, a transparency requirement for bonds will take effect from 16 May 2019 to 15 August 2019.
Earlier in the week, ESMA stated it would be postponing the release of its systematic internaliser (SI) regime data for equity, equity-like instruments and bonds due to a technical issue. It stated that the data around equity, equity-like instruments and bonds by the end of next week.
Information for SI calculations of derivatives have a longer setback but will be released by 2020 at the latest.
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