EUROPEAN UNION: ESMA Publishes Bond Liquidity Assessment

Wednesday May 2 2018

On 2^nd May 2018, the European Securities and Markets Authority (ESMA) published its first liquidity assessment for bonds subject to the pre- and post-trade requirements of the Markets in Financial Instruments Directive (MiFID II) and Regulation (MiFIR).

ESMA’s assessment of the European bond market for the first quarter of 2018 found  that 220 bonds (out of 71,000  for which the assessment was executed) to be sufficiently liquid to be subject to MiFID II’s real-time transparency requirements. The full list of liquid bonds is available through ESMA’s Financial Instruments Transparency System (FITRS).

The ESMA liquidity assessment for bonds is based on a quarterly assessment of quantitative liquidity criteria, such as the daily average trading activity (trades and notional amounts) and number of days traded per quarter.

The quality of ESMA’s assessment depends on the data submitted to ESMA: the data received so far, for 1^st quarter of 2018, is not fully complete for most instruments. These data completeness and quality issues result in a lower number of liquid instruments identified compared to ESMA’s earlier transitional transparency calculations.

For additional information please click the link above.