ESMA will start today to make available the third quarterly liquidity assessment for bonds available for trading on EU trading venues at the end of October. For this period, there are currently 470 liquid bonds subject to MiFID II transparency requirements.
ESMA’s liquidity assessment for bonds is based on a quarterly assessment of quantitative liquidity criteria, which include the daily average trading activity (trades and notional amount) and percentage of days traded per quarter. ESMA updates the bond market liquidity assessments quarterly. However, additional data and corrections submitted to ESMA may result in further updates within each quarter, published in FITRS (which shall be applicable the day following publication).
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