MiFID II: ESMA makes new bond liquidity data available

08 August 2018

ESMA made available new data for bonds subject to the pre- and post-trade requirements of the Markets in Financial Instruments Directive and Regulation through its data register.

ESMA has started, since July 30, to make available the second quarterly liquidity assessment for bonds. For this period, there are currently 466 liquid bonds subject to MiFID II transparency requirements. However, this assessment, which is dependent on the data submitted to ESMA, experienced data quality issues. 

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 will update its bond market liquidity assessments quarterly. However, additional data and corrections submitted to ESMA may result in further updates within each quarter, published in FITRS. 

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