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Those calculations include:
- the liquidity assessment as per Articles 1 to 5 of CDR 2017/567;
- the determination of the most relevant market in terms of liquidity (MRM) as per Article 4 of CDR 2017/587 (RTS 1);
- the determination of the average daily turnover (ADT) relevant for the determination of the pre-trade and post-trade large in scale (LIS) thresholds;
- the determination of the average value of the transactions (AVT) and the related the standard market size (SMS);
- the determination of the average daily number of transactions on the most relevant market in terms of liquidity relevant for the determination of the tick-size regime.
Currently, there are 1,344 liquid shares and 389 liquid equity-like instruments other than shares, subject to MiFID II/MiFIR transparency requirements.
ESMA’s annual transparency calculations are based on the data provided to Financial Instruments Transparency System (FITRS) by trading venues and arranged publication arrangements (APAs) in relation to the calendar year 2018.
These calculations shall be applicable from 1 April 2019, until then the transitional transparency calculations continue to apply.
Please be aware that due to late data submissions by some reporting entities and adaptations necessary should the UK leave the Union on 29 March, under a no-deal scenario, ESMA will likely have to update the results after 29 March. ESMA will make the public aware of such updates sufficiently in advance. As detailed by ESMA in its public statement on the use of UK data in ESMA databases in case of a no-deal Brexit, the current publication might require amendments to the MRM in terms of liquidity. ESMA therefore intends to adjust the MRM for those instruments for which the March calculations determine a UK trading venue as the MRM. ESMA is planning to determine as the MRM the EU trading venue with the highest turnover in the EU as early as possible after Brexit. For newly issued instruments, the MRM will be changed to the EU trading venue where that instrument was first admitted to trading or first traded.