ESMA publishes data for quarterly bond liquidity assessment, the systematic internaliser calculations and the CTP calculations

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ESMA Publishes Quarterly Liquidity Assessment of Bonds and Systematic Internalizer Calculations

The European Securities and Markets Authority (ESMA) has published its quarterly liquidity assessment of bonds, systematic internalizer calculations for various instruments, and consolidated tape provider data under MiFID II and MiFIR. Key highlights include:

1,374 liquid bonds are subject to MiFID II transparency requirements
ESMA's liquidity assessment for bonds is based on quarterly quantitative criteria, including daily trading activity and percentage of days traded
The full list of assessed bonds is available through the Financial Instruments Transparency System (FITRS)
Data for systematic internalizer calculations covers the period July 2023 to December 2023
* Investment firms are required to perform the SI test by February 15, 2024

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