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

ESMA has published a press statement to announce the availability of
– the quarterly calculations for SIs of equity, equity-like instruments, bonds and for other non-equity instruments under MiFID II and MiFIR; and
– the quarterly liquidity assessment for bonds.
The quarterly calculations cover both the total number of trades and total volume. Corresponding SI tests must be performed by 15 November 2023. The calculations may be accessed via this link.
The quarterly liquidity assessment for bonds is based on „the daily average trading activity (trades and notional amount) and the percentage of days traded per quarter“ reported by trading venues. The full list of bonds may be accessed via this link.
To complement this data, ESMA has also published two „completeness indicators“ to signal the „completeness“ of the data transmitted by trading venues, which shall be considered when assessing the contribution of a trading venue. Transparency requirements for bonds currently deemed liquid will apply from 20 November 2023 to 18 February 2024, as these implementation dates reflect the effective dates of the amendments to RTS 2 (eventid=21511).