A total of 1,355 liquid bonds trading on EU trading venues are currently subject to MiFID II transparency requirements, according to the European Securities and Markets Authority’s (ESMA) quarterly liquidity assessment of bonds.
The transparency requirements will apply to these bonds from 19 August to 17 November 2024.
Figures for the assessment are calculated using quantitative liquidity criteria, including daily average trading activity and the percentage of days traded per quarter. Additional data or corrections submitted to the association over the quarter may result in updates to the figure, and will be published in ESMA’s Financial Instruments Transparency System (FITRS).
ESMA has also released data for its systematic internaliser quarterly calculations, providing the total volume and number of transactions executed in the EU. This is published to assist market participants in the execution of the systematic internaliser test, required under MiFID II.
Between 1 January and 30 June 2024, ESMA has included 25,177 equity and equity-like instruments, 144,441 bonds and 6,270 sub-classes of derivatives in the data.
Investment firms must complete the systematic internaliser test by 15 August.
Commenting on the release, Joseph Cordahi, investment management strategy director at financial technology firm NeoXam, said: “The quest for accurate pricing and valuations has long been a thorny issue in fixed income, often debated but seldom resolved with concrete solutions. ESMA’s latest bond liquidity assessment underscores this challenge, and highlights the continued need for precise and reliable information. As investors scrutinise performance more intensely than ever, the accuracy of end-of-day net asset valuations (NAV) provided by fund administrators is crucial. Portfolio managers must critically evaluate these valuations, especially given the complexities of various bond instruments.”
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