On May 2, the European Securities and Markets Authority (ESMA) published its first liquidity assessment for bonds that are subject to the pre- and post-trade requirements of the revised Markets in Financial Instruments Directive (MiFID II) and the Markets in Financial Instruments Regulation.

Of the 71,000 bonds in the European bond market assessed for the first quarter of 2018, 220 were determined sufficiently liquid to be subject to MiFID II’s real-time transparency requirements. The criteria for assessing liquidity include the number of days traded per quarter and daily average trading activity (trades and notional amounts).

ESMA notes that the data received so far is not fully complete for the majority of instruments. As a result, ESMA has identified fewer liquid instruments than in its earlier transitional transparency calculations. It expects to correct and update this, on an ad hoc basis, as additional data and corrections are submitted.

In addition, a regular update to the bond market liquidity assessment will occur quarterly.

For ESMA’s press release, click here.

Details of the bonds calculated as exceeding the liquidity threshold can be found via ESMA’s Financial Instruments Transparency System, which is available here.