ESMA unveils Q3 bond liquidity data from MiFID II requirements

The European Securities and Markets Authority has published new liquidity data on bonds subject to requirements in the Markets in Financial Instruments Directive.

The data includes the third quarter liquidity assessments for bonds available for trading to the end of December last year

MIFID II came into force in January this year and introduced pre- and post-trade transparency requirements for equity and non-equity instruments such as bonds. ESMA publishes this information on a quarterly basis, which it says assists market participants in discerning whether a bond is considered liquid or not.

Under the directive the price and quantity of trades in liquid bonds must be published post trade.

There were 987 liquid bonds subject to MiFID II transparency requirements in the first quarter of this year, according to ESMA data. The regulator said that the increase in the number of bonds is due to the higher level of data completeness driven by better data reporting.

The full list of assessed bonds has been published in XML files through the Financial Instruments Transparency System register and also on the register’s web interface.

The transparency requirements for bonds deemed liquid today will now apply from the 16th May to 15th August 2019.

The regulator has also published two completeness indicators related to bond liquidity data.

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