ESMA Will Not Perform November SI Bond Calculations

ESMA Will Not Perform November SI Bond Calculations

The European Securities and Markets Authority (ESMA), EU’s financial markets regulator and supervisor, will exceptionally make available only the SI regime calculations for equity, equity-like and non-equity instruments by 1 November.

ESMA will not publish the November results of the quarterly assessment of bond liquidity and the systematic internaliser (SI) regime data for bonds due to data quality issues. ESMA is following up to ensure a prompt resolution of the issue ahead of the next publication in February 2023.

Quarterly bond liquidity assessment

Due to data quality issues detected in the reported data of an approved publication arrangement (APA) affecting potentially a material number of bonds, ESMA will not publish the quarterly liquidity determination for bonds on 1 November 2022. ESMA will maintain the ongoing publication of the liquidity status of newly issued bonds.

In consequence, and in line with Q&A 10 of section 4 of the MiFID II transparency Q&As, all bonds for which no liquidity assessment has been published, should be deemed illiquid as from 16 November 2022 until the application of the next liquidity assessment. ESMA will resume the publications as of 1 February 2023 covering data from 1 October to 31 December 2022.

Systematic Internaliser: Regime for bonds

ESMA is voluntarily publishing every quarter, by the first calendar day of February, May, August and November, the denominators to be used for the performance of the SI test, i.e. the total number of transactions and total turnover executed in the financial instrument/class of financial instruments in the EU.

However, due to above mentioned data quality issue, ESMA will not perform the publication of the SI calculations for bonds on 1 November 2022.

In consequence, investment firms will not need to perform the SI-test for bonds until ESMA publishes the results of the next SI-calculations on 1 February 2023, and the mandatory SI regime will not apply from 15 November 2022 to 14 February 2023. Nevertheless, investment firms can continue to opt into the SI-regime for all financial instruments.

The SI-calculations will be resumed at the next regular publication date, i.e. on 1 February 2023 based on an observation period from 1 July to 31 December 2022, and investment firms will be required to perform the SI determination by 15 February 2023.

ESMA reminds reporting entities of their obligations to continue reporting transparency data also in the absence of the November publications in order to ensure that the transparency data covers trading activity necessary for the next publications.

Systematic Internaliser: Regime for equity, equity-like instruments and non-equity instruments other than bonds

The publication of the SI-data for equity, equity-like instruments and non-equity instruments other than bonds will not be affected, and will be made available by 1 November, as planned. Therefore, investment firms are required to perform the SI test for those asset classes and comply with the related obligations by 15 November 2022.

Trading venues with the highest turnover for bonds – for CSDR cash penalties calculation

The publication for the purpose of the calculation of cash penalties, that includes information on the trading venue that recorded the highest volume traded for each bond instrument, will be made available by 1 November, as planned. Given that computations are based on trading venue data only, this publication is not affected by the above mentioned quality issues detected in the reporting of the APA.

Source: ESMA

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