E.U. – ESMA MiFID Equity Transparency

E.U. – ESMA MiFID Equity Transparency

On 1 March 2019, ESMA issued results of equity/equity-like calculation.

  • Follows ESMA Feb. 2019 issued statement on data in no-deal Brexit.
  • Annual Calculations
  • Released annual transparency calculations, for equity and equity-like instruments.
  • Calculations include: the liquidity assessment, as per art. 1 to 5 of reg 2017/567.
  • Determination of most relevant market in terms of liquidity (MRM) as per art. 4 of reg 2017/587 (rts 1), determination of the average daily turnover (ADT) relevant for the determination of the pre-trade / post-trade large in scale (LIS) thresholds.
  • Determination of average value of transactions, and related standard market size.
  • And determination of the average daily transaction number, on the most relevant market, in terms of liquidity relevant for the determination of the tick-size regime.
  • There are 1,344 liquid shares/389 liquid equity-like instruments other than shares.
  • Transparency calculations are based on the data provided to financial instruments transparency system, by trading venues, and arranged publication arrangements.
  • Applicable from Apr. 1, 2018, until then transitional calculations continue to apply.
  • Mar. 30 Update
  • Be aware that due to late submissions by some reporting entities and adaptations necessary if UK leaves with no-deal ESMA have to update the results after Mar. 29.
  • As detailed in public statement on use of UK data in ESMA databases in case of no-deal Brexit current publication might require amends to MRM in terms of liquidity.
  • Will adjust MRM for instruments for which Mar. calculations determine a UK venue.
  • Plans to determine as MRM the EU trading venue with the highest turnover in the EU as early as possible after Brexit, for newly issued instruments, the MRM will be changed to EU trading venue where that instrument was first admitted to trading.
  • Full list of assessed equity and equity-like instruments will be available via ESMA’s FITRS in the XML files with date from Mar. 1, 2019, through register web interface.
  • Effectiveness
  • Requirements based on the results of the annual transparency calculations issued from Mar. 1 for equity/equity-like are to apply from Apr. 1, 2019, to Mar. 31, 2020.
  • From Apr. 1, 2020, next annual calculations to be issued by Mar. 1, 2020, to apply.
  • LIS, SSTI Thresholds
  • ESMA also delayed annual calculation of large in scale (LIS) and size specific to the instruments (SSTI) thresholds for bonds due to the IT system requiring more time.
  • The publication was originally planned for Mar. 1, in advance of the deadline of Apr. 30 provided by art. 13(17) of the EC delegated regulation (EU) 2017/583, (RTS 2).
  • ESMA aims to ensure that this publication will now take place later on in Mar. 2019.
  • Requirements based on results of the annual calculations of LIS or SSTI thresholds
    for bonds to be issued by Apr. 30, 2019, apply from Jun. 1, 2019, to May 31, 2020.
  • From Jun. 1, 2020, the results of the next annual calculations of the LIS and SSTI thresholds for bonds which will be issued by Apr. 30, 2020, will become applicable.