The European Securities and Markets Authority (ESMA), the EU’s securities markets regulator, has today made available the results of the annual transparency calculations for non-equity instruments, which will apply from 15 September 2020. These calculations include the liquidity assessment and the determination of the pre- and post-trade size specific to the instruments and large in scale thresholds.
The results for the liquid sub-classes have been published in Excel format in the Annual transparency calculations for non-equity instruments register. The file does not contain the results for a number of asset-classes and sub-classes given the impossibility to correctly apply the segmentation criteria, as defined in Annex III of RTS 2 due to data quality problems or the absence of reporting standards for the applicable reference data. As a result, the transparency calculations for, among others, credit derivatives and options, futures and FRAs (forward rate agreements) on interest rates are not available.
ESMA will provide the annual transparency calculations for non-equity instruments at instrument (ISIN) basis, both liquid and illiquid ones, as of 14 September 2020. This information will be made available through the Financial Instruments Transparency System (FITRS) both by publishing XML files (here) and through the Register web interface (here).
Recommendations for market participants:
- Transitional transparency calculations (TTC) will no longer be applicable from 14 September 2020;
- Consult the guidance provided in Q&A 20 of Section 4 Non-equity transparency of the Questions and Answers on MiFID II and MiFIR transparency topics for the application of the annual transparency calculations for non-equity instruments (in particular, in relation to the order of application of the annual transparency calculations at ISIN level vs. at sub-class level); and
- Review the FIRDS Transparency System downloading instructions document to avoid any misinterpretation of the results.
The transparency requirements based on the results of the annual transparency calculations for non-equity instruments shall apply from 15 September 2020 until 31 May 2021. From 1 June 2021, the results of the next annual transparency calculations for non-equity instruments, to be published by 30 April 2021, will become applicable.