Aggregated News From Investment Management Regulators

ESMA publishes updated annual transparency calculations


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The European Securities and Markets Authority (ESMA), the EU’s securities markets regulator, made available the updated results of the annual transparency calculations for a limited number of equity and equity-like instruments.

These updated annual transparency calculations will apply as of 13 July and include:

  • the liquidity assessment as per Articles 1 to 5 of CDR 2017/567;
  • the determination of the most relevant market in terms of liquidity (MRM) as per Article 4 of CDR 2017/587 (RTS 1);
  • the determination of the average daily turnover (ADT) relevant for the determination of the pre-trade and post-trade large in scale (LIS) thresholds;
  • the determination of the average value of the transactions (AVT) and the related the standard market size (SMS);
  • the determination of the average daily number of transactions on the most relevant market in terms of liquidity relevant for the determination of the tick-size regime.

The update of the results for around 7,500 ISINs was necessary because ESMA identified a data quality issue with the data reported by a trading venue.

In this new publication there are 957 liquid shares and 617 liquid equity-like instruments other than shares, subject to MiFID II/MiFIR transparency requirements.

The full list of assessed equity and equity-like instruments is available through ESMA’s Financial Instruments Transparency System (FITRS) in the XML files with publication date of 6 July 2020 here and through the Register web interface here.

Market participants are invited to monitor the release of the transparency calculations for equity and equity-like instruments on a daily basis, to obtain the calculations for newly traded instruments.

ESMA’s annual transparency calculations are based on the data provided to the FITRS by trading venues and approved publication arrangements in relation to the calendar year 2019.


MiFID II/MiFIR became applicable on 3 January 2018 introducing, amongst others, pre-trade and post-trade transparency requirements for equity and non-equity instruments.

Pre-trade transparency requirements may be waived for transactions, whose size is above large-in-scale thresholds (LIS), and systematic internalisers (SIs) have pre-trade transparency obligations for instruments traded on a traded venue which are liquid and when dealing with orders up to the standard market size (SMS).

The publication of post-trade information can be deferred for transactions whose size is above large-in-scale thresholds (LIS).

MiFID II/MiFIR introduce the tick-size regime to orders in shares, depositary receipts based on the average daily number of transactions in the most relevant market in terms of liquidity and to orders in exchange-traded funds (ETFs) on the basis of their price.

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Regulator Information

Abbreviation: ESMA
Jurisdiction: ESMA

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