Tue. Jan 31st, 2023

28 October 2022

The European Securities and Markets Authority (ESMA), the EU’s financial markets regulator and supervisor, has today published the data for the systematic internaliser quarterly calculations for equity, equity-like instruments and non-equity instruments other than bonds under MiFID II and MiFIR.

According to Article 4(1)(20) of Directive 2014/65/EU (MiFID II) investment firms dealing on own account when executing client orders over the counter (OTC) on an organised, frequent, systematic and substantial basis are subject to the mandatory systematic internaliser (SI) regime.

Data for the systematic internaliser quarterly calculations

The data covers the total number of trades and total volume over the period 1 April 2022 to 30 September 2022 for the purpose of the systematic internaliser (SI) calculations under MiFID II for:

  • 25,132 equity and equity-like instruments;
  • 5,868 sub-classes of derivatives (including equity derivatives, interest rate derivatives, commodity derivatives, emission allowance); and
  • bonds: not published – due to quality issues (announced on 19 October 2022).

Investment firms are required to perform the SI test by 15 November 2022.

The data is made available through FITRS in the XML files with publication date 1 November 2022 (here).

The results for equity and equity-like instruments are published only for instruments for which trading venues submitted data for at least 95% of all trading days over the 6-month observation period. The data publications also incorporate OTC trading to the extent it has been reported to ESMA. The publication includes data for instruments traded or available for trading during the reference period considered.

Bonds quarterly liquidity assessment

Due to data quality issues, ESMA is not publishing today the quarterly assessment of bond liquidity and the SI regime data for bonds. This was announced on 19 October 2022.

Source – ESMA

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