On 8 April 2022, the European Securities and Markets Authority (ESMA) made available additional results of the annual transparency calculations for equity and equity-like instruments. The ESMA previously communicated these calculations on 1 March and supplemented them on 31 March.
Calculations include the:
- liquidity assessment as per Articles 1 to 5 of Commission Delegated Regulation 2017/567;
- determination of the most relevant market in terms of liquidity as per Article 4 of Commission Delegated Regulation 2017/587;
- determination of the average daily turnover relevant for the determination of the pre-trade and post-trade large in scale thresholds;
- determination of the average value of the transactions and the related standard market size; and
- 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 transparency parameters now published should apply no later than 14 April.
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 estimated calculations for newly traded instruments and the four-weeks’ calculations applicable to newly traded instruments after the first six-weeks of trading; and
- refer to the ESMA’s Q&As on MiFID II and MiFIR transparency topics (section 3, question 3), for the temporary parameters to be applied in the case of one or more of the transparency parameters is not published.
The transparency requirements based on the additional results of the annual transparency calculations now published, for equity and equity-like instruments will apply from no later than 14 April 2022 until 31 March 2023. From 1 April 2023 the next annual transparency calculations for equity and equity-like instruments will become applicable.