Post: Amended rules for transparency calculations to start applying on 5 June 2023

The European Securities and Markets Authority (ESMA), the EU’s financial markets regulator and supervisor, today informs stakeholders that the amended RTS 1 and RTS 2, under MiFIR, will start applying on 5 June 2023. Some of the amendments will have an impact on the transparency calculations for equity, equity-like and non-equity instruments.

Change of the LIS thresholds for ETFs
The pre-trade large in scale (LIS) threshold for ETF will change from €1,000,000 to €3,000,000 and the smallest post-trade LIS thresholds from €10,000,000 to €15,000,000.

The Financial Instruments Transparency System (FITRS) system provides in the results only the pre-trade LIS value since different thresholds are possible on the post-trade side. Therefore, the applicable thresholds under the annual calculations for ETFs will be corrected for this value on 5 June in the Register, in the delta XML files of 5 June and in the full XML files of 10 June (download here) for the annual calculations, the 4-weeks calculations and estimates. The other transparency parameters will not change.

Due to IT constraints, the publication of the new applicable value can only be done on the application date. Nevertheless, the new pre-trade and post-trade LIS thresholds should be applied from 5 June 2023 included.

Quarterly bond liquidity assessment and SI publication
The amended RTS 2 requires that publication should be ensured on the first Monday (of the respective publication month of February, May, August and November). Until further notice, ESMA will continue to publish the quarterly assessment on the first day of the respective publication month of February, May, August and November, thereby ensuring that the data is published at least two weeks ahead of the application date.

Consequently, the quarterly bond liquidity publication will continue to go hand in hand with the systematic internaliser (SI) publication. However, the application date will differ.

The text requires that the application date of the quarterly liquidity assessment of bonds should now be the third Monday of the respective publication month of February, May, August and November. The new application date will apply from the publication of the quarterly assessment on 1 August 2023.

The application dates for the SI test will not change. Therefore, the SI test should be performed by investment firms by the 15th of the respective publication month of February, May, August and November (more here).

Annual calculation for non-equity instruments – including LIS and size-specific to the instrument thresholds for bonds
The amended RTS 2 specifies the segmentation criteria to be used to define the classes of instruments for which the calculations have to be performed. The implementation of such provisions might require IT changes of FITRS and the provision of data by reporting entities should now be done accordingly. Therefore, ESMA plans to perform the first annual calculations with those amendments and the new application date under the amended RTS 2 (first Monday of June) by 30 April 2024.

Annual calculation for equity and equity-like financial instruments
ESMA will perform the first annual calculations with the new application date (first Monday of April) under the amended RTS 1 will by 1 March 2024.

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