The European Securities and Markets Authority (ESMA) publishes the new quarterly liquidity assessments for bonds in order to help market participants know whether they should consider a bond to be liquid or not. The news is presented on ESMA’s home page.
Counting the resting days
The assessment follows quantitative liquidity criteria, including daily average trading activity (trades and notional amount) and the percentage of days in each quarter in which units of the bond have been traded.
Data, and then correction updates, are published in ESMA’s Financial Instruments Transparency System (FITRS).