The calculations include:
- the liquidity assessment
- the determination of the most relevant market in terms of liquidity (MRM)
- 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 (ADNTE) on the most relevant market in terms of liquidity relevant for the determination of the tick-size regime
Based on our calculations, we assessed 497 shares and 341 equity-like instruments (a category that includes Exchange Traded Funds, depositary receipts and certificates) as having a liquid market.
In our December Supervisory Statement, we said that until further notice we would regard the shares of EU issuers who have not sought admission to trading in the UK as illiquid and subject to the pre-trade and post-trade LIS thresholds associated with having an ADT of under 50,000. The published calculations reflect this approach. However, in cases where there are discrepancies in the published results, the approach outlined in paragraph 27 of the Supervisory Statement should prevail.
The annual calculations do not change what we said about tick sizes in paragraphs 54 and 55 of our December 2020 Supervisory Statement. For EU shares, trading venues and Systematic Internalisers (SIs) can use the ADNTE figure published by the European Securities and Markets Authority (ESMA) to determine the tick size where it is larger than the published ADNTE.
We are publishing the SMS of equity instruments for the purposes of the pre-trade transparency regime for SIs. This differs from the approach set out in the Statements of Policy because the FCA now has the capability to publish calculations.
Market participants are expected to monitor the release of the transparency calculations for equity and equity-like instruments daily, to obtain the calculations for newly traded instruments.