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This week, we investigate ESMA's recently launched supplementary deferrals. To briefly recap, following the FCA’s transparency changes on 1 December 2025, ESMA launched its new regime on 2 March this year. ESMA also announced further changes effective from 4 May, relating specifically to the supplementary deferrals.
Within the transparency framework, there is a provision for National Competent Authorities (more commonly known as regulators) to apply additional deferrals on bonds issued by their own member states, for a maximum period of up to six months1.
As mentioned in Propellant Insights Issue 23, the proposal was for the volume on Liquid Group 1 sovereign transactions greater than or equal to EUR 15 MM and less than EUR 50 MM to be deferred until EOD (rather than be after 15 minutes, when the price is disclosed).
This has now come into effect and a summary of these rules is shown in Figure 1 below:
Firstly, we are going to look at the split by deferral type across Liquid Group 1 Sovereign bonds. As a reminder, the criteria are as follows:
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Chart 1 shows that real-time reporting makes up the bulk of the volume, with nearly 40% of activity now being reported almost instantly. Furthermore, the category of greatest interest - Medium Liquid - represents almost 20% of the volume.
As previously mentioned, this category applies to transactions greater than or equal to EUR 15 MM and less than EUR 50 MM. Until Monday, both price and size were deferred for just 15 minutes.
Now, however, trade size will be deferred until the end of the day. More eagle-eyed readers may also notice that the illiquid flags also feature, which may seem counterintuitive, given that the analysis only covers liquid bonds.
In theory, this should not occur. However, the most likely explanation is that different reporting venues use different reference data and may therefore classify bonds slightly differently.
Chart 2 shows the split by intended deferral time, but this time with a further breakdown based on the actual deferral time applied.
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It is clear that, for the most part, the deferral times are being adhered too.
Most trades (over 90%) intended to be disseminated in real-time are published in 15 minutes or less. For the longer deferral categories (Large and Very Large), almost 100% are reported as intended.
Whilst the majority of trades within the Medium category are published within 15 minutes (as intended), a small percentage are booked late (e.g. within the hour) or even later that day. This could suggest that some were potentially adhering to the supplementary deferral rules before the formal start date.
As with chart 1, there is a small amount of activity reported under the illiquid flags, which is again likely to be caused by differences in the reference data sets used by trading and reporting venues.
This time, we look at the first week under the new rules, through the same lens. It is important to note that there will be no very large trades in this data as they will have been deferred (and the large trades would typically have their volume omitted).
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In Chart 3 above, the real-time behaviour is as expected. However, moving across to the next few categories presents something more interesting.
As before, the Medium Illiquid category can be disregarded, as it is out of scope of this analysis (and likely caused by the aforementioned reference data discrepancies).
The new FULO flag (indicated above as ‘Full Details’) so far shows fairly limited volume, whereas the vast majority of activity under Medium Liquid is now reported at EOD (around 17:00 UTC). This strongly suggests market participants are adhering to the new rules, but using the Medium Liquid Deferral flag instead of the the intended OMIS/FULU flags for supplementary deferrals.
One final point of note; with the introduction of the new rules, liquid bonds with longer than 10 years to maturity would fall into the Group 2 category, where no supplementary deferrals apply.
The liquidity threshold for Group 2 is only EUR 1 billion equivalent (as opposed to EUR 5 billion for Group 1). This means a 30-year bond for a liquid sovereign issuer would print (with volume) in 15 minutes, whilst a trade report on the (typically more liquid) 10-year bond would only show the price after 15 minutes, with the volume showing at EOD.
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