Double Volume Cap Mechanism

(*) The DVC Results Files in excel format are no longer published since 5 August 2022. The XML files are available here.

Since 5 August 2022, the DVC Results Files in excel are no longer published and are available only through the DVC IT system (Double Volume Cap Public Files) in the XML files (link available here). With each new following  publication, in accordance with the usual practice, the new results as well as the updated versions of the DVC Results Files of the five previously published reporting periods become available in the system. Indeed, DVC Results Files older than 6 months are not updated.

Updated versions of the DVC Results Files are published because additional data was received in the meantime by trading venues. This additional data might result in more instruments having sufficiently complete data available for publication, but also previously published records being corrected. Corrections can lead to (a) new breaches or (b) previously identified breaches of the 8% and 4% caps proving to be incorrect, thus leading to the revocation of the suspension.

The suspension file continues to be provided in excel.

Total number of ISINs suspended: 231 (192 at EU Level and 39 at TV level)
New suspensions identified: 48 (37 at EU Level and 11 at TV level). This includes:

• 0 ISINs for which the suspension level changed from TV level to EU level; 
• 0 ISINs for which the suspension level changed from EU level to TV level; and
• 0 ISINs for which the suspension level changed from TV level to TV level. 

Suspensions to be revoked: 1.

Please read the “Explanatory note” in the DVC Suspension File on how to identify all cases. 

ESMA also wishes to highlight that pending further notice it does not publish the mid-month reports foreseen in case an instrument exceeds 3.75% of trading under the waivers on a single venue or 7.75% on all venues combined. 

The DVC completeness indicators file includes for all trading venues which reported DVC data two completeness indicators: (i) the completeness ratio and (ii) the completeness shortfall. Since February 2019, these indicators are calculated on the basis of the calendar year relevant for the DVC publication of the month (please refer to the explanatory note of the DVC completeness indicators file for further information). From the DVC publication of 7 August 2019 onward, the file includes a single list with the indicators for all equity and equity-like instruments, instead of two separate lists, one for liquid shares and one for non-liquid shares and other equity like instruments. The file is updated every month with the new results.

Both completeness indicators should be considered in order to assess the contribution of a trading venue. The completeness ratio indicates the percentage of reports provided divided by the number of reports expected irrespectively from the number of instruments available for trading on that trading venue. In other words, missing one or a few periods on a large number of instruments, or missing the same number of periods in one instrument only does not change the value of this indicator. This indicator is independent from the number of instruments available for trading on the venue. On the other hand, the completeness shortfall takes into account the number of incomplete ISINs for the trading venue. In other words, missing one or a few periods on a large number of instruments, increases the value of this indicator.

From February 2019 onwards, instruments are not present in the DVC system if the RCA-MIC of that instrument (as defined in FIRDS) has not provided the FITRS reference data for that instrument. This is due to changes to the FITRS system. As a result, completeness for these instruments is not reflected in the calculation of the indicators.

On 27 September 2018, ESMA announced details of two new data completeness indicators for trading venues detailing the delivery of double volume cap (DVC) and bond liquidity data. The two indicators – the Completeness Ratio and the Completeness Shortfall – will assist trading venues in delivering complete and accurate data on a timely basis, by providing performance information on the timeliness and completeness of their data provision.

ESMA publishes the information with utmost care and to the best of its ability on the basis of the data provided by trading venues and National Competent Authorities regarding equity, equity-like and bond instruments. Therefore, ESMA has to rely on the trading venues and National Competent Authorities in respect of the completeness and accuracy of the submitted data. In addition, delays in the provision of the relevant data may affect the completeness and accuracy of the published information.

The publication of the information on this website does not prejudice the results of verifications on the completeness and correctness of the transposition of EU law into national law.

These lists also contain data related to European Economic Area (EEA) / European Free Trade Association (EFTA) States based on the notifications received by ESMA, the publication of which does not affect the status of incorporation of relevant EU law into the EEA Agreement and any related legal consequences.