Double Volume Cap Mechanism

The double volume cap mechanism (DVCM) (Article 5 of MiFIR) aims to limit the trading under the reference price waiver (Article 4(1)(a) of MiFIR) and the negotiated transaction waiver for liquid instruments (Article 4(1)(b)(i) of MiFIR) in an equity instrument.

In particular, ESMA shall publish regularly the results of the DVCM on its website in the Double Volume Cap Register. The DVC Results are available through the DVC IT system (Double Volume Cap Public Files) in the XML files, whereas the suspensions file can be found below.

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Suspensions file containing information on the ISINs for which suspensions are expected to be triggered/revoked

File Last update published
[LINK] 7 February 2024

 

This file includes consolidated information on the ISINs subject to a suspension.

Using the correct filters on this file (as explained in the explanatory text of the Suspensions File) allows to quickly identify:

  • All the ISINs that are subject to a suspension as of a given date;
  • The new suspensions expected to be triggered on a given date;
  • The suspensions that have to be revoked on a given date;
  • The history of suspensions for a given ISIN.

ESMA provides the Suspensions File only to facilitate the interpretation of the monthly DVC Results Files that ESMA has to publish in accordance with Article 8 of Commission Delegated Regulation (EU) 2017/577. In case a possible discrepancy is observed among both sets of files, users are asked to use the content of the DVC Results Files and inform ESMA on the issue.

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List of files containing DVCM data (*)

File 12-month period start 12-month period end Last update published
[LINK] 01 Jan 2017 31 Dec 2017 07 August 2018
[LINK] 01 Feb 2017 31 Jan 2018 07 August 2018
[LINK] 01 Mar 2017 28 Feb 2018 07 September 2018
[LINK] 01 Apr 2017 31 Mar 2018 08 October 2018
[LINK] 01 May 2017 30 Apr 2018 09 November 2018
[LINK] 01 Jun 2017 31 May 2018 07 December 2018
[LINK] 01 Jul 2017 30 Jun 2018 09 January 2019
[LINK] 01 Aug 2017  31 Jul 2018  15 February 2019 
[LINK] 01 Sep 2017  31 Aug 2018 7 March 2019 
[LINK] 01 Oct 2017  30 Sept 2018 7 March 2019 
[LINK] 01 Nov 2017  31 Oct 2018 8 May 2019 
[LINK] 01 Dec 2017  30 Nov 2018 7 June 2019 
[LINK] 01 Jan 2018  31 Dec 2018  5 July 2019
[LINK] 01 Feb 2018  31 Jan 2019  7 August 2019
[LINK] 01 Mar 2018 28 Feb 2019  6 September 2019
[LINK] 01 Apr 2018 31 Mar 2019 7 October 2019 
[LINK] 01 May 2018 31 Apr 2019 8 November 2019
[LINK] 01 Jun 2018 31 May 2019 6 December 2019
[LINK] 01 Jul 2018 30 Jun 2019 9 January 2020
[LINK] 01 Aug 2018 31 Jul 2019 7 February 2020
[LINK] 01 September 2018 ​31 August 2019 6 March 2020
[LINK] 01 October 2018 30 September 2019 7 April 2020
[LINK] 01 November 2018 31 October 2019 8 May 2020
[LINK] 01 December 2018 30 November 2019 8 June 2020
[LINK] 01 January 2019 31 December 2019 7 July 2020
[LINK] 01 February 2019 31 January 2020 7 August 2020
[LINK] 01 March 2019 29 February 2020 7 September 2020
[LINK] 01 April 2019 31 March 2020 7 October 2020
[LINK] 01 May 2019 30 April 2020 9 November 2020
[LINK] 01 Jun 2019 31 May 2020 7 December 2020
[LINK] 01 Jul 2019 30 June 2020 7 December 2020
[LINK] 01 Aug 2019 31 Jul 2020 7 December2020
[LINK] 01 September 2019 31 Aug 2020 5 March 2021
[LINK] 01 October 2019 30 September 2020 12 April 2021
[LINK] 01 November 2019 31 October 2020 7 May 2021
[LINK] 01 December 2019 30 November 2020 7 June 2021
[LINK] 01 January 2020 31 December 2020 7 July 2021
[LINK] 01 February 2020 31 January 2021 6 August 2021
[LINK] 01 March 2020 28 February 2021 7 September 2021
[LINK] 01 April 2020 31 March 2021 7 October 2021
[LINK] 1 May 2020 30 April 2021 9 November 2021
[LINK] 1 June 2020 31 May 2021 7 December 2021
[LINK] 1 July 2020 30 June 2021 7 January 2022
[LINK] 1 August 2020 31 July 2021 7 February 2022
[LINK] 1 September 2020 31 August 2021 7 March 2022
[LINK] 1 October 2020 30 September 2021 7 April 2022
[LINK] 1 November 2020 31 October 2021 6 May 2022
[LINK] 1 December 2020 30 November 2021 8 June 2022
[LINK] 1 January 2021 31 December 2021 7 July 2022 
[LINK] 1 February 2021  31 January 2022 7 July 2022 
[LINK] 1 March 2021 28 February 2022 12 July 2022 
[LINK] 1 April 2021  31 March 2022 12 July 2022 
[LINK] 1 May 2021 30 April 2022 12 July 2022 
[LINK] 1 June 2021 31 May 2022 12 July 2022 

 

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

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DVC results file

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.

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Statistics on the suspensions as of 7 February 2024

Total number of ISINs suspended: 241 (187 at EU Level and 54 at TV level)
New suspensions identified: 34 (26 at EU Level and 8 at TV level). This includes:

  • 4 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: 0.

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. 

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Dates of publication of DVC results and suspensions

Month of the Publication DVC results publication date (*) Suspension start date (at 8:00 am CET) Suspension end date (close of trading day)
January 2024 09/01/2024 12/01/2024 11/07/2024
February 2024 07/02/2024 12/02/2024 11/08/2024
March 2024 07/03/2024 13/03/2024 12/09/2024
April 2024 08/04/2024 11/04/2024 10/10/2024
May 2024 08/05/2024 15/05/2024 14/11/2024
June 2024 07/06/2024 13/06/2024 12/12/2024
July 2024 05/07/2024 10/07/2024 09/01/2025
August 2024 07/08/2024 12/08/2024 11/02/2025
September 2024 06/09/2024 11/09/2024 10/03/2025
October 2024 07/10/2024 10/10/2024 09/04/2025
November 2024 08/11/2024 14/11/2024 13/05/2025
December 2024 06/12/2024 11/12/2024 10/06/2025
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Completeness indicators

Data completeness indicators for trading venues detailing the delivery of double volume cap (DVC).

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DVC completeness indicators

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.

 

File Observation period start date Observation period end date Last update published
[LINK] 1 January 2023 31 December 2023 7 February 2024

 

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.

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Background

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.

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Disclaimer

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.

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