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Double volume cap mechanism

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. On a temporary basis, the results of the DVCM will be published on the ESMA website in spreadsheet format.

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

    File     Last update published

    [LINK]

       

    9 November 2018

    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 09 November 2018  
    [LINK]

    01 Jul 2017

    30 Jun 2018 09 November 2018  
    [LINK]

    01 Aug 2017 

    31 Jul 2018  09 November 2018  
    [LINK] 01 Sep 2017  31 Aug 2018

    09 November 2018

     
    [LINK] 01 Oct 2017  30 Sept 2018

    09 November 2018

     

    The files listed in the table above contain the information relevant for the implementation of the DVC mechanism (“DVCM”). ESMA wishes to highlight a number of factors in order to facilitate the understanding of the latest DVCM publication.

    From the first publication on 7 March 2018, ESMA is publishing the detailed calculations of the double volume caps at ISIN x MIC level, for each reporting period (the “DVC Results Files”).

    From the 8 May 2018 publication, ESMA intends to publish, in addition to the DVC Results Files, a unique and consolidated file which provides information on all the ISINs that are suspended (the “Suspensions File”). This will help market participants to identify all the suspended ISINs without checking each individual DVC Results File.

    Please refer to the explanatory texts of the DVC Results Files and the Suspensions File for detailed information on the fields displayed.

    07 September 2018 

    DVC COMPLETENESS INDICATORS

    The DVC completeness indicators are available in the “Completeness Indicators” section

    DVC Results Files

    On  9 November 2018 ESMA is publishing:

    • The DVC Results File covering the reporting period 1 October 2017 to 30 September 2018; and
    • Updated versions of the DVC Results Files covering the five previously published reporting periods: 1 May 2017 to 30 April 2018, 1 June 2017 to 31 May 2018, 1 July 2017 to 30 June 2018, 1 August 2017 to 31 July 2018 and 1 September 2017 to 31 August 2018.

    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.

    Please be aware that ESMA does not update DVC Results Files older than 6 months.

    Suspensions File

    This new 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.

    Statistics on the suspensions as of 9 November 2018

    • Total number of ISINs suspended: 630 (531 at EU Level and 99 at TV level)
    • New suspensions identified: 48 (42 at EU Level and 6 at TV level). This includes 4 ISINs for which the suspension level changed from TV level to EU level.
    • ISINs for which the suspension level changed from EU level to TV level (not counted in the new suspensions above): 2 
    • Suspensions to be revoked: 5 (4 at EU Level and 1 at TV level).

    Please read the “Explanatory note” in the DVC Results Files 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.

    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 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.

    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)

    September 2018

    07/09/2018

    12/09/2018

     11/03/2019

    October 2018

    08/10/2018

    11/10/2018

     10/04/2019

    November 2018

    09/11/2018

    14/11/2018

     13/05/2019

    December 2018

    07/12/2018

    12/12/2018

     11/06/2019

    January 2019

                                   09/01/2019                                                 14/01/2019                                                          13/07/2019

    February 2019

                                   07/02/2019                                                 12/02/2019                                                           11/08/2019

    March 2019

                                   07/03/2019                                                 12/03/2019                                                           11/09/2019

    April 2019

                                   05/04/2019                                                 10/04/2019                                                        09/10/2019

    May 2019

                                   08/05/2019                                                 14/05/2019                                                        13/11/2019

    June 2019

                                   07/06/2019                                                 13/06/2019                                                        12/12/2019

    July 2019

                                   05/07/2019                                                 10/07/2019                                                        09/01/2020

    August 2019

                                   07/08/2019                                                  12/08/2019                                                        11/02/2020

    September 2019

                                   06/09/2019                                                 11/09/2019                                                        10/03/2020

    October 2019

                                   07/10/2019                                                 10/10/2019                                                        09/04/2020

    November 2019

                                   08/11/2019                                                 14/11/2019                                                        13/05/2020

    December 2019 

                                   06/12/2019                                                 11/12/2019                                                        10/06/2020