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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.

    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

    10 April 2018

    [LINK]

    01 Feb 2017

    31 Jan 2018

    10 April 2018

    [LINK] 01 Mar 2017 28 Feb 2018 10 April 2018

    ESMA wishes to highlight a number of factors in order to facilitate the understanding of the latest DVCM publication:

    • The latest publication encompasses the period 1 March 2017 to 28 February 2018. For this period the 8% cap is exceeded 668 times and the 4% cap in 15 cases. For the large majority of affected instruments, however, the caps were already exceeded previously. The net number of new breaches are 47 for the 8% cap and 8 for the 4% cap. Trading under the waivers for those instruments should be suspended from 13 April 2018 to 13 October 2018.
    • ESMA has also updated the publication files for the periods 1 January 2017 to 31 December 2017 and 1 February 2017 to 31 January 2018. This is due to additional data received in the meantime by trading venues and as a consequence more instruments having sufficiently complete data available for publication. In addition, new breaches have been identified due to trading venues having submitted corrected data. These instruments can be identified in the publication files under the column “Last date of publication” which is marked as “10 April 2018”. For these instruments, ESMA has identified an additional 83 breaches of the 8% cap and 18 breaches of the 4% cap. Trading under the waivers also for those instruments should be suspended from 13 April 2018 to 13 October 2018.

    As already highlighted above, some trading venues in the meantime have submitted corrected data that affects past DVCM publications. For a limited number of instruments, this means that previously identified breaches of the 8% and 4% caps prove to be incorrect. For these instruments, the suspensions of trading under the waivers issued should, therefore, be lifted. These instruments can be identified in the publication file under the column “Valid to” which gives the last date until a previously erroneous publication is valid. 23 breaches of the 8% cap and 11 breaches of the 4% cap identified in past publications have been corrected and should, therefore, be revoked.   

    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.

     

    The files listed in the table above contain the information relevant for the implementation of the DVC mechanism, including the identifiers of the instruments and trading venues associated to a suspension of the relevant waivers and the period in which it will be applicable.

    Regarding the scope of published instruments, as described above, ESMA published the information when the data for an instrument had either been received completely or to a level of completeness that makes any relevant change improbable.

    The detailed rules applied to determine publication are the following:

    • For non-liquid shares and other equity instruments the results were published only if data was 100% complete.
    • Published liquid shares had either complete data or incomplete data when all the following conditions were met for each instrument:
    1. The DVC system completeness rate in terms of reported periods was equal or above 95%;
    2. The data in the DVC system incorporated trading venues that represented at least 95% of the volume reported for the transitional transparency calculations (covering the period 4 January 2017 – 11 October  2017);
    3. The Most Relevant Market for the instrument had provided 100% complete information to the DVC system;
    4. Known dark pools had provided complete or close to complete information to the DVC system.

    Further detail can be found in the data files.