ESMA decided to delay publication of data on the double volume cap (DVC) mechanism for January 2018. This is because the current quality and completeness of the data does not allow for a sufficiently meaningful and comprehensive publication of double volume cap calculations, as required under MiFID II/MiFIR. Therefore, ESMA has decided to avoid creating an unlevel playing field.
ESMA is aware of the legal obligation to apply the DVC from January 2018. However, as the publication of the calculations triggers other legal obligations in terms of transparency waivers’ suspensions related to dark trading, initiating the new regime based on the insufficient data ESMA has received is not appropriate at this stage. ESMA expects that the actions initiated to bridge this information gap, involving working with national competent authorities and trading venues to address data quality and submission issues, will allow for publication in March. ESMA expected to receive data for around 30,000 instruments in the context of the DVC mechanism, though it received complete data for approximately 650 instruments or about 2% of the expected total. The set of 650 instruments for which complete data is available only encompasses relatively illiquid instruments, which have a limited amount of dark trading. This would have rendered a publication at this point in time largely inconsequential. Data completeness is required to undertake the DVC calculations.
ESMA had finalized its IT system for the DVC and opened it for the submission of data by trading venues and national competent authorities to ESMA on the October 16, 2017—more than two months in advance of the MiFID II/MiFIR application date of January 03, 2018. ESMA, to ensure a timely publication of DVC data, is already engaging with national competent authorities and trading venues to close the gaps in reporting as soon as possible. ESMA has analyzed the data and is aware of which venues have, so far, not succeeded in submitting an adequately complete set of data and will address them first to improve the completeness of the available dataset. ESMA believes that the initial technical and reporting problems leading to this delay can be overcome within the next few weeks. In March, ESMA intends to publish the data covering the previous periods to ensure the full application of DVC as of January 2018.
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