On January 9, the European Securities and Markets Authority (ESMA) published a press release announcing that it has decided to delay the publication of data on the double volume cap (DVC) mechanism as required under the revised Markets in Financial Instruments Directive (MiFID II) and the Markets in Financial Instruments Regulation (MiFIR).
The DVC mechanism, introduced by MiFIR, caps the amount of securities trading that can benefit from the use of waivers from pre-trade transparency in so-called “dark pools” of liquidity. All trading venues listing particular equity or equity-like instruments must provide ESMA with data on the trading activity in those instruments for the complete previous year. ESMA then uses this data to make the relevant DVC calculations.
Since January 3, (when MiFIR and MiFID II went into effect), ESMA had been performing an analysis of the quality and completeness of the data received from trading venues to perform DVC calculations. The press release highlights that ESMA expected to receive data for around 30,000 instruments. At the time of the press release, it had received files from 75 percent of trading venues, but, in most cases, there had been only partial delivery of the information needed. ESMA only received complete data for approximately 650 instruments, comprising around 2 percent of the expected total and encompassing relatively illiquid instruments, which have a limited amount of dark trading.
In light of the above, ESMA concluded that the quality and completeness of the data that it had received does not allow for a sufficiently meaningful and comprehensive publication of DVC calculations. ESMA believed that publication would have resulted in a biased picture covering only a very limited number of instruments and markets. In addition, as publication triggers other transparency related legal obligations, ESMA states it would not be appropriate for it to initiate the new regime at this stage.
The press release states that ESMA is engaging with national competent authorities (NCAs) and trading venues to close the gaps in reporting as soon as possible. Having analyzed the data received, ESMA is aware of which venues have not succeeded in submitting an adequately complete set of data and will address those venues first to improve the completeness of the dataset. ESMA intends to publish the data covering the missing periods in March 2018.
The press release is available here.