The European Securities and Markets Authority (ESMA) announced that it has decided to delay the publication of the data on the double volume cap (DVC) mechanism for January 2018. 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, and ESMA has taken this decision to avoid creating an unlevel playing field.
Since 3 January, ESMA has been performing an analysis of the quality and completeness of the data received from trading venues to perform DVC calculations. Based on the analysis performed, ESMA realised that the publication would have resulted in a biased picture covering only a very limited number of instruments and markets.
ESMA informed that it 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.
It expects that the actions initiated to bridge this information gap, involving working with national competent authorities (NCAs) and trading venues to address data quality and submission issues, will allow for publication in March.
The complete announcement can be seen here.