The European Securities and Markets Authority (“ESMA”) has published a new set of Q&As on transparency topics under MiFID II and MiFIR. The purpose of the Q&As is to promote common supervisory approaches and practices in the application of MiFID II and MiFIR in relation to transparency topics.

The four Q&As relate to the implementation of the double volume cap mechanism. ESMA does not consider it necessary to issue a formal consultation on the Q&As, but will periodically review them as necessary to update and identify where they can convert material into ESMA Guidelines and recommendations.


We set out below the questions posed and the key points in the answers.

Question 1: What are the necessary adjustments to data on MiFID I waivers (shares traded only on regulated markets/shares traded on regulated markets and MTFs) in respect of the DVC? What is the volume traded under the waivers to be reported in the year before the application of MiFIR?

  • With regard to the reference price waiver, the requirement under MiFID I that the reference price must be widely published and regarded as reliable has been maintained under MiFIR.
  • ESMA considers that for properly implementing the double volume cap from 3 January 2018 all transactions executed in 2017 in accordance with reference price waivers granted under MiFID I should be included in the numerator for the purposes of the double volume cap calculations as per Article 5 of MiFIR.
  • With regard to the negotiated transactions waivers, in comparison to MiFID I, negotiated transactions are subject to some restrictions on admissible execution prices depending on the type of the transaction and the trading characteristics of the financial instrument being traded.

Question 2: How would the double volume cap be applied from January 2018 in relation to financial instruments (shares traded only on MTFs, depositary receipts, ETFs, certificates) which currently do not operate under any waiver?

  • Prior to the date of application of MiFID II/MiFIR: The pre-trade transparency requirements of MiFID I, and therefore also the possibility to benefit from MiFID waivers, apply only to shares admitted to trading on regulated markets. Therefore, the volume traded under MiFID waivers for those instruments not covered by the scope of the MiFID I pre-trade transparency regime (the numerator) will be zero for the monitoring period starting one year before the date of application of MiFID II/MiFIR.
  • After the date of application of MiFID II/MiFIR: With the application of MiFID II/MiFIR equity and equity-like instruments newly covered by the MiFIR transparency provisions can have formally approved waivers. For the purpose of performing the calculations for determining the percentage of trading in a financial instrument under the relevant waivers, ESMA will accumulate for the volume traded under any waivers on a venue/all EU venues (the numerator) the trading under the reference price and negotiated transactions waivers over the first 12 months.

Question 3: How will the Double Volume Cap be applied to newly issued shares?

  • ESMA will publish the percentage of trading in a financial instrument carried out under the reference price waiver and the negotiated transactions waiver under Article 4(1)(b)(i) of MiFIR for shares newly admitted to trading or traded from the start of trading.

Question 4: What are the implications of exceeding a relevant threshold in a mid-month report?

  • Pursuant to Article 5(2) of MiFIR, the competent authority that authorised the use of the respective waivers shall within two working days suspend their use on that venue in that financial instrument based on the data published by ESMA referred to in Article 5(4) of MiFIR, for a period of six months when the percentage of trading in a financial instrument carried out on a trading venue under the waivers has exceeded the limit referred to in Article 5(1)(a) of MiFIR. When the percentage of trading in a financial instrument carried out on all trading venues across the Union under those waivers has exceeded the limit referred to in Article 5(1)(b) of MiFIR, all competent authorities shall within two working days suspend the use of those waivers across the Union for a period of six months.

To access the full Q&A document, please click here.

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