5.VI.3.4 DVC Database

A third database relevant for the MiFID II equity pre-trade transparency regime is the DVC Database (double volume cap database)1 As the name implies, the DVC Database is relevant for the MiFID II double volume cap. As noted above, the double volume cap limits the use of the reference price and the negotiated trade waiver in liquid equity instruments. RMs, MTFs, and CTPs are required to report to NCAs (or ESMA in case of delegation) the data required for the double volume cap calculations. NCAs (non-delegating) in turn submit the data to ESMA.2 ESMA performs the calculations.3MiFID II requires ESMA to publish the calculation results free of charge and in a machine-readable and human-readable format.4 The calculation results are made available through the DVC Database, as available on the ESMA Website. An example of the DVC Database is the following (see next page):5

Snapshot from DVC Result File March 2019- February 2020.6The picture shows three ISINs and the percentage of trading under the reference price and the liquid negotiated trade waiver, both for the waiver on individual RM/MTFs and all RMs/MTFs across the EU. The snapshot shows that one instrument (i.e. the share S&T, ending with ISIN: 9W5) exceeded the MiFID II cap of eight percent across the EU in the given period (2.25+1.77+0.31+1.33+0.02+0.39+2.01≈8.1). The result is a suspension of the reference price waiver and the liquid negotiated trade waiver for the share S&T for a period of six months (see picture below for the corresponding suspension file).

Source: Snapshot from the DVC Suspension File.7The picture shows five ISINs, among which the suspension of the reference price and the liquid negotiated trade waiver for the share S&T (ending with ISIN: 9W5). The snapshot shows when the expected suspension starts, as well as the expected end date.