5.VII.4.2.1 Application of the double volume cap to instruments without 12 months of data

MiFID II states that the double volume cap can only apply where the relevant thresholds for the reference price waiver and negotiated trade waiver for liquid equity instruments are breached over the previous 12 months.1 ESMA provided in guidance in 2016, noting that the double volume cap mechanism can in effect only suspend trading under the waivers when the thresholds are breached in case at least 12 months of trading data is available.2 ESMA proposes in the MiFID II Review Report to maintain this approach. This contrast with the earlier position of ESMA in the consultation paper. ESMA proposed in the consultation paper to change the approach because ISINs can change as a result of a corporate action (e.g. a merger). In view of ESMA such corporate actions do not lead to a genuine new company, and hence the double volume volume cap should apply.3 Only few respondents agreed with this perspective. The majority of respondents disagreed with applying the double volume cap to these instruments. Considering the support for not changing the current approach, ESMA does proposes to maintain the approach set out in the ESMA guidance of 2016. In effect, the double volume cap mechanism would not apply to instruments without 12 months of data available.4