5.VI.2.3.8 Interim conclusion

In addition to the main MiFID II calculations and estimates, the MiFID II double volume cap mechanism has introduced a new operational challenge for the EU equity pre-trade transparency regime. Data is required from a wide range of RMs and MTFs (CTPs have not been authorised under MiFID II) in order to perform the double volume cap calculations. Harmonised MiFID II provisions are in place to facilitate data collection (content, frequency, and formats) by NCAs (or ESMA in case of delegation), as necessary for the calculations.

Despite the amount of harmonisation, experience with MiFID II shows that data collection was a major problem. This is evident in the delay of the double volume cap for a few months. The operational complexity of the double volume cap regime is also evident in the MiFID II calculation requirements for ESMA. MiFID II requires ESMA to calculate: (a) two caps (b) twice a month in case the ad hoc-conditions apply (3.75 and/or 7.75 percent reached). Last, but not least, RMs, MTFs, and NCAs need to keep a close watch on whether the RM/MTF exceeds the double volume cap, both on an individual level and across all RMs/MTFs in the EU. In other words, the top-down approach apparent in the double volume cap mechanism puts great operational pressure on RMs, MTFs, NCAs, and ESMA. Although understandable in light of a well-functioning double volume cap mechanism, it is questionable whether the benefits outweigh the costs. The MiFID II Review of ESMA covers the issue in further detail (see section VII below).