5.VI.2.3.5 Performing the calculations

MiFID II makes ESMA directly responsible in making the calculations for the double volume cap mechanism (instead of the NCA). In contrast to the content, frequency and formats (Level 2), the calculation requirements for ESMA are laid down in the Level 1 text (MiFIR). MiFIR subjects ESMA to periodic and ad hoc calculation requirements. The periodic requirements require ESMA to publish within five working days at the end of each calendar month: (1) the total volume of EU trading per equity instrument in the previous 12 months, (2) the percentage of trading in an equity instrument carried out across the EU under the reference price waiver and negotiated trade waiver in liquid equity instruments on each RM/MTF in the previous 12 months,1 and (3) the methodology that is used to derive those percentages.2 The ad hoc-obligations for ESMA apply where the thresholds are almost met.

Two situations must be distinguished for the ad hoc-obligations, namely: (i) the percentage of 3.75 percent per venue and (ii) the percentage of 7.75 percent for all venues. First, in the event that (a) the monthly report of ESMA identifies any RM or MTF where trading in any equity instrument carried out under the given waivers has exceeded 3.75 percent of the total trading in the EU in that equity instrument, based on the previous 12 months’ trading, (b) ESMA needs to publish an additional report (ad hoc-report). ESMA needs to publish the ad hoc-report (c) within five working days of the 15^th day of the calendar month in which the initial monthly report is published. MiFID II requires the report to contain the information specified in the initial monthly report in respect of those equity instruments where the 3,75 percent has been exceeded.3 The volume of trading on any RM/MTF using the reference price waiver and/or the negotiated trade waiver for liquid equity instruments should not exceed four percent.4

Second, MiFID II covers ad hoc-obligations where the monthly report identifies that overall EU trading in any equity instrument carried out under the waivers has exceeded 7,75 percent of the total EU trading in the equity instrument, based on the previous 12 months’ trading. In this situation, MiFID II requires ESMA (a) to publish an additional report within five working days of the 15^th day of the calendar month in which the initial monthly report is published. That report needs to (b) contain the information specified in the initial monthly report in respect of those equity instruments where the 7,75 percent has been exceeded.5 The total volume of trading on all RMs/MTFs using the reference price waiver and/or negotiated trade waiver in liquid equity instruments should not exceed eight percent.6