9.IV.2.2.7.3 Level 2 text: methodology of the calculation and estimation rules

The methodology of the MiFID II calculation and estimation rules are mainly a legacy from the MiFID I regime. Already under MiFID I, CESR provided guidance on the calculation and estimation of the average daily turnover.1MiFID II adopts a similar calculation and estimation approach, with the main difference being the increase in equity instruments under MiFID II. As noted, the MiFID II equity post-trade transparency regime not only applies to shares admitted to trading on an RM, but also to shares, depositary receipts, ETFs, certificates, and other similar financial instruments traded on an RM/MTF.2 The calculation and estimation methodology of the average daily turnover has remained largely the same as under MiFID I (‘largely’, since ETFs require no average daily turnover calculation).3 The methodologies for the MiFID II equity post-trade transparency regime are relatively simple compared to the methodologies for the MiFID II equity pre-trade transparency regime. The reason here is that the MiFID II equity pre-trade transparency regime involves a broader range of parameters, such as the free float and standard market size. These parameters are not relevant for deferral under the MIFID II equity post-trade transparency regime.