EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/5.VI.2.3:5.VI.2.3 Calculations for the double volume cap

EU Equity pre- and post-trade transparency regulation (LBF vol. 21) 2021/5.VI.2.3

5.VI.2.3 Calculations for the double volume cap

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The MiFID II double volume cap limits the use of two equity pre-trade transparency waivers available for RMs and MTFs, namely the reference price waiver and the negotiated trade waiver for liquid equity instruments.1 The double volume cap – being a cap of four percent on individual RMs/MTFs and eight percent of all RMs/MTFs combined – also requires data collection and calculations/estimates. MiFID II encompasses a distinct regime for the double volume cap compared to the main calculation/estimation regime set out above. The MiFID II regime is examined below.

5.VI.2.3.1 Reporting parties: RMs, MTFs, CTPs, and NCAs5.VI.2.3.2 Content of the data5.VI.2.3.3 Frequency of data reporting5.VI.2.3.4 Formats5.VI.2.3.5 Performing the calculations5.VI.2.3.6 Completeness Ratio and Completeness Shortfall5.VI.2.3.7 Background5.VI.2.3.8 Interim conclusion

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