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Double Volume Cap Mechanism: the Impact on EU Equity Markets 

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Double Volume Cap Mechanism: the Impact on EU Equity Markets  ESMA Working Paper No. 3, 2020 DVC mechanism: The impact on EU equity markets Claudia Guagliano, Cyrille Guillaumie, Paul Reiche, Alessandro Spolaore and Arianna Zanon September 2020| ESMA/2020/ WP-2020-3 ESMA Working Paper No. 3, 2020 2 ESMA Working Paper, No. 3, 2020 Authors: Claudia Guagliano, Cyrille Guillaumie, Paul Reiche, Alessandro Spolaore and Arianna Zanon Authorisation: This Working Paper has been approved for publication by the Selection Committee and reviewed by the Scientific Committee of ESMA. © European Securities and Markets Authority, Paris, 2020. All rights reserved. Brief excerpts may be reproduced or translated provided the source is cited adequately. Legal reference of this Report: Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC, Article 32 “Assessment of market developments”, 1. “The Authority shall monitor and assess market developments in the area of its competence and, where necessary, inform the European Supervisory Authority (European Banking Authority), and the European Supervisory Authority (European Insurance and Occupational Pensions Authority), the ESRB and the European Parliament, the Council and the Commission about the relevant micro- prudential trends, potential risks and vulnerabilities. The Authority shall include in its assessments an economic analysis of the markets in which financial market participants operate, and an assessment of the impact of potential market developments on such financial market participants.” The charts and analyses in this report are, fully or in parts, based on data not proprietary to ESMA, including from commercial data providers and public authorities. ESMA uses these data in good faith and does not take responsibility for their accuracy or completeness. ESMA is committed to constantly improving its data sources and reserves the right to alter data sources at any time. European Securities and Markets Authority (ESMA) Risk Analysis and Economics 201-203, rue de Bercy FR–75012 Paris [email protected] ESMA Working Paper No. 3, 2020 3 Double Volume Cap mechanism: The impact on EU equity markets Claudia Guagliano, Cyrille Guillaumie, Paul Reiche, Alessandro Spolaore, Arianna Zanon . Abstract This paper analyses the impact of the Double Volume Cap (DVC) mechanism on European equity markets since it was introduced in March 2018. The DVC mechanism introduces limits to the amount of transactions executed under reference price and negotiated trade waivers in equity markets. For equities where DVC restrictions were applied from March 2018 onwards and for which the restriction ended in September 2018, the amount of trading on dark pools dropped from more than 7% in January 2018 to less than 1% of the total in August 2018, while the share of trading in frequent batch auctions increased over the same period from below 1% to 4% of the total. However, as the restriction on dark trading for some of these equities was lifted in September 2018, the volume of dark pool trading for these shares increased to more than 5% and the volume in frequent batch auctions declined to 2.5%. We also analyse the impact of the DVC mechanism on market liquidity in lit markets, building on a set of market liquidity indicators. The results point to an overall positive impact of the DVC measure on market liquidity in the continuous trading and auction markets (lit markets). For equities where DVC restrictions were applied from March 2018, the econometric analysis shows that market liquidity in lit markets generally improved in terms of breadth, tightness and depth. Consistently with the scope of the DVC mechanism, the turnover in continuous trading and auctions markets of the ISINs banned by the DVC mechanism is estimated to have increased significantly by about 10% following the ban compared to non-banned ISINs. Results hold when different econometric techniques are employed. JEL Classifications: G10, G12, G18 Keywords: Equity markets, liquidity, dark trading, MiFID II. The views expressed are those of the authors and do not necessarily reflect the views of the European Securities and Markets Authority. Any error or omissions are the responsibility of the authors. The authors would like to thank Steffen Kern, Christian Winkler, Björn Hagströmer, Erica Conter, Lorenzo Danieli, the ESMA Committee of Economic and Market Analysis and the ESMA Group of Economic Advisors for useful discussions and comments. European Securities and Markets Authority (ESMA), 201-203 rue de Bercy, 75012 Paris Cedex, France. Email contacts: [email protected], [email protected] and [email protected]. ESMA Working Paper No. 3, 2020 4 1 Introduction In the last ten years European equity markets changed profoundly due to several factors, most importantly technological advances, but also changes in the regulatory environment, such as the implementation of the Markets in Financial Instruments Directive (MiFID). Following the introduction of MiFID in 2007, competition between venues in the trading of financial instruments has increased significantly. Across EU countries in 2018 the market share of the incumbent national exchange at country level is on average between 60% and 70% of total electronic order book trading in equities.1 The rapid technological changes and, in particular, the growth of automated trading and high frequency trading (HFT) have raised concerns about possible new risks to the orderly functioning of markets. Moreover, the financial crisis highlighted the weaknesses in the functioning and the transparency of financial markets, and the need to strengthen the regulation. Against this background, MiFID II and MiFIR were published in 20142, triggering a major overhaul of European securities legislation. A key goal of MiFID II/MiFIR is to ensure a higher level of transparency by imposing pre-trade and post-trade transparency requirements for both equity and non-equity instruments to market operators and investment firms operating a trading venue. As regards pre-trade transparency requirements for equity instruments – meaning shares, depositary receipts, ETFs, certificates and other similar financial instruments – trading venues should disclose information about current bid and offer prices as well as the depth of trading interests at those prices depending on the type of trading system3. National Competent Authorities are given the possibility to waive the obligation for trading venues to disclose this information. Four pre-trade transparency waivers have been introduced: the reference price waiver; the negotiated trade waiver; the large-in-scale waiver; and the order management facility waiver. In this paper we define dark trading as the volume of transactions executed under the reference price, negotiated trade and large-in-scale pre-trade transparency waivers.4 In order to ensure that the use of those waivers does not prevent the proper functioning of the price formation process, the so-called double volume cap (DVC) mechanism has been introduced. It establishes limits to the amount of trading in a financial instrument executed under the reference price waiver and the negotiated trade waiver aiming to protect the price discovery process in equity markets.5 Hence, we specify the term dark trading under the DVC mechanism as dark trading that is executed under the two mentioned waivers only. This paper investigates the impact of the DVC mechanism on European equity markets6 in the first six months of application (March to September 2018). The paper is based on three data sources consisting of ESMA MiFID II proprietary databases (Financial Instruments Transparency System – FITRS; Double Volume Cap – DVCAP) and Refinitiv commercial data. We find that, overall, most of the trading in equities is executed on lit markets. Based on FITRS data, for the equities banned from dark trading under the DVC mechanism in March 2018 and for which the restriction ended in September 2018, the amount of trading executed on dark pools7 dropped as expected from more than 7% in January 2018 to less than 1% of the total in August 20188, while the share of trading in frequent batch auctions increased over the same period from virtually 0% to 4% of the total. However, as the restriction for a number of instruments ended in September 2018, the volume of trading executed on dark pools increased to more than 5% and the volume in frequent batch auctions declined to 2%. We run an econometric exercise to analyse the impact of the DVC mechanism on market liquidity in lit markets, building on a set of market liquidity indicators. The results point 1 See Fidessa Fragmentation Index https://fragmentation.fidessa.com/ and FESE (2018). 2 Directive 2014/65/EU (MiFID II) https://eur-lex.europa.eu/legal-content/EN/TXT/HTML/?uri=CELEX:32014L0065&from=en and Regulation No. 600/2014 (MiFIR) https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32014R0600&from=EN. 3 Trading systems include: order-book, quote-driven, hybrid and frequent batch auctions. 4 MiFIR Art. 4(1) (a) to (c). 5 See section 3 for a description of the institutional details. 6 In this paper we focus on shares only while we do not consider depositary receipts, ETFs, certificates and other equity-like instruments that are under the scope of DVC mechanism (shares represent the 95% of equities in the DVC mechanism scope). 7 Dark pools refer to such markets characterised by a majority of transactions executed as dark trading which does not exclude the possibility of lit trading i.e. performed without the application of any waiver. 8 As explained in the section “Regulatory background”, the share of trading on dark pools for the affected equities is higher than 0 because for some ISINs the restriction can be applied to one trading venue or traded under the large-in-scale waiver. ESMA Working Paper No. 3, 2020 5 to an estimated overall positive impact of the DVC measure on market liquidity in the continuous trading and auction markets (lit markets).
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