MIFID II: ESMA ISSUES LATEST DOUBLE VOLUME CAP DATA

Today’s updates include DVC data and calculations for the period of 1 June 2017 to 31 May 2018 as well as updates to already published DVC periods. 

The number of new breaches is 70 equities for the 8% cap, applicable to all trading venues, and 37 equities for the 4% cap, that applies to individual trading venues. Trading under the waivers for all new instruments in breach of the DVC thresholds should be suspended from 11 July 2018 to 11 January 2019. The instruments for which caps already existed from previous periods will continue to be suspended.

In addition, ESMA highlights that some trading venues in the meantime have submitted corrected data that affects past DVC publications. For a limited number of 13 instruments, this means that previously identified breaches of the 8% and 4% caps prove to be incorrect. For these instruments, the suspensions of trading under the waivers should be lifted.

As of 6 July, there is a total of 1,024 instruments suspended.

Background

MiFID II introduced the DVC to limit the amount of dark trading in equities allowed under the reference price waiver and the negotiated transaction waiver. The DVC is calculated per instrument (ISIN) based on the rolling average of trading in that instrument over the last 12 months.