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MIFID II: ESMA ISSUES LATEST DOUBLE VOLUME CAP DATA

08 October 2018

The European Securities and Markets Authority (ESMA) has updated today its public register with the latest set of double volume cap (DVC) data under the Markets in Financial Instruments Directive (MiFID II).

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

The number of new breaches is 69: 57 equities for the 8% cap, applicable to all trading venues, and 12 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 October 2018 to 10 April 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 total number of 3 instruments, this means that previously identified breaches of the 8% and 4% caps proved to be incorrect. For these instruments, the suspensions of trading under the waivers should be lifted.

As of 8 October, there is a total of 652 instruments suspended.

Please be aware that ESMA does not update DVC files older than 6 months. In other words, suspensions that were expected to be triggered in the past months due to the publication of the DVC results in the files related to the periods 1 January 2017 to 31 December 2017, 1 February 2017 to 31 January 2018 and 1 March 2017 to 28 February 2018 cannot be lifted anymore.

In addition, the “Expected suspension end date” for suspensions that are active as of 8 October 2018 has been changed whenever the suspension period was equal to 6 months and 1 day. The suspensions are expected to start before 8:00 am CET on the “Suspension start date” and terminate at the close of trading day on the “Suspension end date”.

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.