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MIFID II: ESMA ISSUES LATEST DOUBLE VOLUME CAP DATA

09 November 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‚Äôs updates include DVC data and calculations for the period of 1 October 2017 to 30 September 2018 as well as updates to already published DVC periods. 

The number of new breaches is 48: 42 equities for the 8% cap, applicable to all trading venues, and 6 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 14 November 2018 to 13 May 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 5 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 9 November, there is a total of 630 instruments suspended.

Please be aware that ESMA does not update DVC files older than 6 months.

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.