ESMA delivers DVC updates
09 May 2018 Paris
Image: Shutterstock
The European Securities and Markets Authority (ESMA) has updated its public register with the latest set of double volume cap (DVC) data under the second Markets in Financial Instruments Directive (MiFID II).
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.
It is calculated per instrument based on the rolling average of trading in that instrument over the last 12 months.
ESMA said its updates include DVC data and calculations for the period from 1 April 2017 to 31 March 2018 as well as updates to already published DVC periods.
The number of new breaches is 58 equities for the eight percent cap, applicable to all trading venues, and 10 equities for the four percent cap, applicable to individual trading venues.
Trading under the waivers for all new instruments in breach of the DVC thresholds should be suspended from 14 May 2018 to 14 November 2018, ESMA stated. The instruments for which caps already existed from previous periods will continue to be suspended.
In addition, ESMA highlighted that some trading venues in the meantime have submitted corrected data that affects past DVC publications.
For a limited number of 12 instruments, this means that previously identified breaches of the eight percent and four percent caps were incorrect. For these instruments, the suspensions of trading under the waivers should be lifted.
ESMA also said that it is slightly changing the way it presents DVC files to facilitate access by national competent authorities (NCAs), market participants and the public in general.
Its publication now comprises a separate consolidated suspensions file, which includes all those instruments for which a suspension has been issued, and the corresponding suspension dates.
The suspensions file also identifies the instruments on which suspensions should be revoked due to data corrections.
ESMA said its goal is to present all information in one place so that NCAs and market participants can identify the instruments affected by the caps in order to take the necessary action.
In addition, ESMA said it will continue to publish all monthly DVC files providing information on trade volumes for those instruments within the DVC scope for which complete data exist.
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.
It is calculated per instrument based on the rolling average of trading in that instrument over the last 12 months.
ESMA said its updates include DVC data and calculations for the period from 1 April 2017 to 31 March 2018 as well as updates to already published DVC periods.
The number of new breaches is 58 equities for the eight percent cap, applicable to all trading venues, and 10 equities for the four percent cap, applicable to individual trading venues.
Trading under the waivers for all new instruments in breach of the DVC thresholds should be suspended from 14 May 2018 to 14 November 2018, ESMA stated. The instruments for which caps already existed from previous periods will continue to be suspended.
In addition, ESMA highlighted that some trading venues in the meantime have submitted corrected data that affects past DVC publications.
For a limited number of 12 instruments, this means that previously identified breaches of the eight percent and four percent caps were incorrect. For these instruments, the suspensions of trading under the waivers should be lifted.
ESMA also said that it is slightly changing the way it presents DVC files to facilitate access by national competent authorities (NCAs), market participants and the public in general.
Its publication now comprises a separate consolidated suspensions file, which includes all those instruments for which a suspension has been issued, and the corresponding suspension dates.
The suspensions file also identifies the instruments on which suspensions should be revoked due to data corrections.
ESMA said its goal is to present all information in one place so that NCAs and market participants can identify the instruments affected by the caps in order to take the necessary action.
In addition, ESMA said it will continue to publish all monthly DVC files providing information on trade volumes for those instruments within the DVC scope for which complete data exist.
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