ESMA updates DVC data
09 August 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).
The updates include DVC data and calculations for the period of 1 July 2017 to 30 June 2018 as well as updates to already published DVC periods.
The number of new breaches is 308. Some 246 equities for the 8 percent cap, are applicable to all trading venues, and 62 equities for the 4 percent cap, apply to individual trading venues.
ESMA stated trading under the waivers for all new instruments in breach of the DVC thresholds should be suspended from 10 August 2018 to 9 February 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 54 instruments, this means that previously identified breaches of the 8 percent and 4 percent caps prove to be incorrect.
For these instruments, the suspensions of trading under the waivers should be lifted.
As of 7 August, there is a total of 1,275 instruments suspended.
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 based on the rolling average of trading in that instrument over the last 12 months.
The updates include DVC data and calculations for the period of 1 July 2017 to 30 June 2018 as well as updates to already published DVC periods.
The number of new breaches is 308. Some 246 equities for the 8 percent cap, are applicable to all trading venues, and 62 equities for the 4 percent cap, apply to individual trading venues.
ESMA stated trading under the waivers for all new instruments in breach of the DVC thresholds should be suspended from 10 August 2018 to 9 February 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 54 instruments, this means that previously identified breaches of the 8 percent and 4 percent caps prove to be incorrect.
For these instruments, the suspensions of trading under the waivers should be lifted.
As of 7 August, there is a total of 1,275 instruments suspended.
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 based on the rolling average of trading in that instrument over the last 12 months.
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