ESMA issues latest double volume cap data
09 October 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.
The Markets in Financial Instruments Directive (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 recent 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 percent cap, applicable to all trading venues, and 12 equities for the 4 percent 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 three instruments, this means that previously identified breaches of the 8 percent and 4 percent caps proved to be incorrect.
For these instruments, the suspensions of trading under the waivers should be lifted. As of 8 October, 652 instruments are suspended.
The Markets in Financial Instruments Directive (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 recent 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 percent cap, applicable to all trading venues, and 12 equities for the 4 percent 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 three instruments, this means that previously identified breaches of the 8 percent and 4 percent caps proved to be incorrect.
For these instruments, the suspensions of trading under the waivers should be lifted. As of 8 October, 652 instruments are suspended.
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