On March 7, the European Securities and Markets Authority (ESMA) published trading volumes and calculations regarding the double volume cap (DVC) under the revised Markets in Financial Instruments Directive (MiFID II) and the Markets in Financial Instruments Regulation (MiFIR).
The DVC mechanism is designed to limit the amount of “dark” trading in equities, meaning trading that relies on the reference price waiver and the negotiated transaction waiver to avoid MiFIR transparency requirements.
As explained in its January 2018 press release, ESMA delayed the implementation of the DVC until March 2018 due to problems relating to the quality and completeness of data. ESMA has since worked with national competent authorities (NCAs) and the European Union to solve these issues.
ESMA has now published the DVC calculations for January 2018 (relating to trading data from January to December 2017, totalling 18,644 instruments) and February 2018 (relating to trading data from February 2017 to January 2018, totalling 14,158 instruments). Using the data, the two caps will limit dark trading in equity and equity-like instruments, as follows:
- 17 instruments for January 2018 and 10 for February 2018, for which their percentage of trading on a single trading venue under the waiver goes beyond 4 percent of the total volume of trading in those financial instruments across all EU trading venues over the previous 12 months; and
- 727 instruments for January 2018 and 633 for February 2018, for which their percentage of trading across all trading venues under the waivers goes beyond 8 percent of the total volume of trading in that financial instrument across all EU trading venues over the previous 12 months.
Where the caps were exceeded, the NCAs would suspend the use of waivers in those financial instruments within two working days. The use of the waivers would, therefore, be suspended for such instruments for a period of six months, beginning March 12.
ESMA intends to publish on April 9 the applicable DVC data for March 2018. This will also include any data received after the data-submission deadline of March 1.
ESMA’s press release is available here.
ESMA’s DVC calculations for January 2018 and for February 2018 are available here.