The European Securities and Markets Authority (ESMA) has published trading volumes and calculations regarding the double volume cap (DVC) under the Markets in Financial Instruments Directive (MiFID II) and Regulation (MiFIR).
The purpose of the DVC mechanism is to limit the amount of trading under certain equity waivers to ensure the use of such waivers does not harm price formation for equity instruments.
ESMA delayed the implementation of the DVC in January, to “avoid creating an unlevel playing field”.
ESMA made the decision to delay the introduction of the DVC based on the analysis it has collected on the quality and completeness of the data received from trading venues to perform DVC calculations.
Since the beginning of the year, ESMA has worked with National Competent Authorities (NCAs) and EU trading venues to solve these issues.
ESMA’s DVC calculations for January totalled 18,644 instruments, while February a total of 14,158 instruments.
Based on this data, ESMA states that two caps will limit dark trading in equity and equity-like instruments.
ESMA states that NCAs should suspend, within two working days, the use of waivers in those financial instruments where caps were exceeded.
The authority rules that the use of the waivers should be suspended for these instruments for a period of six months starting from 12 March 2018.
ESMA is intending to publish the applicable DVC data for March on 9 April, including any data received after the cut-off date for data submissions.
