ESMA ISSUES LATEST DOUBLE VOLUME CAP DATA

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Today’s updates include DVC data and calculations for the period 1 November 2019 to 31 October 2020 as well as updates to already published DVC periods.

The number of new breaches is 22: 12 equities for the 8% cap, applicable to all trading venues, and 10 equities for the 4% 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 December 2020 to 10 June 2021. The instruments for which caps already existed from previous periods will continue to be suspended.

In addition, ESMA highlights that none of the previously identified breaches of the caps proved to be incorrect thus no previously identified suspensions of trading under the waivers had to be lifted.

As of 7 December 2020, there is a total of 205 instruments suspended.

ESMA does not update DVC files older than 6 months.

Background

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 (ISIN) based on the rolling average of trading in that instrument over the last 12 months.

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