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ESMA Issues Latest Double Volume Cap Data for MiFID II

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The European Securities and Markets Authority (ESMA) has updated its public register with the latest set of double volume cap (DVC) data under the Markets in Financial Instruments Directive (MiFID II). The December updates include DVC data and calculations for the period of November 1, 2017 to October 31, 2018 as well as updates to already published DVC periods.

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 past 12 months.

The number of new breaches is 54: including 45 equities for the 8% cap (which is applicable to all trading venues) and nine equities for the 4% cap (which applies to individual trading venues). ESMA requires that trading under the waivers for all new instruments in breach of the DVC thresholds be suspended for a six-month period from December 12, 2018 to June 11, 2019. The instruments for which caps already existed from previous periods will continue to be suspended.

According to the latest data, there are a total of 637 instruments suspended as of December 7, 2018. ESMA does not update DVC files older than six months.

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