The European Securities and Markets Authority (ESMA) has updated its set of double volume cap (DVC) data under the MiFID II regulation.
Its update includes DVC data and calculations for period of 1 June 2018 through to 31 May 2019, and any updates previously published.
The number of new breaches is 56. This is split 47 equities for the 8 per cent cap, applicable to all trading venues, and nine equities for the 4 per cent cap, that applies to individual trading venues.
ESMA said that trading under the waivers for all new instruments in breach of the DVC thresholds should be suspended from 10 July 2019 until 9 January 2020. The instruments for which caps already exist from prior periods will continue to be suspended.
The MiFID II regulation, which entered the market on January 2018, introduced DVC to contain the amount of dark trading in equities allowed under the reference price waiver and the negotiated transaction wavier.
The DVA is calculated per instrument based on the rolling average of trading in that instrument over the past 12 months.
As part of the update, ESMA also highlighted that none of the previously identified breaches of the caps were incorrect and thus, no previous suspensions on waivers will be lifted.
From 5 July, a total of 285 instruments have been suspended.
Last month, ESMA released the updated results of the annual transparency calculations for equity and equity-like instruments, supporting companies with their MiFID II compliance.
These changes reflect the change in average daily number of transactions, late corrections of underlying data used to perform the calculations, and the adjustment of the most relevant market data.
ESMA has taken a number of steps this year to support the market with MiFID II compliance. The regulator recently updated its MiFID II and MiFIR questions and answers page to offer new information around best execution and details on costs and charges.
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