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ESMA Publishes Trading Volumes and Calculations Regarding the Double Volume Cap Under MiFID II

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.

©2019 Katten Muchin Rosenman LLP


About this Author

John Ahern, Financial Attorney, London, Katten Law Firm

John Ahern, partner at Katten Muchin Rosenman UK LLP and head of the London Financial Services group, focuses his practice on banking, financial services, UK and European financial markets, and related regulations. His background in private practice and as in-house counsel at a global investment bank provides him with perspective on the unique regulatory issues facing the wholesale and private banking sectors. John advises multilateral trading facilities, broker-dealers and banks on trading, clearing and settlement as well as custody of securities—both physical and...

+44 (0) 20 7770 5253
Carolyn H. Jackson, International Attorney, Katten Muchin law firm

Carolyn Jackson is a partner in Katten Muchin Rosenman UK LLP and is a Registered Foreign Lawyer. She provides US financial regulatory legal advice to a broad range of market participants, including commercial banks, investment banks, investment managers, broker-dealers, electronic trading platforms, clearinghouses, trade associations and over-the-counter derivatives service providers.

Carolyn guides clients in the structuring and offering of complex securities, commodities and derivatives transactions and in complying with US securities and commodities laws and regulations. 

+44 0 20 7776 7625
Nathaniel Lalone, Katten Muchin Law Firm, Financial Institutions Attorney
Senior Associate

Nathaniel Lalone, a partner at Katten Muchin Rosenman UK LLP, has a broad range of experience in the regulation of financial products and financial markets, and frequently provides regulatory and compliance advice to trading venues, clearing houses and buy-side firms active in the over-the-counter (OTC) derivatives, futures and securities markets. He is actively involved in advising clients on the implementation of MiFID 2 and MiFIR in the European Union as well as the international reach of US financial services regulation. He also has significant experience with structuring...

+44 0 20 7776 7629
Neil Robson, private equity fund managers counselor, Katten Law Firm, London

Neil Robson, a regulatory and compliance partner with Katten Muchin Rosenman LLP, focuses his practice on counseling hedge and private equity fund managers and other investment advisers on operational, regulatory and compliance issues. He regularly addresses Financial Conduct Authority (FCA) and EU authorization and compliance under both the EU Alternative Investment Fund Managers Directive (AIFM Directive) and MiFID, cross-border issues in the financial services sector, market abuse, anti-money laundering and regulatory capital requirements, formations and buyouts of...