MiFID II Double Volume Cap Data October 2020

October 19th | 2020

On October 7, 2020, ESMA updated its public register with the latest set of double volume cap (DVC) data under the Markets in Financial Instruments Directive (MiFID II). The purpose of the DVC is to encourage trading on exchange venues by limiting off-exchange transactions in dark pools. This is accomplished by setting a limit on the two types of waivers that can be used to trade in the dark: reference price waivers and negotiated transactions waivers.

DVC limits the transactions that can be executed under both these waivers at 4% at a trading venue level and at 8% for all EU trading venues. Once those thresholds are breached, trading venues are required to suspend dark trading for 6-months.

ESMA reports that there are 28 instruments that are now subject to the caps: 20 equities for the 8% cap, which is applicable to all trading venues; and 8 equities for the 4% cap, which applies to individual trading venues. For these new additions, trading on dark venues under the waivers should be suspended from October 12, 2020 to April 11, 2021. The instruments for which caps already existed from previous periods will continue to be suspended. The entire list of DVC instruments can be downloaded here.

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