ESMA details latest double volume cap breaches

Updated dark pool data finds breaches for 58 equities for the 8% cap and 10 equities for the 4% cap.

The European Securities and Markets Authority (ESMA) has published the latest set of data on the MiFID II dark pool double volume caps (DVC).

In addition to 744 instruments in January and 643 in February that hit either the 4% or 8% threshold, ESMA has detailed a further 58 equities breaching the 8% cap and 10 equities in breach of the 4% cap for the period between 1 April 2017 to 31 March 2018.

Trading under the waivers for all new instruments in breach of the DVC thresholds will be suspended from 14 May to 14 November 2018.

ESMA has released updated data on equity and equity-like instruments that hit the trading threshold accounting for new data submitted by trading venues that affects previous DVC publications. As such, 12 instruments that were previously in breach of either the 4% or 8% caps have been reviewed and suspensions have been lifted.

 “We expect the capped list to gradually grow each month until September. As stocks get capped they will likely follow a similar pattern to our recent observations,” said Duncan Higgins, head of electronic products at ITG.

“In the months ahead, anticipate more lit and more periodic auction activity, and the steady take up of systematic internalisers.”

Anish Puaar, market structure analyst, Europe, at Rosenblatt Securities, said the latest bans will likely result in a further ebb of dark MTF market share.

“So far periodic auctions have been the main beneficiary of the caps, but we have not seen the end of the story just yet,” Puaar said.