ESMA suspends 932 stocks from June for MiFID II DVC breaches

Latest data on DVC breaches under MiFID II finds more than 900 stocks are suspended from trading as of 7 June.

A total of 932 instruments have been suspended from trading as of 7 June by the EU markets watchdog for breaching thresholds under MiFID II.

In its latest double volume cap (DVC) data, the European Securities and Markets Authority (ESMA) said that for the period 1 May 2017 to 30 April 2018, 52 additional equities breached the 8% cap and seven equities breached the 4% threshold.

Trading of the breached stocks will be suspended for six months from 12 June until 12 December. These stocks are on top of the 744 instruments in January and 643 in February that hit either the 4% or 8% threshold.

ESMA added that some data submitted by trading venues has been corrected, meaning that two previously identified breaches of the caps were incorrect and suspensions have been lifted. Last month, ESMA lifted suspensions on 12 stocks for the same reason, so altogether a total of 932 instruments will be suspended as of 7 June.

Research from various industry players suggests that dark trading has fallen significantly since the DVCs were introduced in March this year. The Thomson Reuters March Share Reporter found that dark trading between 12 March, the day the DVCs were implemented, and 16 March trading in dark pools had halved to 3.06% market share of on-book trading from 6.15%.

Similarly, equities broker ITG found that the percentage of dark volume on multilateral facilities (MTFs) for capped securities fell from 27% to 8% since mid-March, with only large in scale orders able to continue trading in those securities on dark MTFs.

In April, UBS MTF announced that 57 stocks would be suspended from trading for six months from 13 April after breaching the DVCs.

Market participants have debated whether the market will strive to stay below the threshold once the six-month bans are lifted, or move away from dark venues heralding a permanent change in market behaviour.

At the same time, volumes in periodic auctions, block trading venues and systematic internalisers continues to increase as traders seek methods of execution that avoid the DVCs.