Keeping you informed with the
latest industry news
interesting to see that use of the large in scale waiver is
unchanged so far.
“Expectations were that this would become more pop-
ular once the caps were in place as firms grouped orders
together into blocks large enough to qualify. Doing this
depends on sophisticated execution management.”
Data delay
The European Securities Markets Authority (ESMA)
was forced to delay the initial implementation of the
DVCs during the first week of the new regulatory re-
gime to 12 March, due to a lack of complete data from
exchange operators to calculate effective ca ps.
ESMA released the data in early March on equity and
equity-like instruments that hit the trading threshold,
meaning they cannot be traded in dark pool venues,
with hundreds of stocks affected by the restrictions.
A total of 744 instruments in January and 643 in
February this year hit either the 4% or 8% threshold
according to ESMA. Securities which hit the thresh-
old will be suspended from trading in dark pools for
six months as of 12 March.
Combining the statistics for January and February
2018 represents 2.5% of all equities ESMA lists in its
transparency calculations, although it represents 35%
of all liquid instruments listed where the DVCs will
matter most, according to Christian Voigt, senior regu-
latory adviser at Fidessa.
Voigt added that when the bans are lifted after six
months trading could revert to the old ways as the
market strives to stay below the threshold, or it could
herald a permanent change in market behaviour and
a move away from DVCs. “In which case, you might
wonder what the difference is between the DVC and a
simple ban,” he added.
Various studies have shown a significant amount of
securities would hit the MiFID II thresholds, with
some senior market participants warning the caps
would be detrimental to the market by restricting one
of the most effective methods of trading.
Thomson Reuters’ Mason concluded: “With in-
creased scrutiny of trading best execution imminent
as new MiFID reporting requirements start to bite in
the months ahead, firms are dependent on using all
the new data on trading that exists thanks to MiFID
II. The way the market responds to the double volume
caps is an important part of the picture.”
ICYMI
In case you missed it, here’s the top
four stories from thetradenews.com
over the last quarter
1
Buy-side bond traders reevaluating RFQ model
Asset managers trading corporate bond markets
are evaluating a move away from the traditional
request-for-quote (RFQ) model, opting instead
for electronic execution to meet best execu-
tion requirements, according to a study from
Liquidnet.
2
Head of FX operations at Barclays charged over
front-running scheme
The former head of FX trading operations at
Barclays, Robert Bogucki, has been charged for
orchestrating a major front-running scheme. He
allegedly manipulated £6 billion worth of FX
options to depress the price of volatility prior to
the execution of large trades.
3
MiFID II wipes $300 million from equity re-
search industry
The European equity research market has plum-
meted by $300 million in the wake of MiFID II’s
rules on unbundling payments for investment
research and execution fees. A Greenwich Associ-
ates study found research budgets were slashed
20% year-on-year.
4
Interactive Brokers fined $4.5 million for algo
trading system failures
The Hong Kong-based arm of Interactive
Brokers has been fined $4.5 million for failures
relating to its algorithmic and electronic trading
systems. Asian authorities found the business
had breached a code of conduct for execution of
market orders using the systems.
Issue 55 // TheTradeNews.com // 7