25 Jan ESMA Publishes New Opinions
Commodity Derivative Position Limits : ESMA Publishes New Opinions
ESMA published six opinions on position limits regarding
commodity derivatives under MiFID II/MIFIR. These confirm the position
limits proposed by the governing NCas, so market participants can now
set their trading, position management, and surveillance systems
accordingly.
On 23rdJanuary ESMA published six opinions on position limits
regarding commodity derivatives under MiFID II/MIFIR. The six opinions
confirm the position limits proposed by the governing National Competent
Authorities (NCAs), so market participants can now set their trading,
position management, and surveillance systems accordingly if they
haven’t already done so. ESMA’s opinions agree proposed position limits for the following commodities:
- ICE Low Sulphur Gasoil (1)
- EEX Panamax TC Freight (2)
- ICE Endex Dutch Gas TTF Contracts (3)
- Powernext Dutch Gas TTF Contracts (4)
- Dutch Power Physical Base Contracts (5)
- Dutch Power Physical Peak Contracts (6)
The legal basis for these opinions is
that ESMA has been notified by the appropriate NCA for the exact
position limits that NCA intends to set in accordance with the
calculation methodology established in MiFID II RTS 21, and taking into
account the factors governing baseline adjustment referred to in Article
57(3) of MiFID II. In all six opinions, ESMA states that all proposed
position limits do comply with the methodology established in RTS 21,
and is consistent with the objectives of Article 57 of MiFID II.
These six opinions are the first to
be announced by ESMA since early October 2018, which covered ICE Natural
Gas Futures, EEX Swiss Power Baseload Contracts, and EEX Phelix DE/AT
Baseload Power Contracts.
As an aide memoire for readers, ESMA opinions confirm the following NCA’s position limits :
Spot Month Position Limit (1 Lot = 100MT)
Deliverable Supply (Lots) | 135,391 |
Spot Month Position Limit (Lots) | 58,850 |
%ge of Deliverable Supply | 43.5 |
Baseline for Spot Month Limit % | 25.0 |
Upward Adjustment (composition, role) % | 25.0 |
Downward Adjustment for very large open Int % | 4.0 |
Downward Adjustment for large number of participants % | 2.5 |
Other Months Position Limit (1 Lot = 100MT)
Open Interest (Lots) | 913,452 |
Other Months Position Limit (Lots) | 132,450 |
%ge of Open Interest | 14.5 |
Baseline for Other Months Limit % | 25.0 |
Upward Adjustment (composition, role) % | 0.0 |
Downward Adjustment for very large open Int % | 8.0 |
Downward Adjustment for large number of participants % | 2.5 |
Spot Month Position Limit (1 Lot = 1000MT)
Open Interest (Lots) | 16,194 |
Spot Month Position Limit (Lots) | 4,049 |
%ge of Open Interest | 25.0 |
Baseline for Spot Month Limit % | 25.0 |
Upward Adjustment (composition, role) % | 0.0 |
Downward Adjustment for very large open Int % | 0.0 |
Downward Adjustment for large number of participants % | 0.0 |
Other Months Position Limit (1 Lot = 1000MT)
Open Interest (Lots) | 913,452 |
Other Months Position Limit (Lots) | 4,049 |
%ge of Open Interest | 25.0 |
Baseline for Other Months Limit % | 25.0 |
Upward Adjustment (composition, role) % | 0.0 |
Downward Adjustment for very large open Int % | 0.0 |
Downward Adjustment for large number of participants % | 0.0 |
Spot Month Position Limit
Deliverable Supply (MWh) | 182,976,030 |
Spot Month Position Limit (MWh) | 45,744,008 |
%ge of Deliverable Supply | 25.0 |
Baseline for Spot Month Limit % | 25.0 |
Upward Adjustment (composition, role) % | 0.0 |
Downward Adjustment for very large open Int % | 0.0 |
Downward Adjustment for large number of participants % | 0.0 |
Other Months Position Limit
Open Interest (MWh) | 547,907,987 |
Other Months Position Limit (MWh) | 164,372,396 |
%ge of Open Interest | 30.0 |
Baseline for Other Months Limit % | 25.0 |
Upward Adjustment (composition, role) % | 5.0 |
Downward Adjustment for very large open Int % | 0.0 |
Downward Adjustment for large number of participants % | 0.0 |
Spot Month Position Limit (1 Lot = 720MWh)
Deliverable Supply (Lots) | 254,120 |
Spot Month Position Limit (Lots) | 65,00 |
%ge of Open Interest | 25.6 |
Baseline for Spot Month Limit % | 25.0 |
Upward Adjustment (composition, role) % | 0 (*) |
Downward Adjustment for very large open Int % | 0.0 |
Downward Adjustment for large number of participants % | 0.0 |
* Rounding up actual Lot limit as %ge of Deliverable Supply
Other Months Position Limit (1 Lot = 720MWh)
Open Interest (Lots) | 663,637 |
Other Months Position Limit (Lots) | 166,000 |
%ge of Open Interest | 25.0 |
Baseline for Other Months Limit % | 25.0 |
Upward Adjustment (composition, role) % | 0.0 |
Downward Adjustment for very large open Int % | 0.0 |
Downward Adjustment for large number of participants % | 0.0 |
Spot Month Position Limit
Deliverable Supply (MWh) | 25,715,520 |
Spot Month Position Limit (MWh) | 6,171,725 |
%ge of Deliverable Supply | 24.0 |
Baseline for Spot Month Limit % | 25.0 |
Upward Adjustment % | 0.0 |
Downward Adjustment % | 1.0 |
Other Months Position Limit
Open Interest (MWh) | 25,537,599 |
Other Months Position Limit (MWh) | 8,938,159 |
%ge of Open Interest | 35.0 |
Baseline for Other Months Limit % | 25.0 |
Upward Adjustment % | 10.0 |
Downward Adjustment % | 0.0 |
Spot Month Position Limit
Deliverable Supply (MWh) | 9,429,024 |
Spot Month Position Limit (MWh) | 2,262,967 |
%ge of Deliverable Supply | 24.0 |
Baseline for Spot Month Limit % | 25.0 |
Upward Adjustment % | 0.0 |
Downward Adjustment % | 1.0 |
Other Months Position Limit
Open Interest (MWh) | 3,324,053 |
Other Months Position Limit (MWh) | 1,329,621 |
%ge of Open Interest | 40.0 |
Baseline for Other Months Limit % | 25.0 |
Upward Adjustment % | 15.0 |
Downward Adjustment % | 0.0 |
No doubt more ESMA opinions will
follow throughout 2019, following the initial proposals by the governing
NCAs. Hopefully, ESMA will continue to confirm the limits proposed by
the NCAs and not plunge market participants into limbo if there is any
disagreement from ESMA regarding the NCA’s interpretation of MiFID II’s
methodology.
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