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MiFID II position limits for commodity derivatives - Page 2

 

 

 

 

 

 

Questions and Answers on MiFID II and MiFIR commodity derivatives topics, ESMA70-872942901-28

 

Position limits

 

Question 1 [Last update: 19/12/2016]


Are position limits applicable only at the end of each trading day or also throughout the trading day?


Answer 1


Position limits are applicable at all times. This is particularly relevant when a commodity derivative is traded OTC outside the normal trading hours of a trading venue.


Question 2 [Last update: 31/05/2017 - outdated]


 

What is the definition of lot for energy products?


Answer 2


In derivatives markets where the underlying asset is electricity, natural gas (gas) or liquefied natural gas (LNG) and there is no concept of a standardised lot as a unit of trading the following approach should be used:


Delivery period: the period over which the contract is delivered (physically or by cash settlement vs spot prices). These periods may be annual (calendar), quarterly, monthly, weekly (whole week, labour week and weekend) or daily. For gas and LNG derivative contracts the units of time for delivery are typically days.


Unit of registration: Generally, it is 1 Megawatt MW, but there are ISINs whose unit of registration is a multiple or a proportion of MW (e.g. 0.1 MW)


Product type: For most power derivatives the underlying is delivered as a fixed quantity per hour during a defined number of hours (“relevant hours”) in the relevant days of the delivery period. There are two main product types for power derivatives:

- Base Load: Relevant hours are 24 per day, as the underlying asset is delivered from the first hour of the day (0:00 to 00:59 hours) until the last hour of the day (23:00 to 23:59 hours) of relevant days included in the delivery period.


- Peak Load: Relevant hours are different in different jurisdictions and are usually specified as part of the day (for example, 12 hours where an underlying asset is delivered from the ninth hour of the day (08:00:00 to 08:59:00 hours) until the twentieth hour of the day (19:00 to 19:59 hours) of every Monday, Tuesday, Wednesday, Thursday and Friday (relevant days) included in the delivery period).


Nominal/multiplier of a contract: the implicit multiplication of the deliverable underlying in the contract. For power contracts, it is in MWh.


For Power derivatives
Nominal = Unit of registration * number of relevant days (in delivery period) * relevant
hours (per day)
For Gas and LNG derivatives

 

Nominal = Unit of registration * number of relevant days (in delivery period)


Where a lot is not defined for energy contracts, according to Article 9 of RTS 21, a lot should be the minimum quantity tradable of that commodity derivative, calculated as nominal * minimum number of contracts to be included in a trade.


For gas and LNG, a lot will be 1 MWh, except for gas derivatives where the number of contracts traded as a unit is above this size.


If the minimum amount tradable were one daily contract of 1 MW, for example, the lot size would be 24 MWh for typical base load contracts or 12 MWh for peak load contracts, as the typical timeframe of peak hours corresponds to 12 per relevant day.

 

Whereas, if the minimum amount tradable is not a daily, but a monthly contract, a lot corresponds to the MWh that are to be delivered according to that contract (e.g. 720 MWh for base load contracts, considering a month composed of 30 days).

 

Question 2 [Last update: 13/11/2017]

 

What is the definition of a lot for the application of Article 15(1)(a) and (b) (New and illiquid contracts) of RTS 21 to those commodity derivatives for which a lot, as defined in the contract specification by the trading venue, does not represent a standard quantity of the underlying across all maturities/delivery periods for that commodity derivative?

 

Answer 2

 

In some derivative markets (mainly related to power or gas), trading venues offer trading in derivative contracts that refer to an identical underlying but have a variety of delivery periods, e.g. annual (calendar), quarterly, monthly, weekly (whole week, working day week and weekend) or daily.

 

For these contracts a lot or unit of trading, as defined in the contract specification by the trading venue, does not necessarily represent a standard quantity of underlying across all maturities/delivery periods, i.e. the lot size for a daily contract is different from that for a monthly contract as the lot size usually depends on the number of relevant days and/or hours in the delivery period. For baseload power derivatives, this is illustrated by the following table:

 

 

 Delivery period

 Unit of trading (1 Lot = 1MW) 

 Quantity of underlying commodity (baseload)

 Lot size 

 1 day

 1 MW

 24 MWh

 24 h

 1 week – 7 days 

 1 MW

 168 MWh

 168 h

 1 month – 30 days 

 1 MW

 720 MWh

 720 h

 

 

Since there is not an unambiguous equivalence between a lot and an absolute quantity of underlying commodity, it is necessary to define a reference period and use the associated lot size to determine the liquidity of a contract under Article 15(1)(a) and (b) of RTS 21 and to set position limits under Article 15(1)(a) of RTS 21.

 

As the trading activity in European power and gas derivative markets is generally concentrated in monthly contracts, the period of the monthly contract should be used as the reference period. The associated lot size should be calculated by using the relevant days and/or hours as specified by the trading venue for that particular contract type.

 

Example:

 

Lot size calculation for a monthly base load and a monthly peak load power derivative contract to determine liquidity and set position limits for illiquid contracts:

 

Base load lot size = 30 days * 24 hours/day = 720 h, 10,000 lots are equivalent to 7.2 TWh,

 

Peak load lot size: 22 days * 12 hours/day = 264 h, 10,000 lots are equivalent to 2.64 TWh.

 

Question 3 [Last update: 19/12/2016]


 

What is a lot in the case of Economically Equivalent OTC contracts (EEOTC)?


Answer 3


A significant number of OTC contracts are specified by reference to a quantity of the underlying commodity and not the standardised lot sizes of an exchange-traded derivative. Where an OTC contract is not defined in standardised lots the size of the contract should be calculated as a multiple of the standard unit of trading used by the trading venue for the commodity derivative to which the OTC contract is equivalent.

 

Question 4 [Last update: 19/12/2016]


 

Should positions with different maturities for other months' limits be netted?


Answer 4


Yes. Persons must determine their net position for each commodity derivative for the other months' limit, as indicated in Article 3(4) of RTS 21.

 

They should sum (or net, as appropriate) all individual positions across the curve excluding those positions in the spot month for that commodity derivative.

 

Question 5 [Last update: 19/12/2016]

 


How should non-EU entities with positions above the limits be treated? Do they have access to exemptions, and if so, when and how do they apply to the relevant NCA?

 

Answer 5

 

A non-financial entity from outside the EU (European Union) may apply for an exemption in the same manner as an EU firm would. The rules and procedures are laid down in RTS 21.

 

Question 6 [Last update: 19/12/2016]


 

How do limits apply to long and short positions?

 

Answer 6

 

Position limits apply to net positions regardless of whether the net position is long or short. When calculating their positions, a person needs to aggregate their long and short holdings in spot contracts towards the spot month limit. They separately need to aggregate all their long and short positions for all other months towards the other months' limit.

 

Question 7 [Last update: 19/12/2016]

 


Are securitised derivatives considered to be commodity derivatives under MiFID II? How does ESMA differentiate between ETCs and securitised derivatives?

 

Answer 7

 

"Securitised derivatives" are transferable securities whose value is based upon underlying assets. However, neither MiFID I (incl. level 2 thereof), nor MiFID II/MiFIR contain a specific definition of these instruments.


Where the underlying asset of securitised derivatives is one or more commodities, these instruments are caught by the definition of "transferable securities" in Article 4(1)(44)(c) of MIFID II and are commodity derivatives under Article 2(1)(30) of MiFIR.


Exchange traded commodities (ETCs) are debt instruments which are within the scope of Article 4(1)(44)(b) of MiFID II and are classified as such in RTS 2. Therefore, they are outside the definition of commodity derivatives in Article 2(1)(30) of MiFIR and the position limits regime does not apply to them.


ESMA is aware that market practices in differentiating between ETCs and securitised derivatives are neither clear nor uniform and presents the following guidance to allow for a correct classification of instruments in practice.


In RTS 2 ETCs are described as debt instruments issued against a direct investment by the issuer in commodities or commodity derivative contracts. The price of an ETC is directly or indirectly linked to the performance of the underlying. An ETC passively tracks the performance of the commodity or the commodity indices to which it refers.


In addition, ESMA considers that ETCs typically have the following features:
- a primary market exists which is accessible only to authorised market participants per- mitting the creation and redemption of securities on a daily basis at the price set by the issuer;
- they are not UCITS and therefore unlike an ETF can have an exposure profile not in compliance with the UCITS diversification requirements;
- they are traded on- and off-venue in significant volumes;
- the price is aligned, or multiplied by a fixed leverage of the price of the underlying 
commodity;
- a management fee is charged by the issuer;
- they may be issued by non-banking institutions;
- they do not have an expiry date;
- they may have a strict regime of capital segregation, usually through the use of special purpose vehicles;
- they are often aimed at professional investors.

 

In comparison, the term 'securitised derivatives' describes a much wider set of financial instruments that can have a large variety of features among them the following typical features:
- they can have commodities as underlying but also many financial instruments or they can be linked to strategies, indices or baskets of instruments;
- they can passively track the performance of the underlying but they can typically also apply leverage, can have an option structure or also have a lower risk profile than the underlying by, for example, offering capital protection;
- they are traded on venue or OTC by the issuer directly or via intermediaries;
- the issuers' costs and compensation are factored into their price;
- they have an expiration date;
- they provide an issuer credit risk exposure;
- they are often aimed at retail clients.


Question 8 [Last update: 19/12/2016]


 

Are the net positions held by clearing members usable for the purposes of determining the positions of their clients for the application of position limits under Article 57?


Answer 8 


 

No. Central counterparties determine net positions at the level of their clearing members, which usually encompass the long and short position of many different clients unless held in individually segregated accounts. A CCP may also see positions only for those contracts for which it provides a central counterparty service and not the EEOTC positions or any held at a CCP subject to interoperability. Position limits apply at the level of the individual person, and net positions held at clearing level must therefore be disaggregated. 


 

Question 9 [Last update: 13/11/2017]

 

Will there be a different position limit for options and futures? If so, how should options be converted into futures for the application of position limits?

 

Answer 9

 

No, there will be no separate limits for futures and options on the same commodity derivative. Futures and options are fungible in terms of their economic effect at expiry if an option expires in the money with the respective future expiring at the same time. During the life of an option contract, the probability of the option expiring in the money is reflected in its delta value.

 

Option positions should therefore be converted into positions in their respective future contracts on the basis of the current delta to arrive at a delta equivalent futures position. Long delta equivalent positions on calls and short delta equivalent positions on puts should be added to positions on futures. Short delta equivalent positions on calls and long delta equivalent positions on puts should be subtracted from positions on futures.

 

If available, position holders should use the delta value published by the trading venue or the CCP to report their positions in options. In the absence of a published delta value, position holders may use their own calculation. Position holders should be able to demonstrate, on demand, to the NCA responsible for the application of the position limit that their calculations correctly reflect the value of the option.

 

To determine which contracts are liquid under Article15 of RTS 21 and also to establish position limits based on the quantity of open interest, the open interest of futures plus the delta-adjusted open interest of options should be used, where there is a future and/or option traded on the commodity derivative and the relevant data are available. This is consistent with the reporting of positions made under Article 58 of RTS 21.

 

Question 10

 

How is the position limits regime applied to the various underlyings listed in Annex I, Section C(10) of MIFID II?

 

Answer 10 - [Last update: 13/11/2017] outdated

 

Section C(10) of Annex I of MIFID II covers a number of different types of commodity derivatives. For these instruments the following approaches should be taken:

 

Position limits should be applied to freight rate derivatives (wet and dry freight) based on the open interest both in the spot month and in the other months.

 

Position limits should be applied to derivative contracts relating to indices if the underlying index is materially based on commodity underlyings as defined in Article 2 No. 6 of Commission Delegated Regulation (EU) 2017/565 of 25 April 2016. ESMA considers that the underlying index is materially based on commodities if such commodities have a weighting of more than 50% in the composition of the underlying index. The spot and the other months’ limits should be based on open interest only, in accordance with Article 13(1) of RTS 21, as no single measurable deliverable supply can be determined for the commodities contained within the index.

 

A commodity derivative contract in the legal form of a “spread” or “diff” contract is a contract that is cash-settled and whose value is determined by the difference between two reference commodities which may vary in type, grade, location, time of delivery, or other features. Whilst having multiple commodity values underlying it, the commodity derivative is available on a trading venue as a single tradable financial instrument. A spread contract is different to a spread trading strategy, when two or more commodity derivative contracts may be traded together in order to achieve a certain economic effect. Such a strategy may be executed by a single action in a venue’s trading systems, but it remains composed of separate and legally distinct commodity derivatives which are executed as trades simultaneously.

As a spread contract has no single commodity at a specific place or time as the underlying, it is not possible to link it to a single physical deliverable supply against a contractual obligation to physically settle the trade. It is for this reason all spread contracts are cash-settled and not physically settled.

Therefore, spread contracts should be treated for the application of the ESMA methodology in the same manner as C10 commodity derivatives which do not have a physical underlying, such as weather derivatives. The open interest figure for the commodity derivative itself should be used as the baseline for both the Spot Month limit and the Other Months’ limit.

 

For other derivatives listed in Section C10 of Annex I of MiFID II and in Article 8 of Commission Delegated Regulation (EU) 2017/565 of 25 April 2016, ESMA is not expecting the setting of any position limits as the underlyings of such derivatives are not considered to be commodities as defined in Article 2 No. 6 of Commission Delegated Regulation (EU) 2017/565 of 25 April 2016.

 

Answer 10 [Last update: 27/03/2018]


Section C(10) of Annex I of MIFID II covers a number of different types of commodity derivatives. For these instruments the following approaches should be taken:


Position limits should be applied to freight rate derivatives (wet and dry freight) based on the open interest both in the spot month and in the other months.


Position limits should be applied to derivative contracts relating to indices if the underlying index is materially based on commodity underlyings as defined in Article 2 No. 6 of Commission Delegated Regulation (EU) 2017/565 of 25 April 2016. ESMA considers that the underlying index is materially based on commodities if such commodities have a weighting of more than 50% in the composition of the underlying index. The spot and the other months’ limits should be based on open interest only, in accordance with Article 13(1) of RTS 21, as no single measurable deliverable supply can be determined for the commodities contained within the index.


A commodity derivative contract in the legal form of a “spread” or “diff” contract is a contract that is cash-settled and whose value is determined by the difference between two reference commodities which may vary in type, grade, location, time of delivery, or other features. The application of the regime regarding these contracts is dealt with specifically in question 17.

 

For other derivatives listed in Section C10 of Annex I of MiFID II and in Article 8 of Commission Delegated Regulation (EU) 2017/565 of 25 April 2016, ESMA is not expecting the setting of any position limits as the underlyings of such derivatives are not considered to be commodities as defined in Article 2 No. 6 of Commission Delegated Regulation (EU) 2017/565 of 25 April 2016.


Question 11 [Last update: 29/03/2017]

 


Can a hedge exemption be netted against positions in derivatives which are not objectively measurable as reducing risks directly related to that person’s commercial activity?


Answer 11


No. Once an exemption has been granted and positions are approved as risk-reducing in accordance with Article 8 of draft RTS 21, those positions fall outside the position limit regime. Otherwise, the benefit of a risk-reducing position would be double-counted, by first being excluded from the limit and then being used to offset a speculative exposure.


Question 12 [Last update: 29/03/2017]

 


What is the meaning of the ‘single fungible pool of open interest’ in Art 5.1(b) of RTS 21? Does it refer only to those commodity derivatives cleared in the same central counterparty?


Answer 12


Commodity derivatives with a single fungible pool of open interest would include those cleared by the same central counterparty (CCP) and those in interoperable CCPs which may be closed out against each other. It would also include other commodity derivatives with delivery obligations which are fungible and can be closed out against each other (for example, through the operational netting provided by a transmission system operator).

 

Question 13 [Last update: 29/03/2017]


How should contracts that have a high variability of open interest during the year be treated (i.e. minimum open interest is below 10,000 lots but maximum above it)?


Answer 13


Article 15 of RTS 21 states that new and illiquid contracts for which the total combined open interest in spot and other months’ contracts does not exceed 10,000 lots for a consecutive three-month period are assigned a position limit of 2,500 lots. Therefore, any contract with a high variability would have to exceed the threshold of 10,000 lots of open interest on a daily basis based on end-of-day figures for three consecutive months before an individualised position limit has to be set for that contract.

 

Question 14 [Last update: 07/07/2017]


Is it necessary for a Non-Financial Entity (NFE) to apply to the relevant NCA of a trading venue for a position limit exemption in all contracts in which that NFE holds positions?

 

Answer 14

 

No. It is necessary only for an NFE to apply for an exemption when it expects that one is necessary to permit it to hold a position that is risk-reducing for its commercial activities which would be in excess of the position limit for that commodity derivative which has been set by the NCA.

 

There is no requirement under MIFID II to apply for a position limit exemption if an NFE does not expect to need one for its normal level of activities.

 

Question 15 [Last update: 15/12/2017]

 

How should the spot month be defined for contracts where there are daily, weekly, quarterly and calendar as well as monthly variants of the same contract?

 

Answer 15

 

The determination of the spot month for the application of the spot month position limit should be made by the NCA on the basis of the contract specification and the characteristics of the market for that particular commodity derivative.

 

Where there are daily or weekly as well as monthly contracts, the positions to be included in the spot month period and subject to the position limit, include positions in contracts referencing days or weeks which fall entirely inside that spot month.

 

For many contracts, the spot month will be the current calendar month in which delivery is taking place (until the final day of that month). For example, between 1 and 30 January, January is the spot month.

 

In other contracts, where e.g. the January contract expires at the end of December, the spot month will change to the next calendar month which is available to trade. For these contracts, for most of January, the spot month will be February (and positions in any days or weeks falling wholly within February will count towards the spot month limit).

 

Question 16 [Last update: 27/03/2018]


How can limits be set for contracts with an open interest between 5,000 and 10,000 lots which have a low number of market participants or market makers as described in Article 19(2) of RTS 21?


Answer 16


Article 15(1)(a) and (c) of RTS 21 establishes a fixed limit of respectively 2,500 lots for lower liquidity commodity derivative contracts and 2.5 million securities for lower liquidity securitised derivatives whereas Article 19(2) of RTS 21 allows limits of up to 50% if the contract has less than ten market participants or less than three investment firms acting as market makers.
RTS 21 does not establish a hierarchy between these two Articles.

 

Accordingly, to achieve the aims set out in Article 57(1) of MiFID II, where commodity derivatives traded on a trading venue have a total combined open interest in spot and other months’ contracts exceeding 5,000 lots, authorities may set the limits of positions held in those commodity derivatives using either the default 2,500 lot limit under Article 15(1)(a) of RTS 21 or a limit within the range established by Article 19(2) of RTS 21.

 

The limit under Article 19(2) of RTS 21 would be used where the automatic limit under Article 15(1)(a) would unduly constrain the operation of the market and prevent the contract from supporting the functioning of commercial activities in the underlying market, as clarified in Recital (1) of RTS 21. The limit would be established in accordance with the baseline and the relevant adjustment factors set out in Article 14 of RTS 21.


For securitised derivatives with an issuance size between five and ten million securities, a similar approach applies. Where necessary to allow for the proper operation of the market, competent authorities may set a position limit within the range established in Article 19(2) of RTS 21 when the conditions thereof are met.

 

The position limit would apply to the number of securities in issuance and would be the same for the spot month and the other months.

 

Question 17 [Last update: 27/03/2018]


How are position limits applied to intercommodity ‘spread’ or ‘diff’ contracts?

 

Answer 17


A commodity derivative contract in the legal form of a “spread” or “diff” contract is a cash- settled contract whose value is determined by the difference between two reference commodities that may vary in, inter alia, type, grade, location, or delivery characteristics. Whilst having multiple underlying constituents, the spread derivative is available on a trading venue as a single tradable financial instrument.


A spread contract differs from a ‘spread trading strategy’ (two or more commodity contracts traded together to achieve a particular economic effect), as such a strategy may be executed by a single action in a venue’s trading systems, but it remains composed of separate, and legally distinct commodity derivatives which are executed as trades simultaneously.


As a spread contract has no single underlying commodity at a specific place or time, it is not possible to link it to a single physical deliverable supply against a contractual obligation to physically settle the trade. It is for this reason all spread contracts are cash-settled and not physically settled.


Article 57(4) of MiFID II states ‘A competent authority shall set limits for each contract in commodity derivatives traded on trading venues based on the methodology [...]’. Whilst specifically referencing each contract, this should refer to outright instruments (i.e. the disaggregated components of spreads) and the limits be applied at that level. The prevailing limits will apply to the net eligible positions, inclusive of spread limits, post-disaggregation.


In cases where a constituent leg is not independently admitted for trading, then the spread itself will receive a limit (de minimis or bespoke). In these cases, the same methodology as for C10 commodity derivatives that have no physical underlying will apply, as such the open interest figure for the spread shall be used as the baseline for both the Spot Month and Other Months’ limits.

 

Question 18 [Last update: 02/10/2018]

 

Do position limits also apply to positions in contracts that have been entered into prior to 3 January 2018 and are traded on a trading venue, including an OTF, or are economically equivalent OTC contracts (EEOTC) to those traded on a trading venue?

 

Answer 18

 

Yes. The position limits regime does apply to all positions in commodity derivatives offered by EU trading venues and EEOTC contracts, irrespective of the time when the contracts have been entered into.

This is even the case if the relevant financial instrument was not a financial instrument at the time of the contract formation, e.g. prior to the application of MiFID II on 3 January 2018.

This is because all positions in a MiFID II commodity derivative held by a position holder are assessed constantly and from the point of application (see also Q&A 1). Articles 57 and 58 of MiFID II do not refer to the formation of the contract in any of their provisions.

As soon as a financial instrument becomes subject to the position limits regime, the position limits apply to the positions of position holders and are to be reported and monitored against position limits.

 

 

 

 

 

chronicle

 Position limits regulatory chronicle 

 

 

 

ESMA‘s opinions of 24 September 2018

 

Swiss power base futures commodity contracts

 

Phelix DE/AT Base Power Futures and Options commodity contract

 

UK Natural Gas commodity futures and options contracts

 

ESMA’s opinion of 15 May 2018

 

Low Sulphur Gasoil

ESMA’s Opinion on position limits on ICE Low Sulphur Gasoil 1st Line contracts, 15 May 2018, ESMA70-155-3509

 

ESMA’s opinion of 7 December 2017

 

ICE Brent Crude contracts

ESMA’s Opinion on position limits on ICE Brent Crude contracts, 7 December 2017, ESMA70-155-1535

 

ESMA’s opinions of 24 October 2017

 

zinc 

https://www.esma.europa.eu/document/mifid-ii-position-limits-zinc-contracts

 

tin

https://www.esma.europa.eu/document/mifid-ii-position-limits-tin-contracts

 

nickel

https://www.esma.europa.eu/document/mifid-ii-position-limits-nickel-contracts

 

lead

https://www.esma.europa.eu/document/mifid-ii-position-limits-lead-contracts

 

copper

https://www.esma.europa.eu/document/mifid-ii-position-limits-copper-products

 

aluminium

https://www.esma.europa.eu/document/mifid-ii-position-limits-aluminium-contracts

 

ICE white sugar

https://www.esma.europa.eu/document/mifid-ii-position-limits-ice-white-sugar-contracts

 

Robusta coffee

https://www.esma.europa.eu/document/mifid-ii-position-limits-robusta-coffee-contracts

 

London cocoa

https://www.esma.europa.eu/document/mifid-ii-position-limits-london-cocoa-contracts

 

ESMA’s opinions of 10 August 2017

 

ESMA Opinion on position limits on milling wheat No. 2 contract, 10 August 2017, ESMA70-155-983

 

ESMA Opinion on position limits on corn contract, 10 August 2017, ESMA70-155-988

 

ESMA Opinion on position limits on rapeseed contract, 10 August 2017, ESMA70-155-993

 

Position limits set by the French AMF

 

AMF Position limits for commodity derivatives traded on Powernext – DOC-2017-11

 

AMF Position limits for commodity derivatives traded on Euronext – DOC-2017-12

 

Position limits set by the Norwegian Finanstilsynet

 

Adoption of regulations on position limits for commodity derivatives, Norwegian Finanstilsynet, 20 December 2017, document number 21/2017

 

 

  

 

 

 

 

 

 

IMG 0744

    Documentation    

 

 

 

 

 

 

ESMA Opinion, Determining third-country trading venues for the purpose of position limits under MiFID II, 15 December 2017, ESMA70-154-466 

 

In the Opinion of 15 December 2017 ESMA decided that:

 

- pending an ESMA’s assessment of third-country trading venues and the publication of the results, commodity derivative contracts traded on third-country trading venues should not be considered economically equivalent OTC under Article 6 of RTS 21, hence, not subject to the EU position limits regime,

 

- the ESMA’s publication will include both lists of third-country trading venues: meeting and not meeting a set of stipulated criteria.

 

Financial Markets Law Committee (FMLC) Letter to ESMA of 3 November 2017 on legal uncertainties arising in the context of Article 4 RTS 21 of MiFID II

 

The FMLC’s letter asks ESMA whether “control” is meant as a proxy for a parent/subsidiary relationship for the purposes of the positions limits regime, and whether a parent undertaking is required to aggregate the positions of subsidiary undertaking where it cannot control the use of positions under RTS 21 (in cases where the subsidiary is not a collective investment vehicle).

 

Financial Conduct Authority, Commodity position limits exemption application guide, September 2017

 

Public Statement, Joint work plan of ESMA and NCAs for opinions on MiFID II pre-trade transparency waivers and position limits, 28 September 2017, ESMA70-154-356

 

ESMA's Opinion of 31 May 2017, Determining third-country trading venues for the purpose of position limits under MiFID II, ESMA70-156-112

 

Questions and Answers on MiFID II and MiFIR commodity derivatives topics ESMA70-872942901-36

 

Commission Delegated Regulation (EU) 2017/591 of 1 December 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards for the application of position limits to commodity derivatives - RTS 21

 

Commission Delegated Regulation (EU) 2017/589 of 19 July 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards specifying the organisational requirements of investment firms engaged in algorithmic trading, Article 26

 

Questions and Answers on MiFID II and MiFIR commodity derivatives topics, 19 December 2016, ESMA/2016/1673

 

ESMA amends MiFID II standards on non-equity transparency and position limits, 02 May 2016, ESMA/2016/566

 

Opinion, Draft Regulatory Technical Standards on methodology for calculation and the application of position limits for commodity derivatives traded on trading venues and economically equivalent OTC contracts, 2 May 2016, ESMA/2016/668

 

ESMA's Opinion (Annex), Amended draft Regulatory Technical Standards on the methodology for the calculation and the application of position limits for commodity derivatives traded on trading venues and economically equivalent OTC contracts, 2 May 2016, ESMA/2016/668

 

ESMA letter to the European Commission of 21 March 2016 (ESMA/2016/402) on position limits

 

ESMA Final Report of 28 September 2015 Draft Regulatory and Implementing Technical Standards MiFID II/MiFIR (ESMA/2015/1464)

 

ESMA Consultation Paper – Annex B Regulatory technical standards on MiFID II/MiFIR of 19 December 2014 ESMA/2014/1570, p. 390-399

 

Discussion Paper on MiFID II/MiFIR of 22 May 2014, ESMA/2014/548

 

Keynote speech at IDX 2015, London, 9 June 2015 ESMA/2015/921)

 

ECON MiFID II/MiFIR Scrutiny Session – 21 June 2016, Committee on Economic and Monetary Affairs European Parliament, Steven Maijoor, Chair, European Securities and Markets Authority, 21 June 2016 (ESMA/2016/940)

 

Ensuring effective and efficient regulation of European commodity derivative markets, 4 September 2015, EFET, Eurelectric, EUROPEX

 

ISDA Response to ESMA's MiFID II/MiFIR Consultation Paper of December 19, 2014, p. 166

 

FCA's Q&As MiFID II commodity derivatives

 

 

 

 

 

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    Links    

 

 

 

 

 

UK FCA website on position limits

 

German BaFin website on position limits

  

French AMF website on position limits

 

ESMA’s list of liquid commodity derivatives contracts

 

FCA's listing of position limits for commodity derivatives contracts traded on a UK trading venues

 

Positions reporting under MiFID II

 

MiFID 2: how position limits affect metal trading strategies

 

Commodity Traders Face Tougher Rules as EU Curbs Speculation

 

Will MEPs stand up for financial stability over speculation?

 

MiFID II: Conservative and Liberal alliance fails to prevent damaging food and commodity speculation

 

 

 

 

 

 

 

 

 

 

 

 

 



Last Updated on Saturday, 20 October 2018 10:40
 

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