On 10 August, EU ESMA issued first MiFID II commodity position limit.
- ESMA agreed with proposed commodity derivative position limits from French AMF.
- Limits for rapeseed; corn; and milling wheat, consistent with objectives in MiFID II.
- In line with the methodology developed for setting those limits for liquid contracts.
- As of 3 January 2018 and MiFID II application, limits will apply to the net positions.
- NCAs have to set position limits for commodity derivatives and notify ESMA of them.
- MATIF/Euronext contract covers rapeseed from any origin, that can deliver into EU.
- Spot month definition includes 90 calendar days with the limit split into two periods.
- AMF set spot month limit of first 78 days at 25,000 lots, (20.2% deliverable supply).
- Over last 12 trading sessions before expiry, limit decreases to 7,000 lots, (or 5.7%).
- Open interest amounts to 77,800 lots, based on daily average of 2016 issued by TR.
- Other month limit: split into two periods: 21 days before expiry; and the remainder.
- In 21 days before expiry of spot month, limit is 25,000 lots (32% of open interest).
- For rest of other months’, the position limit is 20,000 lots, (25.7% of open interest).