- Follows 24 October, ESMA new opinion on FCA commodity position limits.
- The limits apply to named commodity in aggregate with mini, Balmo, mini-Balmo.
- Where Balance of Month (Balmo) has same contractual specifications as derivative.
- If two contracts traded in different units, position applies to positions in aggregate.
- New position limits include derivatives based on different types of coal, gas and oil.
- ESMA’s opinions agree nine position limits proposed by Financial Conduct Authority (FCA).
- Covers ESMA opinion on exact position limit for commodity futures and options contracts.
- On zinc, tin, nickel, lead, copper, aluminium, ICE white sugar, Robusta coffee and cocoa.
- Found position limits by the FCA were consistent with the objectives established in MiFID.
- NCAs set specific position limits for commodity derivatives and notify ESMA of their plan.
- ESMA is also publishing a list of liquid contracts that will receive a bespoke position limit.
- FCA’s spot month limit is 7,000 lots. This constitutes 19% of the reference amount used.
- Baseline for spot month limit is 25% of deliverable supply as required by Art 9(1) RTS 21.
- The other months limit amounts to 78,800 lots. Constitutes 14.5% of reference amount.
- Spot month limit is 1,700 lots (22.9% of the deliverable supply) adjusted downward 1%.
- The other months limit amounts to 4,750 of lots and represents 22.3 of the open interest.
- Spot month limit is 25,150 lots (20% reference) adjusted downward by 3% for market size.
- Other months limit amounts to 80,200 lots (21% reference) adjusted upward for expires.
- Spot month limit is 4,950 lots (22.9% reference) adjusted downward by 2% for market size.
- Other months limit amounts to 33,700 lots (19.5% reference) upward adjustment expires.
- Spot month limit is 13,950 lots (17% reference) adjusted downward for large open interest.
- Other months limit is 106,900 lots (18% reference) upwards adjustment for large expires.
- Spot month limit is 47,450 lots (14.5% reference) – 3.5% downward adjustment for delays.
- Other months limit is 202,950 reduced by 2% for large number of separate expires (228).
ICE White Sugar
- FCA set baseline for spot month at 20% as this is a contract for food intended for humans.
- With no adjustments this represents baseline of 20% with lots of 18,963 rounded to 18,950.
- Spot month limit is 19,700 lots (20% deliverable supply) definition includes 60 calendar days.
- Limit set by FCA applies for entire spot month and is higher than ICE delivery limits applied.
- Spot month limit is 48,350 lots (20% deliverable supply), month until expiry of next contract.
- It does not necessarily include a set number of days. Other month limit is 102,550 lots (25%).
- ESMA is of opinion that position limits comply with RTS 21 and with method in Art 57 MiFID II.