On November 23rd 2017, a few weeks before the implementation of MiFID II on January 3rd 2018, the AFM has published proposed position limits for all commodity derivatives traded on a trading platform located or managed in the Netherlands, which are outlined in below table. These limits also apply to both economically equivalent OTC contracts (EEOTC), and to the positions held by a person and the positions that are held on his behalf at a group level.
If a position limit is (about to be) exceeded, the AFM may force a person not to enter into new agreements with regard to a commodity derivative to which that position limit applies or to reduce the volume of the position within a reasonable period set by the AFM.
The AFM intends to set the position limits for commodity derivatives as stated in the table below. The AFM has informed ESMA about the proposed position limits in accordance with Article 57, paragraph 5, MIFID II. ESMA has indicated in a public statement that it will not be possible for them to finalize and publish all opinions on position limits for liquid commodity derivatives before the end of this year. It is likely that ESMA's opinions will not deviate from the proposed position limits below. However, the possibility still exists.
Since January 3rd 2018, the date that MiFID II became effective, the AFM monitors the position limits, subject to the section below entitled 'Notes applicable to specific contracts'.
Notes applicable to specific contracts
This list contains liquid commodity derivative contracts that are currently identified as being traded on a trading platform in the Netherlands. The position limit outlined in the table below applies to these derivatives. As can be seen it presents relevant market-, product-, and contract features as well as the date that a position limit becomes effective, since this is updated /may be extended over time to include new position limits for other commodity derivatives.
Each commodity derivative contract has a separate proposed limit for the spot month and for the other months’ periods. The total net position in the commodity derivative has to be calculated by aggregating all positions that the person holds in the commodity derivative and in economically equivalent OTC derivative contracts based on Article 5: 89b of the Wft . The specific contracts to be aggregated are identified in the table below with their Venue Product Codes (VPC).The new and illiquid commodity derivatives which are traded on a trading platform in the Netherlands and which are not listed in the table with their Venue Product Codes have a limit of 2,500 lots based on Article 15, first paragraph, under the delegated regulation (EU) 2017/591, unless the position limit has been set by another competent authority in any other member state.
After the AFM has set a position limit, that position limit may be changed if the deliverable stock or the total open interest has changed substantially or in case of another significant change on the market (Article 5: 89a, third paragraph, Wft). After a change, the details of the new limit and the start date will be presented in the table below (commodity derivative name can be recognized by an asterisk).
|Commodity Derivative Name||Effective date (dd-mm-yyyy)||Venue Market Identifier code (MIC)||Name of Trading Venue||Venue Product Codes (VPC)||Spot month single limit||Other months’ limit||Unit of measurement|
|Dutch power Physical Base Futures||03-01-2018||NDEX||ICE Endex||DPB, DPW||6.171.725
|Dutch power Physical Peak Futures||03-01-2018||NDEX||ICE Endex||DPA||2.262.967
|Belgian power Physical Base Futures||03-01-2018||NDEX||ICE Endex||BPB||4.218.480
|Dutch TTF Gas||03-01-2018||NDEX||ICE Endex||TFM, TFE||39.216.420 (25%)||164.372.396 (30%)||MWh|
|*Italian PSV Gas||23-08-2018||NDEX||ICE Endex||IGA||54.779.220 (25%)||2.766.240