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    MiFID II entered into force on 3 Jan 2018

    For information purposes only! The information on this website does not provide or substitute legal advice!

    MiFID II, the revision of MiFID I and a new regulation, MiFIR changes the rules for trading commodity derivatives. All derivatives contracts are effected by MiFID II and led to increased reporting requirements for trading participants. EEX Group built up a unique compliance service framework to meet MIFID II requirements with minimal effort.

    All traders exceeding the ancillary activity exemption threshold are categorised as an investment firm and are therefore inside the scope of MiFID II. Only traders with ancillary activities in trading commodity derivatives stay outside the scope of MiFID II.

    Every commodity derivative contract is subject to position limits (see more information in tables below) and trigger the obligation for market participants as well as trading venues to report positions.


    MiFID II short code upload tutorial
    Learn more about MiFID II related changes to the trading system and how to upload short codes in our video tutorial.

    Further Information

    Level

    Description

    Legal Basis

    Level 1

    Overarching framework legislation produced using standard co-decision procedure

    Directive (EU) No. 2014/65  of  15  May  2014

    on  markets  in  financial  instruments  and  amending  Directive  2002/92/EC  and  Directive  2011/61/EU, or simply the Markets in Financial Instruments Directive (MiFID II)  

    Regulation (EU)  No. 600/2014  of  15  May  2014

    on  markets  in  financial  instruments  and  amending  Regulation  (EU)  No  648/2012, or simply the Market in Financial Instruments Regulation (MiFIR).

    Level 2

    Secondary legislation containing additional definitions and matters of detail, which is produced separately by the European Commission in consultation with ESMA, following the Level 1 legislation.

    EC overview of Regulatory Technical Standards (RTSs) and Implementing Technical Standards (ITSs). Once published by the Official Journal, RTSs and ITSs are called Delegated and Implementing Regulations respectively.

    E.g.:

    Level 3

    Guidance designed to ensure that EU legislation is applied by the respective competent authorities in EU Member States as consistently as possible. It follows the Level 1 and Level 2 legislation.

    ESMA guidelines and Q&As

    Example: ESMA Q&A on MiFID II and MiFIR commodity derivative topics

    Pre-Trade Transparency

    Based on the Regulation (EU) No 600/2014 (MiFIR) supplemented by the Delegated Regulation (EU) 2017/567 (RTS), additional obligations for the publication of market data (pre- and post-trade transparency regime for commodity derivate products and emission certificates) became effective 3 January 2018. 

     

    Pre-trade transparency for orderbook trading stream 

    EEX provides the pre-trade transparency data for trading via the respective market data system of the Deutsche Börse Group. More detailed information are published here and at EEX Market Data according to MiFIR.

     

    Pre-trade transparency requirements for to the EEX Trade Registration process (Trade Entry Service) 

    In order to ensure regulatory compliance with pre-trade transparency requirements for pre-arranged transactions (also commonly known as ‘block trades’ or ‘OTC-cleared transactions’), as laid down in Art. 8 of the Markets in Financial Instruments Regulation (MiFIR), Commission Delegated Regulation 2017/583 and the ESMA Q&A on MiFID II and MiFIR transparency topics, EEX adapted its trade registration procedures as of 1 January 2020. 

    The EEX solution was developed with a focus on minimizing the impact on the existing trade registration process on the member side, while at the same time meeting the regulatory requirements to provide transparency for pre-arranged transactions that can be acted upon by third parties before a trade is executed. 

     

    Process 

    For every pre-arranged transaction that does not benefit from a waiver (“Large In Scale” – for larger trades above specified thresholds – and “Illiquid Instruments”) or an exemption, EEX will ensure pre-trade transparency by redirecting automatically the respective trading interests of both counterparties to a platform, where it will trigger a volume auction at the price of the pre-arranged transaction. Trading participants, who intend to interact manually with the platform, are able to apply for a respective access.  

    Pre-Trade Tansparency Downloads
    2023-06-02 Archive Large in Scale (LIS) parameters / Minimum Quantity Sizes Documents MiFID II / MiFIR zip (899 KB)
    2023-06-02 Large in Scale (LIS) parameters / Minimum Quantity Sizes valid from 5 June 2023 Documents MiFID II / MiFIR pdf (178 KB)
    2019-12-03 Questions & Answers Documents MiFID II / MiFIR pdf (271 KB)

    TR Transparency Platform

    More

    Position Limits

    As part of the implementation of the Markets in Financial Instruments Directive II (MiFID II), position limits for commodity derivatives were introduced on 3rd January 2018. Following national implementation of the MiFID II Quick Fix as part of the 2020 Capital Markets Recovery Package, as of 28 November 2021 position limits only apply to agricultural commodity derivatives and ‘critical or significant’ commodity contracts, i.e. commodity derivatives contracts with a net open interest at least of 300,000 lots.

    Concretely, this means that upper limits for holding those derivatives are applicable. Neither individual undertakings nor groups of undertakings are allowed to hold positions that, in aggregate, exceed these thresholds. However, there is a possibility to take out positions from the limit calculation by making use of a hedging exemption for positions which are objectively measurable as reducing risks (see chapter “Hedging Exception” for further details).

    The following products at EEX currently have position limits:

    Contract

    Venue

    MIFID Venue Product Code
    Future / Option

    Position limit for spot month

    Position limit for other months

    EEX European Liquid Milk Futures

    European Energy Exchange AG (EEX)

    FALM

    10,000 lots

    		 10,000 lots

    EEX European Skimmed Milk Powder Futures

    European Energy Exchange AG (EEX)

    FASM

    10,000 lots

    		 10,000 lots

    EEX European Whey Powder Futures

    European Energy Exchange AG (EEX)

    FAWH

    10,000 lots

    		 10,000 lots

    EEX European Butter Futures

    European Energy Exchange AG (EEX)

    FABT

    10,000 lots

    		 10,000 lots
    EEX European Processing Potato Future European Energy Exchange AG (EEX) FAPP

    10,000 lots

    		 10,000 lots

     (Updated 02 March 2023)

     

     

    What are position limits for commodity derivatives?

    Under Article 57 (2) of MiFID II, position limits specify quantitative thresholds for the maximum size of a position in a commodity derivative held by one person or group of undertakings. This position is generally the netted position on position holder level in one commodity derivative. Position holders in this sense are the first non-investment member in the chain.

     

    Who determines the position limits?

    Position limits are determined by the competent authority of the Member State in which the trading venue the commodity derivative is predominately traded on is established. BaFin is the competent authority for Germany.

     

    What types of position limits are existent?

    The Directive makes a distinction between spot months and other months and provides a bespoke treatment for illiquid agricultural commodity derivatives contracts.

    Spot month contract means the commodity derivative contract in relation to a particular underlying commodity whose maturity is the next to expire. The other month contract, on the other hand, reflects all remaining maturities combined. BaFin sets the limit taking into account the below baselines.

    Baseline for spot months Baseline for all other months
    25% of deliverable supply (DS) 25% of total open interest (OI)

    In order to protect the development of illiquid agricultural derivatives contracts, the position limit for the spot month and for other months is set at a fixed level of 10,000 lots until the open interest of the derivative exceeds a threshold of 20 000 lots.

     

     

     

    Hedging Exemption

    Non-financial entities may be exempt from considering the position limit for positions in commodity derivatives if these positions are objectively measurable as reducing risks directly relating to their primary commercial activity.

    Please be reminded that an application for a hedging exemption is only necessary for those products on which the position limits are still applicable.

    A company aiming to make use of the exemption has to fulfill the following preconditions:

    • By BaFin approved application for hedging exemption for a certain market (“venue product code” level)

    • Flagging of the relevant positions in the daily position reporting, either by:

      • set a default hedge flag at member level (use “MiFID II/MIFIR Data Services Agreement -> Service Agreement, chapter 2.1. or
      • set a default value at account level (also via the Service Agreement, chapter 2.1. page 5) or
      • adaption of the daily position reporting

    Once an exemption has been granted and positions are approved as risk-reducing and the position is flagged as “hedge”, those positions fall outside the position limit regime.

    How to apply for an exemption?

    Exemptions have a positive effect if the non-financial entity concerned is expected to have a trading volume in the commodity derivative that moves along the lines of the actual position limit. EEX supports their members to identify this situation in context of the weekly monitoring process.

    • Applicants can submit their applications via email to Positionslimits-MIFID@bafin.de. Alternatively, it is also possible to make use of a specialised procedure by BaFin's reporting and publishing platform (MVP Portal). Further details about the portal are published by BaFin here: "Position limits in commodity derivatives and reporting” 
    • BaFin will approve/reject the application within 21 calendar days, the latest. In practice, this procedure often takes less time.
    • Bafin provides all necessary information for hedging exemption application on their website including the relevant form here (link).
    • Please note, applicants should file the final application in the German language. Meaning, by making use of the German language version of the application form and entering all responses in German. For information purposes, there is an English language version of the application form available. All correspondence with BaFin prior to the final application can also be held in English.

    Hints for filling the exchange (EEX) related data fields in the application form:

    Chapter B3

    • Field 1: Market -> use the naming from the EEX list
    • Field 2: MiFID venue code -> use the MiFID venue code
    • Field 3: choose “XEEE” (operational MIC code)
    • Field 4: automatically filled

    Example for French Power Future (Peak) market

    Chapter B4

    (commodity classification according (EU) 2017/585 annex/table 2

    • Field 1: base product
    • Field 2: sub product
    • Field 3: further sub product

    Example for French Power Future (Peak) market

    Short Code/ AlgoID Upload

    With regard to Regulation (EU) No. 600/2014 and in particular the reporting obligation under Article 26 of MiFIR; the regulatory technical standard - RTS 22  (EU 2017/590) -  specifies the report requirements for the Transaction reporting.  RTS 24 (EU 2017/580) defines the requirement for the “Order Record Keeping Report/Audit Trail Reporting”.

    In order to fulfill these requirements, EEX integrated new fields in the trading system. Following fields need special additional activities for from trading participants:

    • Client ID (for the MiFID field “Client identification code”)
    • Execution ID (for the MiFID field “Execution within firm”)
    • Investment ID (for the MiFID field “Investment decision within firm”)

    EEX follows the EU-wide industry “short code solution” standard. Trading participants shall insert the information of the ESMA fields “client identification code”, the “execution within firm” and the “investment decision within firm” in the respective T7 fields by using short codes instead of the actual values (NationalID, LEI). They have that’s why to upload the related mapping data sets of short /long codes separately to enable the final report generation with the long values.

    Details for the upload procedure are described in the Reporting Handbook, see below.

    Downloads:

    • Please find related short code and AlgoID upload and reporting guides and handbooks here under “Client & Member Reference Data” >  MiFID II/MiFIR
    • CRE/CUE Guide > The Common Report/Upload Engine User guide can be found under the following link: Deutsche Börse -> Choose the latest release -> Reports -> Common Report & Upload Engine User Guide.

    Reports

    RTS 2 pre-trade transparency

    EEX provides the pre-trade transparency data for trading via the respective market data system of the Deutsche Börse Group. More detailed information are published here: https://www.mds.deutsche-boerse.com/mds-en/real-time-data/mifid-ii-disaggregated-information-products

    Please be aware that the quotation time is displayed in UTC.
     

    RTS27 reports (regulatory technical standards)

    Please note
    In accordance with the planned amendment (following the MiFID II quick fix) of the German BörsG, new article 53, EEX will suspend the publication of the Best Execution Reports (article 26e German BörsG, RTS27) until further notice. The amendments will apply as of 28 November 2021.

    The MiFID II regulation aims at achieving transparency over companies’ order execution modalities through a best execution scheme. As trading venues whose asset class has been identified by ESMA’s Regulatory Technical Standards (RTS27), EEX is required to implement reporting and monitoring procedures to determine the best way to execute client orders, taking into consideration the regulation.

    Consequently, EEX will publish quarterly 5 reports including the following information for each financial instrument, each trading day and each trading venue:

    • Transaction prices (simple and volume-weighted averages, highest and lowest, best bids and best asks, etc.)
    • Transaction volumes
    • Transaction timestamps
    • Trading systems
    • Trading modes
    • Number orders or request for quotes received
    • Etc.

    The reports will be published for report table 1-4 and 6-8 on a daily, and for report table 5 on a quarterly basis on the respective websites:

    > Daily RTS 27 Report 

    > Quarterly RTS 27 Report
     

    Commitment of Traders (CoT) Report

    The Commitment of Traders (CoT) report covers the following categories to the nature of your firm’s main business pursuant to Article 58 para 4 MiFID II in conjunction with the requirements set out in Commission Implementing Regulation (EU) 2017/1093 (ITS 4) for the weekly reports, taking into account any applicable authorisation:

    • Investment firms or credit institutions
    • Investment funds
    • Other financial institutions
    • Commercial undertakings
    • Operators with compliance obligations under Directive 20003/87/EC

    The information in the report indicates the open interest of derivative contracts of both long and short positions and illustrates which category of market actors is involved.

    Commitment of Traders (CoT) report

    to the CoT report download

    Volatility interruptions

    Volatility safeguards and other price determination safeguards are implemented at EEX' markets in accordance with MiFID II as well as the German Exchange Act. In this regard, it is necessary to distinguish, in particular, between the automatic volatility interruption mechanism and the temporary market suspension, which falls under the discretion of the Management Board of the Exchange.

    a. Automatic volatility interruption mechanism

    After the go-live of MiFID II in 2018, EEX implemented automatic volatility interruptions as a circuit breaker functionality in accordance with section 24(2b) German Exchange Act, implementing Art. 48 (5) MiFID II. These are meant to diminish the likelihood and extent of short-term price spikes or aberrant market moves and aims at giving market participants time to evaluate the information that is causing price change.

    The trigger for a volatility interruption in the central limit order book is a significant price movement in a continuously traded derivative or spot contract (with the exception of natural gas spot contracts, see below). The exchange determines dynamic ranges within which prices may go up or down (price difference parameter) within a certain timeframe (time difference parameter) in a specific contract (e.g. German Power Base Year). If the next expected execution price, with respect to a specific time frame, is outside a specific price range:

    • The market is temporarily halted. All non-persistent orders will be automatically deleted by the derivatives trading System T7.
    • Immediately afterwards, a pre-trading period will be triggered where visible orders can be entered into or changed in the trading system but without immediate matching. During this period, only prices of orders (not the quantity) are visible and in case of a potential matching, the market price (indicative and non-tradable price) is displayed.
    • Markets are set to continuous trading again as soon as reasonably possible. With regard to EEX Natural Gas Futures (including EEX EGSI Futures) and EEX Power Futures, a halting period of at least 5 minutes will apply as of 13 February 2023.

    The volatility interruption mechanism prevents large price swings regardless of the direction in which the market is moving. It allows the market operations department as well as market participants to assess the situation calmly during a hectic market phase.

    The exact parameters take into account the liquidity in each contract. EEX does not publish the parameters of the volatility interruption mechanism to prevent misuse.

    In accordance with Article 15(6) of Regulation (EU) 2022/2576, EEX has implemented the so-called intra-day volatility management mechanism by integrating it into its existing circuit breakers already established in accordance with Directive 2014/65/EU, which are described above.

    b. Price deviation control mechanism for Natural Gas Spot Contracts

    With regard natural gas spot contracts, no automatic volatility interruption mechanism applies. EEX has implemented a price deviation control mechanism. More specifically, EEX determines dynamic ranges within which prices of orders may go up or down (price difference parameter) within a certain timeframe (time difference parameter) in a specific contract. Orders outside these ranges do not trigger an automatic volatility interruption but are rejected. A potential market halt is left to the discretionary market suspension mechanism described below.

    c. Trade Registration Price Ranges

    Trade Registration is not subject to the volatility interruption mechanism implemented at EEX as described above. However, EEX has implemented so-called Trade Registration Price Ranges with regard to the permitted entry price (Section 11 of EEX Trade Registration Rules). 

    d. Market Suspension

    The Management Board of the Exchange, who is subject to legal supervision of the exchange supervisory authority (Saxon State Ministry for Economic Affairs, Labor and Transport) could decide to temporarily suspend trade execution of all derivatives and spot markets and set the markets into Pre-Trading Period. Similar to the automatic volatility interruption mechanism, during this period only prices of orders (not the quantity) are visible and in case of a potential matching also the market price is displayed.

    Such a potential suspension would be based on the full consideration of all market conditions by the Management Board of the Exchange. More information can be found in our Q&A on potential EEX Derivatives Markets Suspension.

    Contact

    Do you have any questions? Please send us an e-mail.

    mifid-mifir-reporting@eex.com reporting-services@eex.com

    Questions on regulatory issues?

    Deutsche Börse provides an overview on regulatory topics on a dedicated website.

    visit Deutsche Börse

    FAQs

    Any questions regarding MiFID / MiFIR Outline?

    Get answers here

    Key Information Documents

    more

    MiFID II/MiFIR Data Services Agreement

      Please make sure to submit.

    download

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