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MAR 10.1 Application

Introduction

MAR 10.1.1 G RP
  1. (1)

    1The purpose of this chapter is to implement articles 57 and 58 of MiFID by setting out the necessary directions, rules and guidance.

  2. (2)

    In particular, this chapter sets out the FCA’s requirements in respect of provisions derived from2:

    1. (a)

      articles 57(1) and 57(6) of MiFID, which require it2 to establish limits, on the basis of a methodology determined by ESMA, on the size of a net position which a person can hold, together with those held on the person’s behalf at an aggregate group level, at all times, in commodity derivatives traded on trading venues and economically equivalent OTC contracts to those commodity derivatives;

    [Note: articles 3 and 4 of MiFID RTS 21]

    1. (b)

      article 57(8) of MiFID, which requires MiFID investment firms and market operators operating a trading venue which trades commodity derivatives to apply position management controls;

    2. (c)

      article 58(1) of MiFID, which requires MiFID investment firms and market operators operating a trading venue which trades commodity derivatives or emission allowances to provide the competent authority with reports in respect of such positions held; and

    3. (d)

      article 58(2) of MiFID, which requires investment firms trading in commodity derivatives or emission allowances outside a trading venue to provide the competent authority2with reports containing a complete breakdown of their positions held through such contracts traded on a trading venue and economically equivalent OTC contracts, as well as of those of their clients and the clients of those clients until the end client is reached.

  3. (3)

    The position limit requirements apply to both authorised persons and unauthorised persons. As such, the MiFI Regulations provide for a separate regulatory framework in relation to such persons. This framework is set out in:

    1. (a)

      Part 3 of the MiFI Regulations (‘Position limits and position management controls in commodity derivatives’); and

    2. (b)

      Schedule 1 to the MiFI Regulations (‘Administration and enforcement of Part 3, 4 and 5’), which provides for the administration and enforcement of position limits established by the FCA, and of the reporting of positions in commodity derivatives, emission allowances and economically equivalent OTC contracts.

    This chapter complements and adds to the regulatory framework in the MiFI Regulations by establishing the applicable position limits.

Scope and territoriality

MAR 10.1.2 G RP
  1. (1)

    The scope of this chapter is as follows: In respect of position limit requirements in MAR 10.2, a commodity derivative position limit established by the FCA in accordance with MAR 10.2.2D(1) applies regardless of the location of the person at the time of entering into the position and the location of execution.

[Note: article 57(14)(a) of MiFID]

  1. (2)

    In respect of position management controls requirements:

    1. (a)

      the requirements contained or referred to in MAR 10.3 apply to persons operating a trading venue which trades commodity derivatives in respect of which the FCA is the 2competent authority; and

    2. (b)

      in the case of a UK branch of a third country investment firm operating an MTF or OTF, MAR 10.3 applies in the same way as it does to a UK firm operating a multilateral trading facility or an OTF.

  2. (3)

    In respect of position reporting requirements:

    1. (a)

      the position reporting requirements in MAR 10.4 apply to:

      1. (i)

        a2regulated market; and

      2. (ii)

        a UK firm or a UK branch of a third country investment firm operating a multilateral trading facility or an OTF,

      when operating a trading venue which trades commodity derivatives or emission allowances; and

    2. (b)

      the position reporting requirements in MAR 10.4 apply to an investment firm regardless of its location at the time of entering into the position and the location of execution.

Structure

MAR 10.1.3 G RP

This chapter is structured as follows:

  1. (1)

    MAR 10.1 sets out an introduction to MAR 10, a description of the application of MAR 10 to different categories of person, an explanation of the approach taken to the UK transposition of articles 57 and 58 of MiFID, the scope and territoriality of this chapter, and the structure of this chapter.

  2. (2)

    MAR 10.2 sets out the position limit requirements.

  3. (3)

    MAR 10.3 sets out the position management controls requirements.

  4. (4)

    MAR 10.4 sets out the position reporting requirements.

  5. (5)

    MAR 10.5 sets out other reporting, notification and information requirements.

MAR 10.2 Position limit requirements

Establishing, applying and resetting position limits

MAR 10.2.1 G RP
  1. (1)

    1The following provisions of the MiFI Regulations regulate the establishment, application and resetting of position limits:

    1. (a)

      Regulation 16(1) imposes an obligation on the FCA to establish position limits in respect of commodity derivatives traded on trading venues in the United Kingdom and economically equivalent OTC contracts;

    2. (b)

      Regulation 16(2) imposes an obligation on the FCA to establish position limits on the basis of all positions held by a person in the contract to which the limit relates and those held on the person’s behalf at an aggregate group level;

    3. (c)

      Regulation 16(4) imposes an obligation on the FCA to publish the position limits it establishes in a manner which the FCA considers appropriate;

    4. (d)

      Regulation 18 imposes an obligation on the FCA to ensure that each position limit established by it specifies clear quantitative thresholds for the maximum size of a position in a commodity derivative that a person can hold;

    5. (e)

      Regulation 19(1) imposes an obligation on the FCA to establish position limits in accordance with ESMA’s methodology, unless an exceptional case exists under Regulation 25 of the MiFI Regulations;

    6. (f)

      Regulation 19(2) imposes an obligation on the FCA to review position limits it has established in the presence of certain factors;

    7. (g)

      Regulation 19(3) imposes an obligation on the FCA to establish a new position limit following its review if it believes that the limit should be reset;

    8. (h)

      [deleted]2

    9. (i)

      [deleted]2

    10. (j)

      Regulation 23 imposes general obligations on the FCA in respect of the position limits it establishes, so that the limits must be transparent and non-discriminatory, specify how they apply to persons, and take account of the nature and composition of market participants and of the use they make of the contracts admitted to trading;

    11. (k)

      Regulation 25(1) prohibits the FCA from establishing position limits which are more restrictive than permitted under MiFID RTS 212 unless in exceptional cases where more restrictive position limits are objectively justified and proportionate;

    12. (l)

      Regulation 25(2) to Regulation 25(5) impose obligations on the FCA where it establishes position limits which are more restrictive than permitted under MiFID RTS 212in accordance with Regulation 25(1) of the MiFI Regulations. The obligations are that the FCA must publish that position limit on its website, and2 not apply that position limit for more than six months from the date of publication unless further subsequent six-month application periods for that limit are objectively justified and proportionate; and2

    13. (m)

      [deleted]2

    14. (n)

      Regulation 27 empowers the FCA to require a person to provide information on, or concerning, a position the person holds, or trades the person has undertaken, or intends to undertake, in a contract to which a position limit relates.

  2. (2)

    MiFID RTS 21 provides a methodology for the calculation of position limits on commodity derivatives, and rules for the calculation of the net position held by a person in a commodity derivative.

  3. (3)

    MiFID RTS 21 provides that the FCA can establish different position limits for different times within the spot month period or other months’ period of a commodity derivative, and for the spot month period, those position limits shall decrease towards the maturity of the commodity derivative, and shall take into account the position management controls of trading venues.

[Note: article 57 of MiFID]

Application of position limits

MAR 10.2.2 D RP
  1. (1)

    1A person must comply at all times with commodity derivative position limits established by the FCA, published at www.fca.org.uk.

  2. (2)

    A direction made under (1) applies where a commodity derivative is traded on a trading venue in the United Kingdom.2

  3. (3)

    Position limits established under (1) shall apply to the positions held by a person together with those held on its behalf at an aggregate group level (subject to the non-financial entity exemption in regulation 17(1) of the MiFI Regulations).

  4. (4)

    Position limits established under (1) shall apply regardless of the location of the person at the time of entering into the position.

  5. (5)

    Position limits established under (1) prior to 3 January 2018, will apply from 3 January 2018.

[Note: articles 57(1) and 57(14) of MiFID; and MiFID RTS 21 in respect of ESMA’s methodology for competent authorities to calculate position limits]

Non-financial entity exemption

MAR 10.2.3 G RP
  1. (1)

    1Regulation 17 of the MiFI Regulations regulates the position limit exemption applicable to positions in a commodity derivative held by or on behalf of a non-financial entity which are objectively measurable as reducing risks directly relating to the commercial activity of that non-financial entity, and which is approved by the FCA in accordance with the relevant criteria and procedures. Regulation 17(1) imposes an obligation on the FCA to disregard such positions, when calculating the position held by such entities in respect of a commodity derivative to which a position limit applies.

  2. (2)

    Regulation 17(2) of the MiFI Regulations enables the FCA to receive applications from non-financial entities for the purposes of obtaining an exemption from the position limits which it sets and in such form as the FCA may direct.

  3. (3)

    MiFID RTS 21 stipulates detail on positions qualifying as reducing risks directly related to commercial activities, and the application for the exemption from position limits.

  4. (4)

    MiFID RTS 21 clarifies that a non-financial entity shall notify the FCA if there is a significant change to the nature or value of that non-financial entity’s commercial activities, or its trading activities in commodity derivatives. The obligation arises where the change is relevant to the description of the nature and value of the non-financial entity’s trading and positions held in commodity derivatives and their economically equivalent OTC contracts in a position limit exemption application it has already submitted. In this case, a non-financial entity must submit a new application if it intends to continue to make use of the exemption.

[Note: article 57(1) of MiFID]

MAR 10.2.3A G

3A trading venue operator can receive applications from non-financial entities and financial entities for the purposes of obtaining an exemption from the position limits it sets. The different types of exemptions and relevant criteria and procedures are set out in MAR 10.2.6R to MAR 10.2.28G.

Non-financial entity exemption application

MAR 10.2.4 D RP

[deleted]3

1
MAR 10.2.5 G RP

[deleted]2

1
MAR 10.2.6 R

3A trading venue operator may determine that a non-financial entity’s position for the purposes of a position limit does not include a position it holds, or one held on its behalf, which is:

  1. (1)

    objectively measurable as reducing risks directly relating to its commercial activity; and

  2. (2)

    approved by the trading venue operator setting the position limit in accordance with:

    1. (a)

      the relevant criteria and methods in MAR 10.2.7R; and

    2. (b)

      the relevant procedure in MAR 10.2.9R to MAR 10.2.10R.

MAR 10.2.7 R

3A trading venue operator may make the determination in MAR 10.2.6R where it is satisfied that the following criteria are met:

  1. (1)

    a position held by a non-financial entity:

    1. (a)

      reduces the risks arising from the potential change in the value of assets, services, inputs, products, commodities or liabilities that the non-financial entity or its group owns, produces, manufactures, processes, provides, purchases, merchandises, leases, sells, or incurs or reasonably anticipates owning, producing, manufacturing, processing, providing, purchasing, merchandising, leasing, selling or incurring in the normal course of its business; or

    2. (b)

      qualifies as a hedging contract pursuant to UK-adopted IFRS; and

  2. (2)

    the position held by the non-financial entity is capable of being unwound in an orderly way.

MAR 10.2.8 G

3For the purposes of discharging the obligation in MAR 10.2.7R(2), a trading venue operator should consider its own rules and appropriate metrics, such as the size of the position relative to the open interest in the relevant market and market conditions, including liquidity.

MAR 10.2.9 R

3When making a determination in accordance with MAR 10.2.6R, a trading venue operator must require a non-financial entity to submit to it at least the following information, at the time of its application and in relation to the following 12 months, which demonstrates how the position reduces risks directly relating to the non-financial entity’s commercial activity:

  1. (1)

    a description of the nature and value of the non-financial entity’s commercial activities in the commodity underlying the commodity derivative for which an exemption is sought;

  2. (2)

    a description of the nature and value of the non-financial entity’s activities in the trading of and positions held in the relevant commodity derivatives traded on trading venues and in related OTC contracts;

  3. (3)

    a description of the nature and size of the exposures and risks in the commodity which the non-financial entity has or expects to have as a result of its commercial activities and which are or would be mitigated by the use of commodity derivatives; and

  4. (4)

    an explanation of how the non-financial entity’s use of commodity derivatives directly reduces its exposure and risks in its commercial activities.

MAR 10.2.10 R

3A qualifying risk-reducing position taken on its own or in combination with other derivatives is one, for the purposes of MAR 10.2.6R, for which the non-financial entity:

  1. (1)

    describes the following in its internal policies:

    1. (a)

      the types of commodity derivative contract included in the portfolios used to reduce risks directly relating to commercial activity and their eligibility criteria;

    2. (b)

      the link between the portfolio and the risks that the portfolio is mitigating; and

    3. (c)

      the measures adopted to ensure that the positions concerning those contracts serve no other purpose than covering risks directly related to the commercial activities of the non-financial entity, and that any position serving a different purpose can be clearly identified; and

  2. (2)

    is able to provide a sufficiently disaggregated view of the portfolios in terms of class of commodity derivative, underlying commodity, time horizon and any other relevant factors.

MAR 10.2.11 R

3A trading venue operator must require a non-financial entity to notify it:

  1. (1)

    promptly if there is a significant change to the nature or value of the non-financial entity’s commercial activities or its trading activities in commodity derivatives, and the change is relevant to the information required in MAR 10.2.9R;

  2. (2)

    promptly of a breach of any condition relating to an exemption; and

  3. (3)

    in any event, on an annual basis, of its intention to rely on the exemption or otherwise, and supplying any changes to the information previously submitted in accordance with MAR 10.2.9R.

MAR 10.2.12 R

3A trading venue operator must notify the FCA:

  1. (1)

    promptly of an exemption granted to a non-financial entity in accordance with MAR 10.2.6R, including any conditions such as an exemption ceiling attached to the exemption; and

  2. (2)

    on an annual basis of all exemptions from position limits, granted by it to non-financial entities, including:

    1. (a)

      any exemption ceilings;

    2. (b)

      positions that exceeded those exemption ceilings; and

    3. (c)

      steps taken to address resulting risks.

MAR 10.2.13 R

3A trading venue operator must review exemptions from position limits granted to non-financial entities:

  1. (1)

    at least on an annual basis; and

  2. (2)

    whenever it receives a notification as described in MAR 10.2.11R.

Pass-through hedging exemption

MAR 10.2.14 R

3A trading venue operator may determine that a financial entity’s position for the purposes of a position limit does not include a position it holds or one held on its behalf for the purposes of enabling a non-financial entity to benefit from the hedging exemption.

MAR 10.2.15 R

3A trading venue operator may determine that a financial entity’s (A’s) position for the purposes of a position limit does not include a position it holds or one held on its behalf when it:

  1. (1)

    arises under a commodity derivative traded on a trading venue; and

  2. (2)

    is entered into by A on a trading venue for the purpose of off-setting the risk arising from a contract with a non-financial entity (B) facilitating hedging activity by B.

MAR 10.2.16 G

3Positions for the purposes of MAR 10.2.14R may include a position in a contract a financial entity (A) enters into on a trading venue with a non-financial entity (B) to enable B to benefit from the hedging exemption. For the purposes of MAR 10.2.15R, they may also include a position in a contract entered into on a trading venue by A to offset an OTC position it has entered into with B, when B conducts hedging activity.

MAR 10.2.17 R

3A trading venue operator may only make the determination with regard to MAR 10.2.15R when a financial entity has obtained written confirmation from a non-financial entity that the position entered into facilitates hedging activity.

MAR 10.2.18 R

3When making a determination in accordance with MAR 10.2.14R or MAR 10.2.15R, a trading venue operator must require a financial entity to submit to it at least the following information at the time of its application and where possible in relation to the following 12 months:

  1. (1)

    a description of the financial entity’s risk-mitigation services in the commodity underlying the commodity derivative for which an exemption is applied; and

  2. (2)

    a description of the financial entity’s trading activity and positions in commodity derivatives for which an exemption is applied, including in OTC commodity derivatives that relate to providing risk-mitigation services.

MAR 10.2.19 R

3A trading venue operator must require a financial entity to notify it:

  1. (1)

    promptly if there is a significant change relevant to the information set out in MAR 10.2.18R; and

  2. (2)

    on an annual basis of its intention to rely on the exemption or otherwise, and supplying any changes to the information previously submitted in accordance with MAR 10.2.18R, including information relating to the period for the next 12 months.

MAR 10.2.20 R

3A trading venue operator must notify the FCA:

  1. (1)

    promptly of an exemption granted to a financial entity in accordance with MAR 10.2.14R or MAR 10.2.15R, including any conditions such as an exemption ceiling attached to the exemption; and

  2. (2)

    on an annual basis of all exemptions from position limits granted by it to financial entities, including:

    1. (a)

      exemption ceilings;

    2. (b)

      positions that exceeded those exemption ceilings; and

    3. (c)

      steps taken to address resulting risks.

MAR 10.2.21 R

3A trading venue operator must review all exemptions from position limits granted to financial entities:

  1. (1)

    at least on an annual basis; and

  2. (2)

    whenever it receives a notification as described in MAR 10.2.19R(1).

Liquidity provider exemption

MAR 10.2.22 R

3A trading venue operator may determine that a position limit does not apply to a position held by a person for a position that is objectively measurable as resulting from a transaction consistent with obligations to provide liquidity on a trading venue.

MAR 10.2.23 R

3A trading venue operator may make the determination in MAR 10.2.22R where:

  1. (1)

    it receives an application from a person for these purposes;

  2. (2)

    the obligations to provide liquidity are clearly defined and relate to observable metrics of market quality, including depth and tightness of the spread;

  3. (3)

    the position arises from discharge of the person’s obligation as a liquidity provider; and

  4. (4)

    the exemption is temporary in duration and the person reduces its position as soon as reasonably practicable prior to the expiry of the contract.

MAR 10.2.24 R

3A trading venue operator must ensure that an application for the purposes of MAR 10.2.22R provide as a minimum a description of the liquidity the applicant provides in respect of the commodity derivatives for which an exemption from a position limit is being requested.

MAR 10.2.25 R

3A trading venue operator must notify the FCA;

  1. (1)

    promptly of an exemption granted to it in accordance with MAR 10.2.22R, including any conditions such as an exemption ceiling attached to the exemption; and

  2. (2)

    on an annual basis of all exemptions from position limits granted by it to in accordance with MAR 10.2.22R, including:

    1. (a)

      any exemption ceilings;

    2. (b)

      positions that exceeded those exemption ceilings; and

    3. (c)

      steps taken to address resulting risks.

All exemptions

MAR 10.2.26 R

3A trading venue operator must:

  1. (1)

    provide the FCA, upon request, with such information as the FCA may reasonably require to enable a fuller understanding of the basis for granting an exemption to which MAR 10.2 applies;

  2. (2)

    store information in an easily retrievable way that is accessible for future reference by the FCA for the purposes of (1); and

  3. (3)

    ensure that its systems can identify:

    1. (a)

      when an exemption under MAR 10.2 is being used in relation to a market participant’s position in a commodity derivative; and

    2. (b)

      which exemption is being used.

MAR 10.2.27 R
  1. (1)

    3A trading venue operator may establish an exemption ceiling for the purposes of any of the exemptions in MAR 10.2 where to do so would mitigate the risk that large positions otherwise pose to the orderly pricing and settlement of a critical contract.

  2. (2)

    A trading venue operator must explain in its rules how it will apply and determine an exemption ceiling, including how and when it may be amended.

MAR 10.2.28 G

3The use of an exemption ceiling can enable a trading venue operator to ensure that exempt positions are subject to appropriate management and oversight, to mitigate risks to orderly trading and settlement.

MAR 10.3 Position management controls

Application

MAR 10.3.1 G RP

1The application of this section is set out in the following table:

Type of firm

Applicable provisions

a UK market operator operating a trading venue

MAR 10.3.2G and MAR 10.3.4G

a UK firm operating a multilateral trading facility or an OTF and a UK branch of a third country investment firm operating a multilateral trading facility or an OTF

MAR 10.3.3R to MAR 10.3.5G

Position management controls applicable to UK market operators operating a trading venue

MAR 10.3.2 G RP

[deleted]2

MAR 10.3.2A R

2A UK market operator is subject to MAR 10.3.3R as if it were a UK firm operating a multilateral trading facility or an OTF and references to an MTF are to a regulated market or an MTF that it operates.

MAR 10.3.2B G

2A trading venue operator’s position management controls should have regard to the application of position limit requirements, as described in MAR 10.1.2G.

Position management controls applicable to UK firms and UK branches of third country investment firms operating an MTF or OTF

MAR 10.3.3 R RP
  1. (1)

    This rule applies to a UK firm operating a multilateral trading facility or an OTF and a UK branch of a third country investment firm operating a multilateral trading facility or an OTF.

  2. (2)

    A firm must apply position management controls which enable an MTF or OTF at least to:

    1. (a)

      monitor the open interest positions of persons;

    2. (b)

      access information, including all relevant documentation, from persons about:

      1. (i)

        the size and purpose of a position or exposure entered into;

      2. (ii)

        any beneficial or underlying owners;

      3. (iii)

        any concert arrangements; and

      4. (iv)

        any related assets or liabilities in the underlying market;

    3. (c)

      require a person to terminate or reduce a position on a temporary or permanent basis and unilaterally to take appropriate action to ensure the termination or reduction if the person does not comply; and

    4. (d)

      require a person to provide liquidity back into the market at an agreed price and volume on a temporary basis with the express intent of mitigating the effects of a large and dominant position.

  3. (3)

    The position management controls in paragraph (2) must take account of the nature and composition of market participants and of the use they make of the contracts admitted to trading and must:

    1. (a)

      be transparent;

    2. (b)

      be non-discriminatory; and

    3. (c)

      specify how the controls apply to persons.

  4. (4)

    A firm must inform the FCA of the details of the position management controls in relation to each MTF or OTF it operates which trades commodity derivatives.

Additional position management controls and accountability thresholds

MAR 10.3.3A R

2A trading venue operator must apply additional position management controls in relation to the critical contracts and related contracts traded on its systems:

  1. (1)

    ensuring the effective and timely identification of substantial positions, including positions subject to an exemption referred to in MAR 10.2; and

  2. (2)

    taking steps to manage excessive positions or positions which impair orderly pricing and settlement conditions, including reducing or terminating these where a person fails to comply with a request to manage their positions further to exceeding an accountability threshold, exemption ceiling or otherwise.

MAR 10.3.3B R
  1. (1)

    2A trading venue operator must apply MAR 10.3.3CR to spot month contacts traded on its systems.

  2. (2)

    A trading venue operator must consider whether it is necessary to apply MAR 10.3.3CR to other months’ contracts traded on its systems in order to maintain an orderly market.

MAR 10.3.3C R
  1. (1)

    2A trading venue operator must set accountability thresholds below position limits enabling early identification of substantial positions and risk of breaching a position limit.

  2. (2)

    A trading venue operator must ensure that its accountability thresholds are adequate, transparent, non-discriminatory, clear and accessible to market participants, at all times. It must also specify how the controls apply to persons.

  3. (3)

    A trading venue operator must keep the adequacy of its accountability thresholds under review on a regular basis and notify the FCA promptly of these reviews, including:

    1. (a)

      whenever there is a significant change to either the position limit or one or more of the factors in MAR 10.3.3ER; and

    2. (b)

      at least on an annual basis.

  4. (4)

    A trading venue operator must explain when notifying the FCA in accordance with (3):

    1. (a)

      how it had regard to the factors in MAR 10.3.3ER; and

    2. (b)

      the relationship between the accountability threshold and corresponding position limit.

  5. (5)

    A trading venue operator, for the purposes of its annual notification under (3)(b), must inform the FCA of:

    1. (a)

      how many times an accountability threshold has been exceeded, including the duration of each occurrence;

    2. (b)

      the identity of the market participant; and

    3. (c)

      the steps then taken by the trading venue operator to address the risks identified.

  6. (6)

    A trading venue operator must in respect of critical contracts traded on a trading venue it operates:

    1. (a)

      identify the related contracts; and

    2. (b)

      notify the FCA promptly of the details of the contracts in paragraph (a).

MAR 10.3.3D G

2For the purposes of discharging its obligations under MAR 10.3.3BR(2), a trading venue operator should consider factors such as:

  1. (1)

    the relationship or dependence between the pricing of the spot month contract and the pricing of the other months’ contract;

  2. (2)

    the volatility of price of the commodity derivative;

  3. (3)

    the historical pattern of large and concentrated positions in other months’ contracts; and

  4. (4)

    the frequency and size of breaches of position limits and position management interventions.

MAR 10.3.3E R

2A trading venue operator, when setting accountability thresholds, must establish a methodology that has regard at least to:

  1. (1)

    the level of the position limit and the factors determining the position limit;

  2. (2)

    the need to ensure increasing positions can be investigated before risks crystallise;

  3. (3)

    whether the volume and any required remedial action of accountability threshold excesses indicates that the control is effective in providing early warning of prospective position limit breaches and enabling action; and

  4. (4)

    market concentration and concentrated trading activity.

MAR 10.3.3F R

2A trading venue operator, when setting accountability thresholds, may exclude positions, to which an exemption in MAR 10.2 applies, where an exemption ceiling is in place.

Risk assessment framework

MAR 10.3.3G R
  1. (1)

    2A trading venue operator must develop a risk assessment framework to enable it to discharge its obligations under MAR 10.3.3AR and to determine the need for additional reporting.

  2. (2)

    The risk assessment framework must have regard at least to:

    1. (a)

      exemptions determined in accordance with MAR 10.2, including any conditions attaching to exemptions in the form of exemption ceilings or otherwise;

    2. (b)

      accountability thresholds;

    3. (c)

      whether a person otherwise holds a concentrated position in the physical or commodity derivatives markets which presents a material risk to the functioning of a commodity derivatives market, including the risk of market abuse and to orderly pricing and settlement conditions;

    4. (d)

      the price and liquidity of and other relationships between:

      1. (i)

        critical contracts; and

      2. (ii)

        related OTC contracts or related overseas commodity derivative contracts; and

    5. (e)

      the relevance of (d) to the position management of critical contracts traded on a trading venue it operates.

Additional reporting

MAR 10.3.3H R
  1. (1)

    2A trading venue operator must have the power to require additional reporting to it by a member or participant (A) acting on its behalf or on behalf of a client (B) to enable it to discharge its obligation under (2).

  2. (2)

    A trading venue operator must obtain additional information from A or B as it determines necessary to ensure the proper monitoring of risks to its markets and to protect orderly pricing and settlement conditions in relation to the critical contracts or related contracts traded on its systems.

  3. (3)

    In discharging its obligations under (2), a trading venue operator must consider whether to require additional reporting in relation to OTC positions.

  4. (4)

    For the purposes of (3), a trading venue operator may consider the size of the relevant OTC derivatives market, the potential impact that market may have on the orderly functioning of the relevant market for the critical contract traded on its systems and the position management controls it operates.

  5. (5)

    A trading venue operator must notify the FCA promptly when and how it decides to exercise its power to require additional reporting.

MAR 10.3.3I R
  1. (1)

    2A trading venue operator may require that additional information relating to the price or delivery of a critical contract or related contract form part of additional reporting when MAR 10.3.3HR applies, including at least related OTC contracts positions, and also where relevant:

    1. (a)

      related overseas commodity derivative contracts positions;

    2. (b)

      trades in the underlying commodity of the critical contract;

    3. (c)

      trades used to settle commodity futures, including prices published by price reporting agencies; and

    4. (d)

      inventories, storage and infrastructure integrity at locations where deliveries are made.

  2. (2)

    A trading venue operator may seek information about inventory, storage and infrastructure integrity from other data sources in addition to the position holder subject to additional reporting imposed further to MAR 10.3.3HR.

  3. (3)

    A trading venue operator must inform its members, participants or clients of related OTC contracts and, where relevant, related overseas commodity derivative contracts to which additional reporting applies and the form and frequency of that reporting.

MAR 10.3.3J G

2A UK RIE should have regard to REC 2.4.3G(12) when discharging its obligations relating to additional reporting.

Market risk analysis

MAR 10.3.3K R
  1. (1)

    2A trading venue operator must use the information referred to in MAR 10.3 and the reported information in MAR 10.4 to perform market risk analysis.

  2. (2)

    The market risk analysis must include at least:

    1. (a)

      an identification of risks arising from the underlying physical commodity, related OTC contracts and related overseas commodity derivative contracts markets in relation to their impact on critical contracts and related contracts traded on a trading venue it operates; and

    2. (b)

      how those risks are being managed by the trading venue operator.

  3. (3)

    A trading venue operator must:

    1. (a)

      make available its market risk analysis to the FCA on a regular basis and, upon request, data underlying the analysis; and

    2. (b)

      store information in an easily retrievable way that is accessible for future reference by the FCA for the purposes of (3)(a).

  4. (4)

    A trading venue operator must make available its market risk analysis to the FCA:

    1. (a)

      whenever there is a significant change in market risk, having regard to size or concentration of positions, settlement or delivery and underlying commodity markets; and

    2. (b)

      at least on an annual basis.

Supervision of position management controls

MAR 10.3.4 G RP
  1. (1)

    A trading venue operator2 may include provisions in its rulebook which impose appropriate obligations on its members or participants as part of compliance with its position management controls obligations, including in relation to accountability thresholds and additional reporting2.

  2. (2)

    2A trading venue operator should require, via its rulebook or otherwise, further reporting by a member or participant acting on its behalf or on behalf of a client, as well as in the circumstances to which additional reporting applies. This includes imposing a responsibility on members to put arrangements in place with clients, enabling ready access to data at the level of the client.

MAR 10.3.4A R

2When additional reporting applies, a trading venue operator may consider the following factors as part of its monitoring and oversight:

  1. (1)

    historic and anticipated position sizes and risk management capabilities of the individual markets or participants;

  2. (2)

    the extent and quality of the individual member or participant’s engagement with the trading venue operator and response to its inquiries;

  3. (3)

    where a contract is physically deliverable, the complexity of the delivery process and a position holder’s expertise in taking delivery of the underlying commodity; and

  4. (4)

    how an individual member or participant’s positions compare with other position holders.

MAR 10.3.4B R

2A trading venue operator must notify the FCA prior to implementation of each of the following and their subsequent modification:

  1. (1)

    the risk assessment framework, additional reporting and market risk analysis;

  2. (2)

    accountability thresholds;

  3. (3)

    governance arrangements to be followed for adoption and continuing review of position limit setting, the risk assessment framework, accountability thresholds and market risk analysis, including allocation of senior management responsibility, policies for managing conflicts, systems and controls, and board oversight;

  4. (4)

    the methodology for and setting of position limits and accountability thresholds, including the identification of related contracts and positions not eligible for netting;

  5. (5)

    the list of related contracts, related OTC contracts and, where relevant, related overseas commodity derivative contracts;

  6. (6)

    policies and procedures relating to:

    1. (a)

      the granting of exemptions in MAR 10.2, including the approach to the setting of exemption ceilings; and

    2. (b)

      position limit breaches, including resolution and access to enforcement tools; and

  7. (7)

    arrangements for the sharing of information with relevant CCPs.

MAR 10.3.4C G

2When a trading venue operator notifies the FCA in accordance with MAR 10.3.4BR, it should allow such time as is necessary for the FCA to consider and assess the relevant matters, prior to proposed implementation.

MAR 10.3.5 G RP

[deleted]2

MAR 10.3.6 G

2A trading venue operator should have regard, as applicable, to:

  1. (1)

    recognition requirements including systems and controls, internal audit, ensuring orderly markets and promotion, and maintenance of standards; or

  2. (2)

    common platform requirements,

when developing accountability thresholds and applying additional reporting, as well as when granting exemptions in accordance with MAR 2.

MAR 10.3.7 G
  1. (1)

    2A trading venue operator should establish notification and information sharing arrangements with CCPs clearing transactions executed on the trading venues it operates, in particular when it identifies potential concerns that relate to CCP regulatory functions, as part of the application for exemption process or as a result of additional reporting.

  2. (2)

    When requiring information from position holders for the purpose of position management controls or sharing such information with CCPs, the trading venue operator should do so only for the purpose of discharging its regulatory functions and responsibilities.

MAR 10.3.8 R

2A trading venue operator (A) must exercise reasonable endeavours to identify and determine:

  1. (1)

    any related OTC derivative; or

  2. (2)

    any commodity derivative traded on an overseas trading venue:

    1. (a)

      which provides a comparable economic exposure to a critical contract or related contract traded on a trading venue A operates, including where its underlying has the same commodity for delivery at a location specified in the critical contract; or

    2. (b)

      the settlement price of which is linked to or capable of materially influencing the settlement price of a critical contract or related contract traded on a trading venue A operates.

MAR 10.4 Position reporting

Application

Position reporting by trading venue operators

MAR 10.4.1A R

5A trading venue operator must send the FCA a weekly report regarding the aggregate positions held at the close of business of each week, no later than 5.30pm on Wednesday of the following week.

MAR 10.4.1B R

5A trading venue operator must submit a weekly report to the FCA as soon as possible and no later than 5.30pm on Thursday of that week, where any of Monday, Tuesday or Wednesday of the week in which that report is to be submitted is not a working day.

MAR 10.4.1C R
  1. (1)

    5A trading venue operator must prepare a weekly report separately for each commodity derivative and emission allowance traded on its trading venue in accordance with the formats set out in the tables in MAR 10 Annex 3R.

  2. (2)

    A weekly report must contain:

    1. (a)

      The aggregate of all positions held by the different persons in each of the categories set out in MAR 10 Annex 3R in an individual commodity derivative or emission allowance traded on that trading venue; and

    2. (b)

      all positions across all maturities of all contracts.

  3. (3)

    A trading venue operator must submit to the FCA a weekly report in a common standard XML format.

MAR 10.4.1D R

5A trading venue operator must submit to the FCA a breakdown of the positions referred to in MAR 10.4.8D by means of a daily position report in:

  1. (1)

    common standard XML format; and

  2. (2)

    the format set out in the tables in MAR 10 Annex 4R.

Position reporting by UK regulated markets

MAR 10.4.2 G RP

A3regulated market which trades commodity derivatives or emission allowances must provide position reports in accordance with paragraph 7BB of the Schedule to the Recognition Requirements Regulations, as inserted by the MiFI Regulations.

1

Position reporting by UK firms and UK branches of third country investment firms operating an MTF or OTF: Reports

MAR 10.4.3 R RP
  1. (1)

    1This rule applies to a UK firm operating a multilateral trading facility or an OTF and a UK branch of a third country investment firm operating a multilateral trading facility or an OTF.

  2. (2)

    A firm must make public and provide to the FCA3a weekly report with the aggregate positions held by the different categories of persons for the different commodity derivatives or emission allowances traded on the trading venue, where those instruments meet the criteria of MAR 10.4.3AR5, specifying:

    1. (a)

      the number of long and short positions held by such categories;

    2. (b)

      changes in those positions since the previous report;

    3. (c)

      the percentage of the total open interest represented by each category; and

    4. (d)

      the number of persons holding a position in each category, as specified in MAR 10.4.4R.

  3. (3)

    The firm must provide the FCA with a complete breakdown of the positions held by all persons, including the members or participants and clients, as well as those of their clients until the end client is reached, on the trading venue on a daily basis.

  4. (4)

    For the weekly report mentioned in (2) above, the firm must differentiate between:

    1. (a)

      positions which are subject to the exemptions in MAR 10.2, identifying the relevant exemption by reference to the non-financial entity, pass-through hedging or liquidity provider exemption, as applicable5; and

    2. (b)

      other positions.

    5

    3
MAR 10.4.3A R
  1. (1)

    5For the purpose of weekly reports, the obligation for a trading venue operator to make public such a report applies when both of the following 2 thresholds are met:

    1. (a)

      20 open position holders exist in a given contract on a given trading venue; and

    2. (b)

      the absolute amount of the gross long or short volume of total open interest, expressed in the number of lots of the relevant commodity derivative, exceeds a level of 4 times the deliverable supply in the same commodity derivative, expressed in number of lots.

  2. (2)

    Where the commodity derivative does not have a physically deliverable underlying asset and for emission allowances, (1)(b) does not apply.

  3. (3)

    The threshold set out in (1)(a) applies in aggregate on the basis of all of the categories of persons regardless of the numbers of position holders in any single category of persons.

  4. (4)

    For contracts where there are fewer than 5 position holders active in a given category of persons, the number of position holders in that category need not be published.

  5. (5)

    For contracts that meet the conditions set out (1) for the first time, trading venues must publish the contracts’ first weekly report as soon as it is feasibly practical, and in any event no later than 3 weeks from the date on which the thresholds are first triggered.

  6. (6)

    Where the conditions set out in (1) are no longer met, trading venues must continue to publish the weekly reports for a period of 3 months. The obligation to publish the weekly report no longer applies where the conditions set out in (1) have not been met continuously upon expiry of that period.

Position reporting by UK firms and UK branches of third country investment firms operating an MTF or OTF: classification of persons holding positions in commodity derivatives or emission allowances

MAR 10.4.4 R RP

1A firm must classify persons holding positions in commodity derivatives or emission allowances according to the nature of their main business, taking account of any applicable authorisation or registration, as:

  1. (1)

    investment firms or credit institutions; or

  2. (2)

    investment funds, either as a UCITS, or an AIF or an AIFM; or

  3. (3)

    other financial institutions, including:

    1. (a)

      insurance undertakings and reinsurance undertakings as defined in the Solvency II Directive; and

    2. (b)

      institutions for occupational retirement provision as defined in Directive 2003/41/EC of the European Parliament and of the Council of 3 June 2003 on the activities and supervision of institutions for occupational retirement; or

  4. (4)

    commercial undertakings; or

  5. (5)

    in the case of emission allowances, operators with compliance obligations under the Emission Allowance Trading Directive or the trading scheme order 2020.4

Position reporting by UK firms and UK branches of a third country investment firms operating an MTF or OTF: Procedure for reporting to the FCA

MAR 10.4.5 D RP
  1. (1)

    1This direction applies to:

    1. (a)

      a UK firm operating a multilateral trading facility or an OTF; and

    2. (b)

      a UK branch of a third country investment firm operating a multilateral trading facility or an OTF.

  2. (2)

    A firm shall report to the FCA:

    1. (a)

      (where it meets the minimum threshold as specified in MAR 10.4.3AR5) the weekly report in5 the form set out in MAR 10 Annex 3R5, and publish it on its website; and

      3
    2. (b)

      in respect of the daily report referred to in MAR 10.4.3R(3):

      1. (i)

        in the form set out in MAR 10 Annex 4R5; and

      2. (ii)

        in each case, the report must be provided to the FCA by 9pm5 the following business day.

Position reporting by UK firms and UK branches of a third country investment firms operating an MTF or OTF

MAR 10.4.6 G RP

1For the purposes of making the weekly report5 referred to under MAR 10.4.3R(2), the FCA will accept an email containing a link to the report, as published on the firm’s website. Emails should be sent to the FCA at COT_reports@fca.org.uk.3

Position reporting by members, participants or clients of UK trading venues: trading venue participant reporting

MAR 10.4.7 D RP
  1. (1)

    1This direction applies to a member, participant or a client of a trading venue.

  2. (2)

    A person in (1) must report to the relevant operator of a trading venue the details of their own positions held through contracts traded on that venue, at least on a daily basis, as well as those of their clients and the clients of those clients, until the end client is reached.

  3. (3)

    [deleted]3

MiFID investment firms and UK branches of third country investment firms: reporting to the FCA

MAR 10.4.8 D RP
  1. (1)

    1This direction applies to:

    1. (a)

      a MiFID investment firm3; and

    2. (b)

      a UK branch of a third country investment firm.

  2. (2)

    An investment firm in (1) trading in a commodity derivative or emission allowance outside a trading venue must, where the FCA is the competent authority of the trading venue where that commodity derivative or emission allowance is traded, provide the FCA with a report containing a complete breakdown of:

    1. (a)

      their positions taken in those commodity derivatives or emission allowances traded on a trading venue; and5

    2. (b)

      [deleted]5

    3. (c)

      the positions of their clients and the clients of those clients until the end client is reached, in accordance with article 26 of MiFIR.

  3. (3)

    The report in (2) must be submitted to the FCA, for each business day, by 9pm5 the following business day, in5 the form set out in MAR 10 Annex 4R5.

  4. (4)

    [deleted]5

MAR 10.4.9 D RP

[deleted]3

EEA MiFID investment firms who are members, participants or clients of UK trading venues: trading venue participant reporting and OTC reporting to the FCA

MAR 10.4.10 D RP

[deleted]3

MAR 10.4.11 G RP
  1. (1)

    2This guidance applies to persons subject to MAR 10.4.8D(2)3.

  2. (2)

    A firm subject to MAR 10.4.8D(2)3may use a third party technology provider to submit to the FCA the report referred to in MAR 10.4.8 D(2) provided that it does so in a manner consistent with MiFID. It will retain responsibility for the completeness, accuracy and timely submission of the report and should populate field 5 of MAR 10 Annex 4R Table 25 with its own reporting entity identification. It should be the applicant for, and should complete and sign, the FCA MDP on-boarding application form.

  3. (3)

    MAR 10.4.11.G(2) applies to a trading venue subject to MAR 10.4.

  4. (4)

    A firm subject to MAR 10.4.8D(2)3 may arrange for the trading venue where that commodity derivative or emission allowance is traded to provide the FCA with the report provided that it does so in a manner consistent with MiFID. The firm will retain responsibility for the completeness, accuracy and timely submission of the report, submitted on its behalf. The firm should populate field 5 of MAR 10 Annex 4R Table 25 with its own reporting entity identification.

MAR 10.5 Other reporting, notifications and information requirements

Information requirement

MAR 10.5.1 G RP

1Regulation 27 of the MiFI Regulations provides the FCA with the power to:

  1. (1)

    require a person to provide information including all relevant documentation, on, or concerning:

    1. (a)

      a position the person holds in a contract to which a position limit relates; and

    2. (b)

      trades the person has undertaken, or intends to undertake, in a contract to which a position limit relates; and

  2. (2)

    require3 a trading venue operator3 to provide information including all relevant documentation on, or concerning:

    1. (a)

      3trades a person has undertaken, or intends to undertake in a contract to which a position limit relates; and

    2. (b)

      trades a person has undertaken, or intends to undertake in a contract or within a class of commodity derivatives to which position management requirements relate.

MAR 10.5.1A G

3The FCA may consider exercising the power in Regulation 27 of the MiFI Regulations to require a trading venue operator or other person to collect or provide data on related OTC contracts.

Power to intervene

MAR 10.5.2 G RP

1The following provisions of the MiFI Regulations regulate the power of the FCA to intervene in respect of position limits:

  1. (1)

    Regulation 28 provides that the FCA may, if it considers necessary for the purpose of advancing one or more of its operational objectives3, limit the ability of any person to enter into a contract for a commodity derivative3, restrict the size of positions a person may hold in such a contract, or require any person to reduce the size of a position held, notwithstanding that the restriction or reduction would be more restrictive than the position limit established by the trading venue or3 the FCA3 (under regulation 16 of the MiFI Regulations)3; and2

  2. (2)

    Paragraph 5 of Schedule 1 provides that the FCA must maintain arrangements designed to enable it to determine whether persons on whom the FCA imposes position limit requirements are complying with those requirements, and also maintain arrangements for enforcing the position limits requirements on such persons.

Reporting requirements

MAR 10.5.3 G RP

1The following provisions of the MiFI Regulations regulate the power of the FCA to impose reporting requirements in respect of positions taken in commodity derivatives and emission allowances:

  1. (1)

    Paragraph 8 of Schedule 1 provides that a person must provide the FCA with information in respect of its compliance or non-compliance with position limit requirements, as the FCA may direct; and

  2. (2)

    Paragraph 5 of Schedule 1 provides that the FCA must maintain arrangements designed to enable it to determine whether persons on whom the FCA imposes position limit requirements are complying with those requirements, and also maintain arrangements for enforcing the position limits requirements on such persons.

Breaches of MAR 10 by unauthorised persons

MAR 10.5.4 G RP
  1. (1)

    1An unauthorised person to which this chapter applies must notify the FCA of:

    1. (a)

      a breach of a direction in this chapter;

    2. (b)

      a breach of a directly applicable provision imposed by MiFIR or any onshored regulation2 adopted under MiFID or MiFIR; and

    3. (c)

      a breach of any requirement imposed by or under the MiFI Regulations which relates to this chapter.

  2. (2)

    Notifications under (1) must be made immediately if the person becomes aware, or has information which reasonably suggests, that any of the breaches referred to in (1) have occurred, may have occurred or may occur in the foreseeable future.

MAR 10.5.5 G RP

[deleted]3

1

Breaches of MAR 10 by authorised persons

MAR 10.5.6 G RP

1 Firms should refer to SUP 15.3 (General notification requirements) generally, and in particular SUP 15.3.11R, in respect of the following:

  1. (1)

    a breach of a rule or direction in this chapter;

  2. (2)

    a breach of a directly applicable provision imposed by MiFIR or any onshored regulation2 adopted under MiFID or MiFIR; and

  3. (3)

    a breach of any requirement imposed by or under the MiFI Regulations which relates to this chapter.

Territoriality

MAR 10.5.7 G RP

1 The powers of the FCA referred to in MAR 10.5.1G to MAR 10.5.3G can be applied to a person regardless of whether the person is situated or operating in the UK or abroad3.

2

Decision and appeal procedures

MAR 10.5.8 G RP

1The power of the FCA referred to in MAR 10.5.2G is exercisable subject to the decision-making procedures in DEPP 2 Annex 2G (Supervisory notices) (and other provisions in DEPP, as appropriate).

MAR 10 Annex 1 [deleted]2

D

[deleted]2

1

MAR 10 Annex 2 R List of critical contracts and related contracts subject to Position Limits

MAR 10 Annex 2 R

1 Contract name

LME Aluminium

LME Copper

LME Lead

LME Nickel

LME Tin

LME Zinc

IFEU London Cocoa Futures

IFEU Robusta Coffee Futures

IFEU White Sugar Futures

IFEU UK Feed Wheat Futures

IFEU Low Sulphur Gasoil Futures

IFEU UK Natural Gas Futures

IFEU Brent Crude Futures

IFEU T-West Texas Intermediate Light Sweet Crude Futures

MAR 10 Annex 3 R Format for the weekly reports

MAR 10 Annex 3 R

Table 1 Weekly Reports

Notation of the position quantity

Investment Firms or credit institutions

Investment Funds

Other Financial Institutions

Commercial Undertakings

Operators with compliance obligations under Directive 2003/87/EC or the trading scheme order 20201

Long

Short

Long

Short

Long

Short

Long

Short

Long

Short

{Name of Trading Venue}

{Trading Venue Identifier}

{Date to which the Weekly Report refers}

{Date and time of Publication}

{Name of Commodity Derivative Contract, Emission Allowance or Derivative thereof}

{Venue product code}

{Report status}

Number of positions

Risk Reducing directly related to commercial activities

Other

Total

Changes since the previous report (+/–)

Risk Reducing directly related to commercial activities

Other

Total

Percentage of the total open interest

Risk Reducing directly related to commercial activities

Other

Total

Number of Persons holding a position in each category

Combined

Combined

Combined

Combined

Combined

Total

Table 2 Symbol table for Table 3

SYMBOL

DATA TYPE

DEFINITION

{ALPHANUM-n}

Up to n alphanumerical characters

Free text field.

{DECIMAL-n/m}

Decimal number of up to n digits in total of which up to m digits can be fraction digits

Numerical field for both positive and negative values:

  • decimal separator is "." (full stop),
  • negative numbers are prefixed with "–" (minus).

Where applicable, values are rounded and not truncated.

{DATEFORMAT}

ISO 8601 date format

Dates shall be formatted in the following format:

YYYY-MM-DD.

{DATE_TIME_FORMAT}

ISO 8601 date and time format

  • Date and time in the following format:
  • YYYY-MM-DDThh:mm:ss.ddddddZ.
  • "YYYY" is the year,
  • "MM" is the month,
  • "DD" is the day,
  • "T" — means that the letter "T" shall be used,
  • "hh" is the hour,
  • "mm" is the minute,
  • "ss.dddddd" is the second and its fraction of a second,
  • Z is UTC time.

Dates and times shall be reported in UTC.

{MIC}

4 alphanumerical characters

Market identifier as defined in ISO 10383

{INTEGER-n}

Integer number of up to n digits in total

Numerical field for both positive and negative integer values.

Table 3 Table of fields to be reported for every commodity derivative, emission allowance or derivative for the purposes of Article 1

FIELD

DETAILS TO BE REPORTED

FORMAT FOR REPORTING

Name of Trading Venue

Field to be populated with the full name of the trading venue.

{ALPHANUM-350}

Trading Venue Identifier

Field to be populated with the ISO 10383 segment MIC of the trading venue. Where the segment MIC does not exist, use the operating MIC.

{MIC}

Date to which the Weekly Report refers

Field to be populated with the date corresponding to the Friday of the calendar week on which the position is held.

{DATEFORMAT}

Date and time of Publication

Field to be populated with the date and time on which the report is published on the trading venue's website.

{DATE_TIME_FORMAT}

Name of Commodity Derivative Contract, Emission Allowance or Derivative thereof

Field to be populated with the name of the commodity derivative contract, emission allowance or derivative thereof identified by the venue product code.

{ALPHANUM-350}

Venue product code

Field to be populated with a unique and unambiguous alphanumeric identifier utilised by the trading venue grouping together contracts with different maturities and strike prices in the same product.

{ALPHANUM-12}

Report status

Indication as to whether the report is new or a previous report is cancelled or amended.

Where a previously submitted report is cancelled or amended, a report which contains all the details of the original report should be sent and the "Report status" should be flagged as "CANC".

For amendments a new report that contains all the details of the original with all necessary details amended should be sent and the "Report status" should be flagged as "AMND".

Number of positions

Field to be populated with the aggregate quantity of open interest held on Friday at the end of the trading day. The quantity should be expressed either in number of lots (when the position limits are expressed in lots) or units of the underlying.

Option contracts shall be included in the aggregation and reported on a delta-equivalent basis.

{DECIMAL-15/2}

Notation of the position quantity

This field shall be populated with the units used to report the number of positions.

Changes since the previous report (+/–)

Field to be populated with the position quantity reflecting the increase or decrease in the position with respect to the previous Friday.

In the case of a decrease in the position the number shall be expressed as a negative number prefixed with "–" (minus).

{DECIMAL-15/2}

Percentage of the total open interest

Field to be populated with the percentage of the total open interest represented by the positions.

{DECIMAL-5/2}

Number of persons holding a position in each category

Field to be populated with the number of persons holding a position in the category.

If the number of persons holding a position in the category is below the number specified in Commission Delegated Act in respect of Article 58(6) MiFID II, the field shall be populated with "." (full stop).

{INTEGER-7}

or

{ALPHANUM-1} if the field has to be populated with "." (full stop).

MAR 10 Annex 4 R Format for the daily reports

MAR 10 Annex 4 R

Table 1 Symbol table for Table 2

SYMBOL

DATA TYPE

DEFINITION

{ALPHANUM-n}

Up to n alphanumerical characters

Free text field.

{DECIMAL-n/m}

Decimal number of up to n digits in total of which up to m digits can be fraction digits

Numerical field for both positive and negative values:

  • decimal separator is "." (full stop),
  • negative numbers are prefixed with "–" (minus).

Where applicable, values are rounded and not truncated.

{DATEFORMAT}

ISO 8601 date format

Dates shall be formatted in the following format:

YYYY-MM-DD.

{DATE_TIME_FORMAT}

ISO 8601 date and time format

  • Date and time in the following format:
  • YYYY-MM-DDThh:mm:ss.ddddddZ.
  • "YYYY" is the year,
  • "MM" is the month,
  • "DD" is the day,
  • "T" — means that the letter "T" shall be used,
  • "hh" is the hour,
  • "mm" is the minute,
  • "ss.dddddd" is the second and its fraction of a second,
  • Z is UTC time.

Dates and times shall be reported in UTC.

{ISIN}

12 alphanumerical characters

ISIN code, as defined in ISO 6166

{LEI}

20 alphanumerical characters

Legal entity identifier as defined in ISO 17442

{MIC}

4 alphanumerical characters

Market identifier as defined in ISO 10383

{NATIONAL_ID}

35 alphanumerical characters

The ID is that set out in Article 6 of the Commission Delegated Regulation (EU) 2017/590 on transaction reporting obligations under Article 26 of Regulation (EU) No 600/2014 of the European Parliament and of the Council and Annex II to that Regulation.

{INTEGER-n}

Integer number of up to n digits in total

Numerical field for both positive and negative integer values.

Table 2 Tables of fields to be reported for all positions across all maturities of all contracts for the purposes of MAR 10.4.1DR

FIELD

DETAILS TO BE REPORTED

FORMAT FOR REPORTING

Date and time of report submission

Field to be populated with the date and time on which the report is submitted.

{DATE_TIME_FORMAT}

Report reference number

Field to be populated with the unique identifier given by the submitter unambiguously identifying the report to both submitter and receiving competent authority.

{ALPHANUM-52}

Date of the trading day of the reported position

Field to be populated with the date on which the reported position is held at the close of the trading day on the relevant trading venue.

{DATEFORMAT}

Report status

Indication as to whether the report is new or a previously submitted report is cancelled or amended.

Where a previously submitted report is cancelled or amended, a report which contains all the details of the original report and using the original Report Reference Number should be sent and the "Report status" should be flagged as "CANC".

For amendments a new report that contains all the details of the original report and using the original Report Reference Number with all necessary details amended should be sent and the "Report status" should be flagged as "AMND".

Reporting entity ID

The identifier of the reporting investment firm. Field to be populated with the Legal Entity Identifier code (LEI) for legal entities or {NATIONAL_ID} for natural persons not having an LEI.

{LEI}

or

{NATIONAL_ID} — Natural persons

Position holder ID

Field to be populated with the Legal Entity Identifier code (LEI) for legal entities or {NATIONAL_ID} for natural persons not having an LEI. (Note: if the position is held as a proprietary position of the reporting firm, this field shall be identical to field "Reporting entity ID").

{LEI}

or

{NATIONAL_ID} — Natural persons

Email address of position holder

Email address for notifications of position-related matters.

{ALPHANUM-256}

Ultimate parent entity ID

Field to be populated with the Legal Entity Identifier code (LEI) for legal entities or {NATIONAL_ID} for natural persons not having an LEI. Note: this field may be identical to field "Reporting entity ID" or "Position holder ID" if the ultimate parent entity holds its own positions, or makes its own reports.

{LEI}

or

{NATIONAL_ID} — Natural persons

Email address of ultimate parent entity

Email address for correspondence in relation to aggregated positions.

{ALPHANUM-256}

Parent of collective investment scheme status

Field to report on whether the position holder is a collective investment undertaking that makes investment decisions independently from its parent as set out by Article 4(2) of the Commission Delegated Regulation (EU) 2017/591.

Identification code of contract traded on trading venues

Identifier of the commodity derivative, emission allowance or derivative thereof. See field "Trading venue identifier" for treatment of OTC contracts that are economically equivalent to contracts that are traded on trading venues.

{ISIN}

Venue product code

Field to be populated with a unique and unambiguous alphanumeric identifier utilised by the trading venue grouping together contracts with different maturities and strike prices in the same product.

{ALPHANUM-12}

Trading venue identifier

Field to be populated with the ISO 10383 segment MIC for positions reported in respect of on-venue contracts. Where the segment MIC does not exist, use the operating MIC.

Use MIC code "XXXX" for off-venue positions in economically equivalent OTC contracts or related OTC contracts1.

Use MIC code "XOFF" for listed derivatives or emission allowances traded off-exchange.

{MIC}

Position type

Field to report whether the position is in either futures, options, emission allowances or derivatives thereof, commodity derivatives defined under article 2(1)(24)(c) of1 MiFIR.

Position maturity

Indication of whether the maturity of the contract comprising the reported position relates to the spot month or to all other months. Note: separate reports are required for spot months and all other months.

Position quantity

Field to be populated with the net position quantity held in the commodity derivative, emission allowances or derivatives thereof expressed either in lots, when the position limits are expressed in lots, or units of the underlying.

This field should be populated with a positive number for long positions and a negative number for short positions.

If the position is in commodity derivatives defined under point (c) of Article 4(1)(44) of Directive 2014/65/EU this field shall be populated with the number of units held.

{DECIMAL-15/2}

Notation of the position quantity

This field shall be populated with the units used to report the position quantity.

Delta equivalent position quantity

If the Position Type is "OPTN" or an option on "EMIS", then this field shall contain the delta-equivalent quantity of the position reported in the "Position Quantity" field.

This field should be populated with a positive number for long calls and short puts and a negative number for long puts and short calls.

{DECIMAL-15/2}

Indicator of whether the position is risk reducing in relation to commercial activity

Field to report whether the position is risk reducing in accordance with the hedging exemption in MAR 10.21.

1Indicator of whether the position is a pass-through of a hedging exemption

Field to report whether the position is a pass-through of a position that is risk-reducing in accordance with MAR 10.2.

1Indicator of whether the position is entered into as part of an obligation to provide liquidity

Field to report whether the position is part of an obligation to provide liquidity in accordance with MAR 10.2.