Commodity Forward Instruments Market on the TGE with discretion
• On 15 December 2017, the Polish Financial Supervision Authority approved the amendments in the Regulations for the Exchange Commodity Market of the TGE.
• The amendments consisting of implementing the discretion shall enter into force on 29 December 2017.
On 15 December 2017, the Polish Financial Supervision Authority approved the amendments in the Regulations for the Exchange Commodity Market of TGE, regarding, in particular, implementing the discretion, which enters into force on 29 December 2017, within electricity and gas forward contract transactions.
The discretion is a feature distinguishing a new type of trading facility, i.e. Organised Trading Facility – OTF, defined in the Markets in Financial Instruments Directive II. Currently operating within TGE structures the Commodity Forward Instruments Market is to be ultimately transformed into such a trading facility and the implementation of the discretion is the first step towards this goal.
The discretion shall consist of introducing the limit on maximum volume of a single order (purchase and sale) that may be placed for a given forward instrument. Limiting the volumes shall take place when the low trading liquidity with a high ratio of unexecuted orders in relations to the reference period persists for two consecutive sessions for a given series of forward contracts. Implementing the limit shall always take place on the level of a given series of forward contracts separately.
The limit shall be defined by TGE on the basis of the back data in so called reference period. The Exchange shall take the decision of implementing the limit on the basis of the analysis conducted every day after the end of the session for each forward contract, within 3 parameters:
- average daily volume of executed transactions;
- average daily volume of unexecuted purchase orders;
- average daily volume of unexecuted sale orders.
The analysis shall comprise the comparison of the specified values with the reference data (back data).
Exclusion of the discretion shall take place when, after its inclusion, in the two consecutive sessions the liquidity is improved and the ratio of executed orders for a given series of contracts increases.
The information on the size of the limit applicable for a given forward contract (or group) and the inclusion/exclusion of the discretion for a given series of forward contracts separately shall be made public by TGE.