碳排放配额及其衍生品最终报告（英）-欧洲证券和市场管理局（ESMA）.pdf

28 March 2022 | ESMA70-445-38 Final Report Emission allowances and associated derivatives ESMA • 201-203 rue de Bercy • CS 80910 • 75589 Paris Cedex 12 • France • Tel. +33 (0) 1 58 36 43 21 • www.esma.europa.eu 2 28 March 2022 ESMA 70-445-38 3 Table of Contents 1 Executive Summary . 6 2 Introduction 10 3 Carbon markets surveillance . 18 3.1 Carbon markets under MAR 18 3.1.1 Legal framework . 18 3.2 Carbon market surveillance . 22 3.3 Germany 23 3.3.1 Systems and procedures at firm level . 23 3.3.2 EEX’s own market surveillance 24 3.3.3 Supervisory market surveillance . 25 3.3.4 Outcome of carbon market surveillance: STORs received and preliminary investigations 28 3.4 The Netherlands 29 3.4.1 Systems and procedures at firm level . 29 3.4.2 ICE Endex’s own market surveillance 30 3.4.3 Supervisory market surveillance . 30 3.4.4 Outcome of carbon market surveillance: STORs received and preliminary investigations 31 3.5 Norway . 32 3.5.1 Systems and procedures at firm level . 32 3.5.2 Nasdaq Oslo’s own market surveillance . 32 3.5.3 Supervisory market surveillance . 34 3.5.4 Outcome of carbon market surveillance: STORs received and preliminary investigations 34 4 Carbon market analysis . 34 4.1 Literature review 35 4.2 Evolution of carbon prices and volatility . 36 4.2.1 Spot prices 36 4.2.2 Forward curve . 39 4.2.3 Volatility 41 4.2.4 Comparison with other assets 44 4.2.5 Carbon market supply and demand dynamics . 45 4.2.6 Buy and hold strategies 47 4.3 Evolution of trading and counterparties in EU carbon markets 50 4 4.3.1 Overview of the available datasets . 50 4.3.2 Classification of counterparties used in this report . 52 4.3.3 Analysis based on Auction data 54 4.3.4 Analysis based on EMIR data . 56 4.3.5 Analysis based on MiFID transaction reports . 74 4.3.6 Analysis based on weekly position reports . 85 4.3.7 Analysis based on daily position reports . 94 4.3.9 Analysis based on data from the Union Registry 105 4.4 Conclusion of the carbon market data analysis . 112 5 Policy recommendations and issues for consideration 115 5.1 Extended scope of position management controls 115 5.1.1 Background . 115 5.1.2 Recommendations 116 5.1.3 Impact and regulatory goal . 116 5.2 Clarification of position reporting in emission allowances 117 5.2.1 Background . 117 5.2.2 Recommendation 117 5.2.3 Impact and regulatory goal . 118 5.3 Improved granularity and consistency of weekly position reports 118 5.3.1 Background . 118 5.3.2 Recommendations 119 5.3.3 Impact and regulatory goal . 120 5.4 Refined transparency calibrations 121 5.4.1 Background . 121 5.4.2 Recommendations 121 5.4.3 Impact and regulatory goal . 121 5.5 Increased transparency and reporting of OTC transactions 122 5.5.1 Background . 122 5.5.2 Recommendations 125 5.5.3 Impact and regulatory goal . 126 5.6 Tracking chain of transactions in MiFIR regulatory reports 127 5.6.1 Background . 127 5.6.2 Recommendation 127 5.6.3 Impact and regulatory goal . 127 5.7 ESMA access to primary markets transactions . 128 5 5.7.1 Background . 128 5.7.2 Recommendation 128 5.7.3 Impact and regulatory goal . 128 5.8 Improved EUA registry . 129 5.8.1 Background . 129 5.8.2 Recommendation 130 5.8.3 Impact and regulatory goal . 130 5.9 Position limits . 130 5.9.1 Background . 130 5.9.2 Issue for consideration 131 5.9.3 Impact and regulatory goal . 131 5.10 A centralised market monitoring of the EU carbon market 134 5.10.1 Background . 134 5.10.2 Issue for consideration 134 5.10.3 Arguments in favour 135 5.10.4 Arguments against 136 5.11 Conclusions . 138 6 Annexes . 140 6.1 Annex 1 140 6.2 Annex 2 141 6.2.1 Policy recommendations . 141 6.2.2 Issues for consideration 143 6 1 Executive Summary Reasons for publication The European Emission Trading System (ETS) is a key tool of the EU policy against climate change. It puts a price on the CO2 that entities subject to compliance obligations can release to the atmosphere, with the overall objective of reducing net greenhouse gas emissions. In its Communication on Energy Prices “Tackling rising energy prices: a toolbox for action and support”, published on 13 October 2021, the European Commission highlights that questions have emerged around the functioning of the European carbon market. In order to examine more closely patterns of trading behaviours and the potential need for targeted actions, the Commission asked ESMA for a first preliminary assessment of European carbon markets by 15 November and tasked it to analyse, by early 2022, the trading of emission allowances. Following the publication of its Preliminary Report on Emission Allowances and derivatives thereof1, ESMA is publishing in this report its analysis of the trading of emission allowances. Content Following the introduction (Section 2) where ESMA provides a high-level overview of the functioning of primary and secondary emission allowance markets, including the process from the creation of emission allowances until they are surrendered every year by entities subject to compliance obligations under the EU ETS, the report is structured as follows: Section 3 describes the different mechanisms foreseen in the Market Abuse Regulation (MAR) which aim at identifying and preventing abusive market behaviours. A description of the follow-up carried out by National Competent Authorities (NCAs) upon identification of alerts for potential market abuse or upon reception of a STOR is also provided. Section 4 presents ESMA’s analysis of the data regarding emission allowances gathered from different sources, including EMIR reporting, MiFIR transaction reporting, MiFID II daily and weekly position reports, auction data and data obtained from the EU Registry. The analysis focuses in particular on the evolution of carbon prices and its volatility. The data analysis performed by ESMA evidences the specificities and unique characteristics of the EU carbon market, as well as the challenges of having a comprehensive view of this market and an in-depth understanding of its developments. Overall, ESMA considers that the data analysis has not unearthed any major abnormality or fundamental issue in the functioning of the EU carbon market from a financial supervisory perspective. The observed evolution of carbon prices and volatility seem to have followed market fundamentals. In this context, the emergence of new participants (and instruments) with buy- and-hold strategies warrants future monitoring to the extent that they may lead to a reduction in the supply of physical emission allowances available for trading, even though the available evidence suggests that their impact is only limited so far. When looking at trading on emission allowances and counterparties in this market, the various segments of the EU carbon market appear to broadly function as expected. Although 7 ESMA observes some concentration in primary markets, the largest participants are also active in secondary markets and ensure that auctioned emission allowances are disseminated to other secondary market participants. Trading in the secondary market between June 2021 and December 2021 averaged EUR 57 billion per month. Most of the trading in the secondary market takes place through derivative contracts, as many compliance entities seem to take long futures positions with investment firms to acquire emission allowances instead of purchasing them on the spot market. Large holdings of emission allowances in the Trading Accounts of investment firms at the EU Registry appear highly correlated with short positions these firms take in emission allowance derivative markets. Derivative markets are dominated by compliance entities and other non-financials that are holding long positions for hedging purposes and trading with investment firms holding short positions to make a market. Most of the trading volumes concentrate in the next (front-year) December expiry futures contract, although there are also significant positions in the March expiry of the current year linked to the lifecycle of emission allowances which have to be surrendered by 30 April every year. Investment firms, credit institutions and compliance entities tend to trade futures across the maturity spectrum, while investment funds and other non-financial sector firms appear to favour trading in futures with a residual maturity of less than one year. Investment funds and other non-financial sector firms also trade options to a larger extent. An increase in the relative share of options in total notional volumes traded in late 2021 is a development that warrants monitoring – as do trends in the less transparent OTC market segment. ESMA has also observed activity from high-frequency trading firms and market makers engaging in algorithmic trading, often from the UK and US, that are however only holding small net positions. ESMA has faced significant challenges when trying to identify the origins of market participants which makes it complex to obtain a clear picture of who trades and from where. ESMA considers that these challenges need to be addressed in order to improve future monitoring of EU carbon markets. As already indicated in the Preliminary Report and highlighted above, there are also challenges when it comes to the assessment of the available data. In this respect, future research will be essential to deepen ESMA’s understanding of the emission allowance market structure and activities of third-country firms. ESMA is acutely aware that the war in the Ukraine has a major impact apparently also on the carbon market. While EUA prices were declining by 30% in just a few days in late February and early March, natural gas prices reached all-time highs in Europe. There are a number of macro-economic and also technical factors which may explain these latest developments specifically in the carbon market which ESMA is referring to in this report. There are indications that the decline in the carbon price may be associated with concerns around possible gas supply disruptions or import bans leading to a reduced need for 8 emission allowances, combined with general assumptions concerning an economic downswing and EU countries exiting fossil fuels at an earlier point in time but additional analysis may be required in the future. As far as price developments are concerned this report incorporates data up to 4 March 2022. Based on the data analysis carried out in Section 4 and the conclusions presented therein, the following section (Section 5) presents a series of policy recommendations together with some issues for consideration that ESMA believes should contribute to improving the transparency and the monitoring of the EU carbon market. ESMA believes that the measures proposed would provide more information to market participants and the public at large about the carbon market and they would help in maintaining orderly markets going forward thereby contributing to the continued adequate functioning of the EU carbon market which plays an important role for the Union’s green transition. Policy recommendations ESMA puts forward the following policy recommendations: 1. Extending position management controls to trading venues trading derivatives on emission allowances. 2. Adapting position reporting in emission allowances. 3. Amending the account structure at the Union Registry to allow for the identification of individual EUA account holders so that the Union Registry can be used as a data source for market monitoring and transparency for market participants. 4. Publishing weekly position reports on open positions in futures on emission allowances only in addition to the current combined reports on open positions in futures on emission allowances and options on futures on emission allowances. 5. Providing further clarity to market participants regarding counterparty classifications in weekly position reports. 6. As part of the RTS 2 review underway, ESMA will consider the potential need for recalibration of transparency thresholds for emission allowances and emission allowance derivatives. 7. Providing further guidance to ensure that only “EU” ISINs are used for the purpose of reporting spot emission allowances. 8. Providing further clarity on the distinction between spot emission allowances and derivatives on emission allowances. 9. Increasing the level of transparency in OTC derivatives. 9 10. Introducing a new identifier in the case of grouping of orders that would be generated and reported by only one entity per market execution and would be unique for the market-side reports and the client-side reports pertaining to the same execution. 11. Amending the EU Auction Regulation to ensure that ESMA also receives the information on primary markets transactions. 12. Increasing data harmonisation in line with the standards and structures used in regulatory reports under MiFID/EMIR and inviting the Commission to consider defining assets protection rules when accounts in the Registry are used as omnibus accounts. In addition, ESMA encourages the timely implementation of the requirement for the identification of account holders with LEIs. Issues for consideration Furthermore, ESMA has also considered the arguments in favour and against the two following measures: 1. The application of position limits on the open position a person may hold in emission allowance derivatives and economically equivalent OTC contracts. 2. A centralised market monitoring of the carbon market. Overall, ESMA has taken the approach in this report to provide factual background information, based on data and securities supervisors experience, to allow EU policy makers to make informed decisions in respect of the carbon market. ESMA stands ready to help implementing any measures which the Commission, Council and Parliament may decide on in the future. 10 2 Introduction 1. On 13 October 2021, the European Commission adopted a “Communication on Energy Prices”, to help tackle the exceptional rise in global energy prices and help Europe s people and businesses. The Communication included a “toolbox” for the EU and its Member States to address the impact of price increases. The toolbox also identified actions for strengthening resilience against future shocks. 2. One of the measures put forward by the European Commission in that Communication was to step up market surveillance of energy markets, including of the European carbon market. In this respect, the European Commission asked ESMA to further enhance the monitoring of developments in the European carbon market as follows: “To examine more closely patterns of trading behaviours and the potential need for targeted actions, the Commission will ask ESMA, for a first preliminary assessment by 15 November and task it to analyse, by early 2022, the trading of emission allowances. The Commission will consequently assess whether certain trading behaviours would require further regulatory actions.” 3. Following the mandate received from the Commission, ESMA published its Pre