Page 46 - 期货和衍生品行业监管动态（2023年7月刊）

期货和衍生品行业监管动态

and functioning of the Intra-day Volatility Management Mechanism (IVM). Following

an assessment of the IVMs introduced by trading venues and identification of

differences in the approaches taken in their implementation and calibration, ESMA
finds that they have been adequately set up. ESMA however also highlights some

practical challenges.

The IVM aims at limiting extreme volatility of prices in energy derivatives

markets within one day.ESMA finds them adequately calibrated, with the caveat of the

assessment having been done in a period with no evidence of protracted volatility

episodes affecting energy commodity derivatives trading.

In addition, ESMA has analysed how IVMs function in comparison with existing

circuit breakers under MiFID II to assess the effectiveness added by the IVMs in

managing volatility. ESMA find significant practical challenges in the implementation

of IVMs for illiquid trading venues. ESMA suggests that the already existing circuit

breakers under MiFID II could deliver on the objective to limit excessive intra-day price

volatility. To ensure the appropriate implementation and application of circuit breakers

by trading venues under MiFID II, ESMA is working on further guidance to be issued
in the second half of 2023.

Next steps

The EU Regulation introducing an IVM mechanism to protect Union citizens and

the economy against excessively high energy prices was adopted by the Council of the

EU on 19 December 2022 and requires ESMA to provide an assessment of the

implemented IVMs.

ESMA will continue requesting updates on the implemented IVMs from trading

venues on a quarterly basis as per the Regulation and monitoring developments in the

trading of energy commodity derivatives.

https://www.esma.europa.eu/press-news/esma-news/esma-finds-adequate-setup-

measures-reduce-volatility-trading-energy

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