The newest set of Position Limits rules from the CFTC comes into effect on the 1st of January, 2022.

For more information on the regulatory updates, please read our four-part blog series:

To support the new regulation, we introduced four new Position Limit rules. This article explains the updates made.

The new rules will be automatically deployed and approved in your Position Limits environment:

These rules will run alongside the MiFID II and Exchange set Position Limits rules.

Cash and physically settled contracts will be netted separately in the Spot Month rules, but Single and All Months will be netted together.

For contracts that refer to a Core Reference contract, the new CFTC rules will automatically convert them using data from FIA Tech to determine the Core Reference. If a contract has to be converted into a parent contract first before identifying the Core Reference contract, the rules engine will also do that (for example, YGO will be converted to YG before checking if there is a Core Reference contract YG references).

The new CFTC rules can require contracts listed on different exchanges to be aggregated together to be monitored against a single limit.

The system will automatically handle this cross-exchange aggregation requirement, using FIA Tech’s data to determine the Core Reference contract and exchange.

Where a result aggregates contracts from different exchanges, the Exchange populated in the Dashboard will be the exchange on which the Core Reference contract is listed. If you click on the result details, you will be able to see all the original child contracts and the market they were originally listed on.

When a contract has been aggregated into a Core Reference contract and is in scope for a spot month rule, the rules engine will use the calendar data we fetch from exchanges for the Core Reference contract and not the original child contract.

Q. What if my Position Limits license covers the exchange of the contract I hold, but not the exchange of the Core Reference contract? What happens in the opposite case?

A. You will not be able to see the CFTC limit result for your holding in this contract as it relates to an exchange you are not licensed to. You will be able to see the contract in the Exchange Coverage view. You will still be able to monitor the contract against the Exchange set limits, as those don’t relate to cross-exchange aggregation. The same principle will apply in the opposite case.