Q&A on open interest thresholds in energy derivatives

For the purpose of converting thresholds that are denominated in lots into underlying units of energy derivatives, ESMA considers the monthly contracts in which most trading activity is concentrated as a baseline, each representing 1 lot. The conversion for the 10,000 lot threshold is exemplarily demonstrated below: For gas and base load power , the monthly contracts representing 1 lot, are considered equivalent to 720MWh (1MW [1] *24h*30days). Given that 1 MWh = 3.41 [2]  MMBTU and 1 MMBTU = 10 therm, the following thresholds apply: 10,000 lots = 10,000 * 720MWh = 7,200,000 MWh 10,000 lots = 10,000 * 720MWh * 3.41 MMBTU/MWh = 24,548,477 MMBTU 10,000 lots  = 10,000 * 720MWh * 3.41 MMBTU/MWh * 10 therm/MMBTU = 245,484,766 therm For peak load power , the monthly contract representing 1 lot is considered equivalent to 264MWh (1MW*12h*22days) and consequently, the following threshold applies: 10,000 lots = 10,000 * 264MWh = 2,640,000 MWh This Q&A expands the scope of the existing Q&A on  Position limits - the definition of "a lot" to also cover position reporting, without changing the approach. Concerning gas derivatives denominated in units different from MWh, please also refer to the  Q&A on lot sizes and position limits .   [1] Sometimes the physical power of energy contracts is stated in daily terms, e.g. 1 MWh/d = 1/24 MW instead of 1 MW, however, this is less common. [2] The calculations were performed using a conversion factor of 3.4095106405145.