Europejski Urząd Nadzoru Giełd i Papierów Wartościowych (European Securities and Markets Authority - ESMA), Analiza ryzyka ESMA - gwałtowny wzrost cen kontraktów terminowych na gaz ziemny w sierpniu 2022

24 October 2023

ESMA50-524821-2963

ESMA TRV Risk Analysis

The August 2022 surge in the price of natural gas futures

Contact: damien.fennell@esma.europa.eu

Summary

This paper investigates the record surge in prices on European natural gas markets in August 2022. It looks at the main market, the Dutch TTF, and finds CCP margins rose and fell with prices and volatility in line with expectations, with margin calls met on time.

There were no signs of reductions in positions in TTF contracts in our data, with TTF positions in fact slightly higher during this period. The OTC share also did not change significantly during the March and August 2022 market events. In terms of trading behaviour, it finds highly inelastic demand, reflected in only slightly lower traded volumes from a year previously, despite prices being many times higher. This was likely driven by the need to replenish reserves for the winter given the drop in Russian pipeline supply. End-clients in EU member states also accumulated...