Under the REMIT transactions' and orders' reporting scheme if a price of a trade is fixed on index it needs to be reported with the use of either Fields No. 24 - 31 of the Non-standard reporting form (Table 2) titled "Fixing index details" or, when it comes to Standard reporting form (Table 1), index designation is included as part of the Field No. 25 (titled "Fixing index or reference price" and described as "fixing index that sets the price for the contract or the reference price for derivatives").
Details of reportable contracts for both tables are set out in the Annex to the Commission Implementing Regulation No 1348/2014 of 17 December 2014 on data reporting implementing Article 8(2) and Article 8(6) of Regulation (EU) No 1227/2011 of the European Parliament and of the Council on wholesale energy market integrity and transparency (OJ L 363, 18.12.2014, p. 121).
Non-standard reporting form has the following specification for fixing index:
Table 2
Reportable details of non-standard contracts for the supply of electricity and gas
(Non-standard reporting form)
Extract
Fixing index details - Fields No. 24 - 31
|
Field No.
|
Field Identifier
|
Description
|
| 24 | Type of index price |
Price classified as fixed, simple index (single underlying) or complex price formula (multiple underlying).
|
| 25 |
Fixing index |
List of indices determining the price in the contract. For each Index specify the name. In case of a basket of indices for which no unique identifier exist the basket or the index shall be indicated.
|
| 26 |
Fixing index types |
Spot, forward, swap, spread, etc.
|
|
27 |
Fixing index sources |
For each index specify the publication source. In case of basket of indices for which no unique identifier exist the basket or the index shall be indicated.
|
|
28 |
First fixing date |
First fixing date determined by the earliest date of all the fixings.
|
|
29 |
Last fixing date |
Last fixing date determined by the latest date of all the fixings.
|
| 30 | Fixing frequency |
The frequency the fixing: e.g. daily, weekly, monthly, seasonal, annual or other.
|
| 31 | Settlement method |
Whether the contract is settled physically, in cash, both, optional or other.
|
Field 24 in the Table 2 (dedicated to the type of index price) is not a mandatory field (Frequently Asked Questions (FAQs) on REMIT transaction reporting, answer to the Question 3.2.7)
Under the REMIT reporting scheme if a price of a trade is fixed on index, and the price of the index is not known in the time when the trade occurs it is sufficient to report the trade only with the name of fixing index without updating the trade report with published price for that index.
It means, the publication of the price of the index does not require in such a situation to send lifecycle event modification.
This way of reporting of trades based on index is consistent with ACER's answer to the Question 2.1.18 (Frequently Asked Questions (FAQs) on REMIT transaction reporting - ACER's clarification relates to Data Field No (25) (standard contracts)).
In the above publication ACER expressly confirmed, "It is correct to report the trade with the name of the index without updating the trade report with the published price for that index".
In another interpretation (answer to the Question 1.1.16) ACER acknowledged two possible ways of reporting for non-standard contracts based on index:
- firstly, this has to be reported on a T+1 month basis and therefore by the time of the reporting the price and the quantity are known and the contract can be reported as a non-standard contract with Table 1 on a T+1 month basis;
- alternatively, if the market participants report the non-standard contract before the delivery and the publication of the price, the contracts can be reported in two phases: the non-standard contract with table 2 indicating the index which fixes the price (e.g. X market place prices) and an execution under that non-standard contract, both on a T+1 month basis.
Another important thing to note is only indexes related to the energy commodity should be reported in the fields from 24 to 30 of Table 2 (this also include oil and coal or any other energy commodity to fix the price of gas or electricity). There is no need to report in these fields an FX index. If any FX index has to be reported, it can be reported in the formula (Answer to the Question 3.2.9).
In turn, in an answer to the Question 3.2.3 ACER commented specifically on fields: "First fixing date" and "Last fixing date", as well as "Fixing frequency" (see boxes below).
ACER's Frequently Asked Questions (FAQs) on REMIT transactions reporting
Question 1.1.16
Reporting complete transaction, in this scenario:
- 2 counterparties agree a bilateral trade, type standard contract, with hourly quantities for a delivery day several days ahead;
- The agreed price is the X market place prices for this delivery day; prices issued by the X market place, only the day before the delivery day.
According to the ACER document "REMIT - Transaction Reporting User Manual", §3.2.6, both counterparties report the trade only the day before the delivery day, once the prices are known (transaction complete). Is that correct?
Answer
If two counterparties agree a bilateral trade, type standard contract, with hourly quantities for a delivery day several days ahead and they agree a "X market place price" for this delivery day when the price issued by the X market place is published the day before the delivery day, they should report the contract with the index which fixes the price (e.g. X market place prices) on a T+1 working day basis.
If the contract is a non-standard contract this has to be reported on aT+1 month basis and therefore by the time of the reporting the price and the quantity are known and the contract can be reported as a non-standard contract with Table 1 on a T+1 month basis.
Alternatively, if the market participants report the non-standard contract before the delivery and the publication of the price, the contracts can be reported in two phases: the non-standard contract with table 2 indicating the index which fixes the price (e.g. X market place prices) and an execution under that non-standard contract, both on a T+1 month basis.
ACER's Frequently Asked Questions (FAQs) on REMIT transactions reporting
Question 2.1.18 Data Field No (25)
Lifecycle of order traded based on index.
If a price of a trade is fixed on index, and the price of the index is not known in the time when the trade occurs is it sufficient to report the trade only with the name of fixing index, or we shall send lifecycle event modification after the price of the index is published? It is sufficient to report the trade with the name of the index without updating the trade report with published price for that index.
Answer
It is correct to report the trade with the name of the index without updating the trade report with the published price for that index.
ACER's Frequently Asked Questions (FAQs) on REMIT transactions reporting
Question 3.2.3
In the fields "First fixing date" and "Last fixing date", our understanding is to report the first and the last date of application of the price index within the contractual period, coherently with the example (e.g. If the XYZ index is used to calculate the price from the 1/03/16 to the 1/09/16, the 2 dates will be respectively the first and the last fixing dates). Furthermore, regarding field "Fixing frequency" our understanding is to report the frequency related to the publication of the index values from the provider. Is our interpretation correct?
Answer
As stated in the Transaction Reporting User Manual (TRUM), market participants have to use the "First fixing date" and "Last fixing date" fields to report the first date and last date, respectively, at which the price of the contract can be set using the index indicated in field 25 (fixing index).
If the contract has several indexes and each of them are used to set the contract price, then market participants shall report the first date at which the price of the contract can be fixed for each index reported in field 25 (fixing index). Same applies to "Last fixing date".
With regard to "Fixing frequency" this field identifies the frequency of the fixing of the index for the contract price. For example, a contract price can be set on the basis of an index that is used daily or on the basis of an index that it is used monthly.
ACER's Frequently Asked Questions (FAQs) on REMIT transactions reporting
Question 3.2.8 Data field (24) to (31)
Table 2 Fields 24 to 31 – Data fields related to fixing index details
For non-standard trades with the delivery price linked to a formula, if the formula includes an FX index used to convert the currency of the fixing into the currency of settlement, does that FX index need to be reported in this section.
Annex II: Example 9.01 – Oil Index Gas Physical Formula Deal.
The above example in the TRUM would imply the answer to this question is NO – i.e. you do not have to report FX indexes in this section.
Could ACER explicitly confirm this and detail any other types of indexes or fixings that would NOT need to be reported in this section (if any)?
Answer
There is no need to report an FX index in the fixing index details session (fields 24 to 30 of Table 2). If any FX index has to be reported, it can be reported in the formula. Only indexes related to the energy commodity should be reported in the fields from 24 to 30 of Table 2.
ACER's Frequently Asked Questions (FAQs) on REMIT transactions reporting
Question 3.2.7 Data field (24)
Reference to documents: Transaction Reporting User Manual, page 91
Is it mandatory, to fill Table 2, Field 24? If not, what are the features of the contract that release the obligation to report this information? TRUM shows a list of possible values to fill - it allows "Other", suggesting that this field covers any situation that may occur in practice. Moreover, description does not include any exceptions concerning reporting obligation, which took place in many other fields (in such cases ACER stipulated, that the data are not required if certain conditions are met). On the other hand, i.e. example 2.01 (p. 182 of Annex II to TRUM) field is left blank, indicating existence of specific features of the contract, for which the field may be left blank. We expect the field to be obligatory, despite missing values in provided examples.
Answer
Table 2 field 24 is NOT a mandatory field in the XSD schema and it should be used according to the examples provided in Annex II to the TRUM.
ACER's Frequently Asked Questions (FAQs) on REMIT transactions reporting
Question 3.2.9 Data field (24) to (30)
Reference to documents: TRUM – Table 2 Reporting – Fixing Index Details (Fields 24-30)
Are FX indexes reportable under this section of Table 2?
If we have transaction to deliver physical gas, with the GBP or EUR price payable linked to a complex formula of USD Oil, the formula will contain a FX conversion index such as Bank Of England reference rate. Is that FX index also reportable as a fixing index under this section of Table 2?
Example 9.01 in Annex II would seem to suggest the answer is no.
Based on Example 9.01, our interpretation is that the answer is No. Could ACER confirm this explicitly as we would like to understand why FX indexes are treated differently from oil commodity indexes, and therefore if there is anything else that is not reportable under this section?
Answer
In the FAQs document the Agency has already indicated that there is no need to report an FX index in the fixing index details session (fields 24 to 30 of Table 2). If any FX index has to be reported, it can be reported in the formula. Only indexes related to the energy commodity should be reported in the fields from 24 to 30 of Table 2. This would include also oil and coal or any other energy commodity to fix the price of gas or electricity.
Examples of non-standard contracts reportable with Table 2 and available in Annex II to the TRUM, such as 9.01-13.01-14.01-25.01, were provided to the Agency by market participants. These examples clearly indicate that, in the industry's view, Oil Index and Coal Index should be reported.
REMIT reporting scenarios with price based on the index
REMIT reporting scenarios with price based on the index are as follows (ACER's examples of transaction reporting, p. 8):
Basket Scenario (P3)
In the Basket Scenario Contract price is determined by a basket of indexes where for the index basket there is a specified period (for calculation of average of closing prices), a specified period between the end of the calculation period and the beginning of the delivery period (the "lag") and a specified delivery period that the calculated price applies to.
This example would be a Calendar year 2015 delivery with calculation averaging over three months and delivery beginning immediately after end of averaging period and calculated price applied to three month period (3-0-3).
Index Switch Scenario (P4)
In the Index Switch Scenario Contract price is determined by one of two defined indexes where the customer can nominate 3 days prior to the pricing period which of the two indexes should be used for the calculation.
For the chosen index there is a specified period (for calculation of average of closing prices), a specified period between the end of the calculation period and the beginning of the delivery period (the "lag") and a specified delivery period that the calculated price applies to.
This example would be a calendar year 2015 delivery with calculation averaging over three months and delivery beginning immediately after end of averaging period and calculated price applied to three month period (3-0-3).
Simple Index Scenario (P5)
In the Simple Index Scenario contract for calendar 2015 delivery Contract price for the month of delivery is calculated as the average closing price of the front month futures contract for the last calendar month of trading days prior to the month of delivery i.e. January 2015 delivery price is the average of the January 2015 Futures closing prices during the month of December 2014.
Documentation
Frequently Asked Questions (FAQs) on REMIT transaction reporting
ACER's examples of transaction reporting