FAQs on transaction reporting – Question II.3.2.8

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.

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FAQs on transaction reporting – Question II.3.2.9

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.

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FAQs on transaction reporting – Question II.3.2.10

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.

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FAQs on transaction reporting – Question II.3.2.11 [DELETED]

The question (in previous edition: Question 3.2.10) was deleted due to duplication.

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FAQs on transaction reporting – Question II.3.2.12

Data field (28)

ANNEX II – Table 1 Examples 4.01-4.04 for Bilateral trades off-OMP versus Table 1 Examples 1.02-23.02 for Executions of non-standard trades

For the examples of Table 1 for Bilateral trades off-OMP, Field 28 has been populated with “00:00Z/24:00Z” which is in line with guidance in the TRUM.

However for examples of Table 1 for Execution trades, Field 28 has been left blank.

So that we can programme our systems in a consistent manner to populate this field for Table 1 under Phase 2, is it acceptable to always populate this field with “00:00Z/24:00Z”  regardless of whether the Table 1 is a bilateral or an execution trade?


Answer:

Field 28 should be populated with “00:00Z/24:00Z” in line with the guidance in the TRUM. However, when Table 1 is used for the reporting of execution under the framework of non-standard contracts, Field (28) can be left blank as indicated in the examples available in Section II of Annex II to the TRUM.

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FAQs on transaction reporting – Question II.3.2.13

Data field (28) and (29)

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.

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FAQs on transaction reporting – Question II.3.2.14

Data field (30)

Reference to documents: TRUM, Annex 2, Table 15.02 – field 30 (non-standard contracts and transactions) All details of transaction executed within the framework of non-standard contracts specifying at least an outright volume and price are not necessarily available to both parties to the contract at the latest by the invoicing date (if we refer to the invoice issuance date). Indeed there may be a significant time gap (sometimes over 30 days) between the date where a producer issues its invoice and the date where the buyer actually receives it. Our below proposal aims at preventing from any breach of timely reporting due to a counterparty. We are requested by our NRA to check with ACER this would not create any operational issues.

For instance, a producer issues an invoice on 2nd February, however this invoice is only sent to the buyer on 28th February and received on 3rd March.

In that situation, the buyer will have all the details of the transaction only from 3rd March and will not therefore be able to use the invoice issuance date. The seller does not have any visibility of the date the invoice will be received and is not able to use the invoice reception date to populate the field.

We noted that ACER publicly stated at several times (in particular at the workshop of January 27th) that the reported transaction timestamps do not need to be the same for both parties.

Besides, during our meeting of January 8th, our NRA confirmed it does not use field 30 for reconciliation purposes unlike the fields related to the price, volume and delivery dates.

In this respect, as a buyer, we intend to populate field 30 with the invoicing reception date and expect sellers (producers) to populate this field with the date of issuance of the invoice.

Our NRA agrees with this methodology, but requested us to check with ACER this would not create any operational issues.


Answer:

In the examples illustrated in Annex II to the TRUM it is indicated that the time and the date of the EXECUTIONS may be different between market participants. Market participants should report their EXECUTIONS concluded under the framework of non-standards contract within one month from when they know their price and quantity. In those circumstances where market participants do not know the price and volume until they receive the invoice from their counterparty, they should report their EXECUTION within one month from the receipt of the invoice.

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FAQs on transaction reporting – Question II.3.2.15

Data field (42)

Reference is made to the lifecycle event for Non Standard contracts and in particular to amendment of long-term contracts where there is no delay in the start of the delivery. When a MODIFY for TAB2 is submitted which value for Field 42 (Delivery start date) should be used?

  1. Should the field be populated with the date since which the amendment is effective or;
  2. Should the field always maintain the same value (date) as the one that was reported for the NEW lifecycle event

Reference:

Transaction Reporting User Manual (TRUM)

Practical Example:

In case ACER guidance is for 2) we highlight the risk that, since normally the long term contract’s formula (if contract price is one of the contractual sections affected by the amendment) becomes retroactively effective since the date of effectiveness of the amendment, maintaining in Field 15a also the previous info for such formula (that was valid previously) and the text describing the time switches, could soon saturate the 1000 characters currently allowed. Again, in option 2), could it be acceptable that Field 15a only reports the price formula valid due to the last amendment originating the MODIFY (with an explicit info stating the first day in which such formula is valid) and that also information in Fixing Indexes and Volume Optionality be reported with sole reference to the last amendment originating the MODIFY event?


Answer:

In the Agency’s view, when an amendment of a long-term contract has to be reported, the modified record should be submitted with the Action type “M” (‘Modify’) and should include the same delivery start date in Field 42 and the new price formula in Field 15. The ‘explicit info stating the first day on which such formula is valid’ can also be reported in Field 15.

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FAQs on transaction reporting – Question II.3.3.1

I would like to discuss another trading example and ask you how to report it. Below you’ll find my reporting proposal.

Scenario:

  • buy, “strip of daily option”, gas, bilateral, physical settlement, price 0,5 €/MWh,
  • total deal volume 27.000 MWh within three month (December – February), exercising the option is just possible at 15 days per month on a day ahead basis,
  • December quantity 0-20 MW, volume = 7.200 MWh,
  • January quantity 0-25 MW, volume = 9.000 MWh,
  • February quantity 0-30 MW volume = 10.800 MWh,
  • strike price 30 €/MWh.

Could you please help me in that case?


Answer:

[UPDATED] based on additional input provided by the Agency’s stakeholders

Our understanding is that the option described above can be reported with Table 2 as a non-standard contract. Its executions shall be reported with Table 1.

Please see Q. 3.1.28 whether the execution should be reported as EXECUTION or BILCONTRACT contract, also considering that examples reported in Annex II to the TRUM are non-exhaustive.

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FAQs on transaction reporting – Question II.3.3.2

Reference to:

  • Article 3(1) of the Implementing Acts. List or reportable contracts: Options, futures, swaps and any other derivatives of contracts relating to electricity or natural gas produced, traded or delivered in the Union.
  • Option Details from ANNEX “Details of Reportable Contracts” in the Implementing Acts: Tables 1 and Table 2
  • TRUM, Table 1 #44: Option Exercise Date

“A European style option can only be exercised at the maturity date.”

  • TRUM, Table 1 #46: Option Exercise Date:

“This field identifies the date at which the option holder has the right, but not the obligation, to buy or sell the commodity or underlying instrument at a specified price on or before a specified date. In the case of an American, European or Asia option style, one exercise date is reported. In the case of a Bermudian option style, several dates may be reported.”

The issue:

1)  How should market participants report strip options?

2)  What is the reporting guidance from ACER for fields #44 Option Style and #46 Option Exercise date (Table 1) in regards to strip options? According to TRUM guidance, only Bermudian options can have more than one exercise date. For European option style, only one exercise date is required to be reported based on same text in TRUM.

Example:

Business Case: Market Participant A is trading strip options European style.

According to Market Participant A’s perspective, a strip option of the European style is a series of vanilla European options (a series of European puts or a series of European calls) on a number of consecutive contracts (e.g. January, February and March), each with the same strike price, but with a different expiry date.

Example: A strip option is concluded for delivery in January/February/March (three consecutive months). There are three exercise dates; each exercise date is two days before delivery start (e.g. 29th of December for delivery in January, 30th of January for delivery in February, 27th of February for delivery in March). Market Participant A has the right, but not the obligation, to exercise the option with delivery for January on 29th of December. In line with that, on 30th of January Market Participant A has the right, but not the obligation to exercise the option for delivery for February with the same strike price, and the same for delivery in March.

According to our current interpretation strip options are a kind of concatenated European style options, thus our interpretation is the report in the following manner:

  • Field #44 Option Style: Report as “European option style”
  • Field #46 Option Exercise Date: Report all relevant exercise dates of the strip option in this field, i.e. not just one exercise date as per the existing ACER guidance.

We would be grateful for ACER’s views on this envisioned approach, please.


Answer:

[UPDATED] to clarify Option Style of strip options

[Added] Since the introduction of the validation rule 2AODOEDR2x (in June 2017) – which prevents the reporting of records with a Contract Delivery Start Date prior to Contract Option Exercise Date unless the Option Style is ‘O’ for Other – strip options should be reported with Option Style ‘O’.

We understand that the option described above can be reported as:

  • Field #44 Option Style: “Other” “European option style”
  • Field #46 Option Exercise Date: the field should be repeated three times, where each value corresponds to a different exercise date, relevant to the individual delivery period (see below)
  • Fields #49 and #50 Delivery Start/End Date: these two fields should also be repeated three times, once for each corresponding delivery period (in this case it is one month per each delivery period).

The example below clarifies further the way to report the three fields above.

faqs-on-transaction-reporting-question-ii-3-3-2-table

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