Please insert at least 3 characters

TRUM – Section 5.3

Data fields related to fixing index details

This section includes the following fields:

24. Type of index price
25. Fixing index
26. Fixing index types
27. Fixing index sources
28. First fixing date
29. Last fixing date
30. Fixing frequency
31. Settlement method

 

Data Field No (24) Type of index price

No. Field Identifier Description
24 Type of index price Price classified as fixed, simple index (single underlying) or complex price formula (multiple underlying).

 

Description of Accepted Values Type Length Examples
F=Fixed
I=Simple Index
C=Complex Price Formula
O=Other
Text 1 C

 

This field identifies the type of index or reference price used to sett the price of the contract. Some contracts, both derivatives and non- derivatives, related to the delivery of gas or electricity are traded on the basis that the price will be fixed by an index value or reference price upon its publication. The price can be classified as fixed “F” when the contract has a fix price (e.g. EUR 50.60), simple index “I” (e.g. a single underlying) or complex price formula (multiple underlyings used in a formula). In case none of the above applies, other “O” shall be used.

 

Data Field No (25) Fixing index

No. Field Identifier Description
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.

 

Description of Accepted Values Type Length Examples
Up to 150 alphanumerical digits. Alphanumeric 150 EUGAS day-ahead Publisher Name

 

This field identifies the name of the fixing index used to set the price of the transactions executed under the contract. Market participants shall report the name of the fixing index in this field and where the contract has several fixing indexes each of them should be reported in this field.

As the Agency does not intend to publish a list of indexes because most of them are publicly available and can be readily accessed, the Agency recommends that reporting parties use those indexes exactly as advertised by the publisher.

If the index is not public, then market participants should make best efforts to minimise any discrepancy with the other market participant when reporting this information.

 

Data Field No (26) Fixing index types

No. Field Identifier Description
26 Fixing index types Spot, forward , swap, spread, etc.

 

Description of Accepted Values Type Length Examples
SO=Spot
FW=Forward style contract
FU=Future style contract
OP=Option style contract
OP_FW=Option on a forward
OP_FU=Option on a future
OP_SW=Option on a swap
SP=Spread
SW=Swap
OT=Other
Text Up to 5 FW

 

This field identifies the type of fixing index indicated in field 25 used in the contract that is being reported. Where the contract has several type of fixing index each of them should be reported in this field.

For example, if the index is a spot price published by an exchange the “SO” value shall be reported. If the index is published by a price reporting agency or other publisher and it represents the delivery of the energy commodity during the course of a specific day, week, weekend, month etc., then the “FW” value shall be reported. If the index is a future price published by an exchange the “FU” value shall be reported.

 

Data Field No (27) Fixing index sources

No. Field Identifier Description
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.

 

Description of Accepted Values Type Length Examples
Up to 100 alphanumerical digits. Alphanumeric 100 Index Source Name

 

This field identifies the source of the fixing index/indexes used in field 25 (fixing index). Where the contract has several sources for the fixing indexes each source should be reported in this field.

For each index reported in field 25 (fixing index), market participants shall specify the publication source of each index. In the case of a basket of indices for which no unique publisher exists, market participants shall report all sources of the basket of indices.

For example, if in field 25 the index “EU-GAS-CALENDAR-YEAR-2015-PUB-NAME” is reported, the market participants shall report the source of the publication of the index, e.g. the EU-GAS-PRICES-PUB-NAME and the publisher name e.g. PUB-NAME, needed to identify where the index is published. This applies to each individual index reported in field 25.

For example, if in field 25 is reported the “EU-GAS-CALENDAR-YEAR-2015-PUB-NAME-ABC” index and “EU-GAS-CALENDAR-YEAR-2015-PUB-NAME-123” index, market participants shall report the source of the publication for both i.e. “PUB-NAME-ABC” and PUB-NAME-123”.

 

Data Field No (28) First fixing date

No. Field Identifier Description
28 First fixing date First fixing date determined by the earliest date of all the fixings.

 

Description of Accepted Values Type Length Examples
ISO 8601 date format Date n/a 2024-01-29

 

This field identifies the first date 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 may be used to set the contract price, 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).

For example:

1. index ABC may be used to fix the contract price from 01/01/2015 to 31/12/2017;

2. index 123 may be used to fix the contract price from 01/04/2015 to 31/03/2018; and

3. index XYZ may be used to fix the contract price from 01/04/2016 to 31/03/2019.

In this case market participants shall report 01/01/2015, 01/04/2015 and 01/04/2016 for this field.

 

Data Field No (29) Last fixing date

No. Field Identifier Description
29 Last fixing date Last fixing date determined by the latest date of all the fixings.
Description of Accepted Values Type Length Examples
ISO 8601 date format Date n/a 2034-01-29

 

This field identifies the last date at which the price of the contract can be fixed using the index indicated in field 25 (fixing index).

In the contract has several indexes and each of them may be used to set the contract price, market participants shall report the last date at which the price of the contract can be fixed for each index reported in field 25 (fixing index).

For example:

4. index ABC may be used to fix the contract price from 01/01/2015 to 31/12/2017;

5. index 123 may be used to fix the contract price from 01/04/2015 to 31/03/2018; and

6. index XYZ may be used to fix the contract price from 01/04/2016 to 31/03/2019.

In this case 31/12/2017, 31/03/2018 and 31/03/2019 shall be reported for in this field.

 

Data Field No (30) Fixing frequency

No. Field Identifier Description
30 Fixing frequency The frequency the fixing: e.g. daily, weekly, monthly, seasonal, annual or other.

 

Description of Accepted Values Type Length Examples
X=Half hourly
H=Hourly
D=Daily
W=Weekly
M=Monthly
Q=Quarterly
S=Seasonal
A=Annual
O=Other
Text 1 W

 

This field identifies the frequency of the fixing of the index for the contract price.

For example, it refers to the daily, weekly, monthly, seasonal, annual or other frequency as specified in the table above. It does not specify the exact dates and times when the fixing occurs but its frequency.

For example, a contract price can be set on the basis of an index that is used daily or a contract price can be set on the basis of an index that it is used monthly.

 

Data Field No (31) Settlement method

No. Field Identifier Description
31 Settlement method Whether the contract is settled physically, in cash, both, optional or other.

 

Description of Accepted Values Type Length Examples
P=Physical
C=Cash
O=Optional for counterparty
Text 1 P

 

This field identifies the type of settlement for the contract. “P” shall be indicated if the contract is settled physically and “C” shall be indicated if the contract is settled in cash. “O” shall be indicated if the contract can be physically settled or may be settled in cash at the option of one of the parties.

For contract such as option on futures or swaps, as they settle into the underlying future or swap, this should be considered for physical delivery of the underlying contract and the value of “P” should be reported.

 A majority of contracts traded under REMIT are for physical delivery, but there may also be derivative contracts that are not reported under EMIR and thus reported under REMIT. Consequently, different types of settlement methods can occur. For further clarification on derivatives not reported under EMIR but reportable under REMIT, please refer to point 3.3.3 of this document.

RSS_Icon Last update: 09/05/2016  

RSS_Icon Subscribe to this Category’s RSS