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TRUM – Annex II

Examples of Transaction Reporting

 

For actual examples, please download the PDF version of Annex II

 

Version history

Version Effective Date
Annex II Version 1.0 06 May 2015
Annex II Version 2.0 30 September 2015
Annex II Version 2.0*

*(with comments on non-standard contract examples)

16 November  2015
Annex II Version 2.1

(included additional non-standard contract examples an corrected a few typos in non-standard examples)

15 February 2016
Annex II Version 3.0

(included Electricity and Gas transportation contract examples)

23 March 2016

 

Introduction

Annex II to the TRUM presents examples of transaction reporting for both standard and non-standard contracts. The examples reported in this Annex show what has to be included in the transaction reports of wholesale energy products traded on auction and continuous markets, through broker platforms (both on screen and voice brokered) and through bilateral trades.

Please note that in case reporting entities consulting this document do not find relevant transaction reporting examples below, they should submit a query to the Agency, describing a trading scenario and their suggestion on what to report for each specific transaction. A template for the submission of additional trading examples, which will be added to this Annex, is available on ACER portal at https://www.acer-remit.eu/portal/data-submission and it can be sent to transaction.reporting@acer.europa.eu for discussion.

 

The structure of Annex II

Annex II is composed of three sections: Section (1), Section (2) and Section (3).

Section (1) relates to Table 1 of the REMIT Implementing Acts and Section (2) relates to Table 2 of the REMIT Implementing Acts as described below:

 

a) Section (1): reporting of orders and contracts with Table 1 of REMIT Implementing Acts Annex:

  1. Index of examples included in Section 1
  2. Example of transactions executed on auction markets
  3. Example of transactions executed on continuous markets
  4. Example of transactions executed through brokers (including voice brokered trades)
  5. Examples of bilateral transactions executed off-market
  6. Examples of delivery profiles for both gas and electricity transactions

 

b) Section (2): reporting of contracts with Table 2 of REMIT Implementing Acts Annex.

  1. Index of examples included in Section 2
  2. Example of non-standard contracts

 

c) Section (3) relates to Table 3 and Table 4 of the REMIT Implementing Acts as described below:

  1. Index of examples included in Section 3
  2. Example of Electricity Transportation Contracts
  3. Example of Gas Transportation Contracts

 

The different parts of Table 1 and Table 2

Table 1 of the REMIT Implementing Acts Annex is composed of seven sections:

  1. Parties to the contract
  2. Order details
  3. Contract details
  4. Transaction details
  5. Option details
  6. Delivery profile
  7. Lifecycle information

 

The six parts of Table 2

Table 2 of the REMIT Implementing Acts Annex is composed of six sections:

  1. Parties to the contract
  2. Contract details
  3. Fixing index details
  4. Option details
  5. Delivery profile
  6. Lifecycle information

 

Trading scenarios

The present Annex shows what has to be reported according to the REMIT Implementing Acts Annex Table 1 and Table 2.

Trading scenarios included in Annex II encompass orders to trade and contracts (both standard and non-standard contracts). Annex II shows what has to be reported for a specific trading scenario while the technical implementation, i.e. how to report a trading scenario is not covered in this Annex.

All the fields and their content reported in the examples below are mandatory for each type of transaction. Fields that are blank are not required to be reported for that type of transaction. If a transaction report includes additional or fewer fields than those reported in each trading scenario, that transaction needs to be covered by another example.

It is responsibility of the reporting parties to make sure their transaction reports comply with the examples reported in this Annex. If reporting parties cannot find trading examples representing their own transactions in this Annex, they should contact the Agency.

They can  submit their representation of the trading scenarios concerned using the form available at https://www.acer-remit.eu/portal/data-collection and sending it to transaction.reporting@acer.europa.eu

However, before reporting parties submit their queries they should make sure that there are not any examples in this Annex or any combinations of them which may already represent their reports. Reporting parties may combine, for example, the data fields from one section e.g. Contract details or Transaction details with data fields from Delivery profile from another scenarios.

For example: if a 15 minutes contract trading scenario is not represented in the examples of transactions executed on continuous markets, this should not prevent the reporting party from using the 15 minutes delivery profile details used in the examples of transactions executed on auction markets.

For complex delivery profile details the Agency will create additional trading scenarios in this Annex under the section “Examples of delivery profiles for both gas and electricity transactions” when necessary.

As the list of examples represented in this Annex will not be able to cover all possible trading scenarios, combining them should enable the majority of scenarios to be represented.
It is ultimate the responsibility of market participants and reporting parties to contact the Agency in case they have any doubt concerning what to include in their trading reports.

As regards the technical implementation of transaction reporting and the submission of the XML file, market participants and reporting parties should refer to the Manual of Procedure available at https://www.acer-remit.eu/portal/acer-documents.

Please read carefully

The fields reported in the trading examples below are mandatory for each type of transaction. Blank fields in the examples are not expected to be populated when reported for that type of transaction.

In some circumstances reporting parties may provide additional information not required or described in the trading examples simply because it is easier to report what it is in their system rather than make a selection of it. This may be the case for the field Total notional amount in the order report. Reporting parties may decide to report this value in the order to trade report even if this field is not required At the condition that these do not violate the validation rules set by the Agency. Please contact your RRM to discuss this further. (sentences were rearranged)

In general the Agency will not reject the file because it contains additional information not required unless this is incompatible with the data validation rules available to the RRMs.

For phase one (starting on October 7 2015) of REMIT transaction reporting, as regards the technical implementation of transaction reporting, the submission of the XML files, market participants should liaise with the RRMs which will submit the reports on their behalf. For phase two (starting on April 7 2016) of REMIT transacting reporting, i.e. the submission of trades occurred outside organised markets, market participant may gain access to the technical standards if they decide to report their own transactions as an RRM.

 

Clarification of standard vs non-standard contract

 

(1) Trades not reported under EU financial legislations

(2) Contracts that are admitted to trade at Organised Market Places

(3) Details of transactions executed within the framework of non-standard contracts specifying at least an outright volume and price shall be reported using Table 1 of the Annex to the IAs.

 

Decision tree for the reporting of standard and not standard contracts and the use of Table 1 or Table 2

 

Reporting bilateral contracts traded outside organised market places, executions under non-standard contracts and back loading of standard contracts: Table 1.

In order to facilitate the reporting of bilateral contracts traded off-organised market places (standard and non-standard contracts with a defined price and quantity), back loading of standard contracts and execution under non-standard contracts the validation rules for these bilateral contracts are more relaxed than those for orders to trade and trades executed on organised market places.

Market participants and reporting parties reporting bilateral contracts traded off-organised market places, back loading of standard contracts and execution under non-standard contracts have to be reported with Table 1 of the Annex to the Implementing Acts. Market participants and reporting parties are expected to report the value of “BILCONTRACT”, “BACKLOADING” or “EXECUTION” in field 22 (Contract Name) according to the trading scenarios available in this ANNEX.

Please note that Article 5(1) of the Implementing Acts states that “Details of transactions executed within the framework of non-standard contracts specifying at least an outright volume and price shall be reported using Table 1 of the Annex”. This implies that even if a contract is considered a non-standard contract (reportable no later than 30 days from its execution ) but has an agreed price and quantity, the contract has to be reported using Table 1 of the Implementing Acts. See point 3.2.5 of the TRUM.

“BILCONTRACT”: should be reported in field 22 (Contract Name) of Table 1 to identify standard contracts and non-standard contracts (that have a defined price and quantity) that are traded outside the organised market places.

”BACKLOADING”: should be reported in field 22 (Contract Name) of Table 1 to identify the reporting of details of wholesale energy contracts which were concluded before the date on which the reporting obligation becomes applicable and remain outstanding on that date shall be reported to the Agency within 90 days after the reporting obligation becomes applicable for those contracts.

In the Agency’s view outstanding contracts are those contracts that have an outstanding physical or financial flow as defined by the contract and not by the settlement of invoice date. For futures and other derivatives, the Agency would expect to see the positions that are technically still “open” and that can be still trade out or to be settled. Please see also “Additional clarification on the back loading requirement” available in the TRUM (point 3.2.7).

“EXECUTION”: should be reported in field 22 (Contract Name) of Table 1 to identify the reporting of the details of transactions executed within the framework of non-standard contracts specifying that transactions can to be reported on a monthly basis. Executions under non-standard contracts are not subject to back loading reporting.

For the purpose of the reporting of the details of transactions executed within the framework of non-standard contracts specifying at least an outright volume and price, reportable with Table 1 of the Annex to the Implementing Acts, the Agency understands that these transactions should be reported according to the billing cycle industry standards as the invoicing date is the last point in time that price and quantity can be discovered.

The Agency understands that the billing cycle industry standards refer to calendar months and therefore twelve transactions per year (if the executions take place every month of the year) are expected to be reported no later than 30 days after the discovery of price and quantity. However, nothing prevents market participant from reporting the details of transactions executed within the framework of non-standard contracts on a more frequent basis even if the Agency would not expect it.

Reporting of non-standard contracts: Table 2

For the reporting of non-standard contracts and execution under non-standard contracts the Agency has widely consulted its stakeholders which have provided valuable input to this guidance. The Agency and the industry aligned their understanding of the reporting of non-standard contracts and execution under non-standard contracts and have created some basic rules for their reporting.

For the purpose of the reporting on non-standard contracts that do not have a defined price and quantity (at the time entering into the contract), non-standard contracts may have different characteristic base on:

a) volume scenarios;
b) price scenarios; and
c) delivery scenarios.

Each of the above scenarios has some variations; their descriptions can be found below. In the contract scenario descriptions below each volume scenario is represented by scenarios (V1) to (V5), each price scenario by scenarios (P1) to (P5) and each delivery scenario by scenarios (D1) to (D4).

a) Volume Scenarios

1. Fixed Flat Volume Scenario (V1): Supply to a customer in Europe for a term of one calendar year (e.g. 2015) with a fixed daily supply. No customer volume optionality.

2. Simple Nominated Volume Scenario (V2): The customer must nominate changes in offtake within a defined period prior to delivery period. In this example, the delivery is for calendar year 2015 and customer sends a monthly nomination three days before the start of the delivery month. Offtake nomination must be within a contract defined MIN /MAX range.

3. Cascade Nominated Volume Scenario (V3): The customer can choose to nominate changes in offtake using a time-cascade of deadlines. Customer could nominate next month delivery three days before the end of the month prior to delivery month or choose to nominate volume day ahead or could use a combination of both, nominating “certain” volume month ahead and refining that offtake with day ahead nominations. In this example delivery is for calendar year 2015. Offtake nomination must be within a contract defined MIN /MAX range.

4. Not Nominated (full supply) Volume Scenario (V4): Customer takes the volume required at the factory gate without giving any prior nomination of offtake. There will be an estimated profile provided before the contract deliveries begin but on any day offtake can be anywhere between zero and the capacity of the pipeline feeding the plant.

5. Fixed Shape Volume Scenario (V5): Customer contract defines the daily volume that will be delivered during the summer and a separate (different) daily volume that will be delivered during the winter. The customer has no flexibility to change the defined seasonal deliveries – daily delivered volume will be the same for every day of the season.

b) Price Scenarios

1. Fixed Price Scenario (P1): Supply customer for a term of one calendar year at a fixed price of Eur20 / unit for the year.

2. Trigger Price Scenario (P2): The customer can choose to fix the price of a future delivery period at the closing forward price (e.g. as published by Heren) for that forward period on the day the trigger is pulled. However if the price is not fixed, the contract price will default to a contract specified index, say day ahead.

3. Index Basket Scenario (P3): 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).

4. Index Switch Scenario (P4): 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).

5. Simple Index Scenario (P5): 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.

c) Delivery Scenarios

1. Fixed Delivery Scenario (D1): Delivery to a single identified delivery point, over one year period with same volume delivered every hour of every day.

2. Delivery Point Switching Scenario (D2): Customer can choose to be 100% supplied at one of two contract specified location’s (with two separate EIC codes) and must nominate choice 3 days before delivery starts for the next month and choice will remain until earlier of either end of contract or new nomination 3 days before new month when new choice will take effect.

3. Multiple Fixed Point Delivery Scenario (D3): Same as Fixed Delivery scenario but delivery is split using fixed percentages (that add up to 100%) between three different locations and the fixed percentages cannot change during the contract term.

4. Multiple Variable Point delivery Scenario (D4): Same as Multiple fixed point delivery scenario but the customer can change the percentage split (possible for up to two percentages to be 0% but total must add up to 100%) between three different locations and the customer must nominate choice 3 days before delivery starts for the next month and choice will remain until earlier of either end of contract or new nomination 3 days before new month when new choice will take effect.

Table 1: Volume: contract scenarios with some example values for relevant fields

V1 V2 V3 V4 V5
Field # Fixed Flat Simple Nominations Cascaded Nominations No-nominations

(Full Supply)

Fixed Shape
Short definition: If volume, shape and duration known them populate, otherwise blank
18 Total notional contract quantity volume x days blank blank blank (Winter daily vol. x days) + (Summer daily vol. x days)
Short definition: Indicate either agreed volume or maximum / minimum values, as stated in the contract, otherwise blank
19 Volume optionality capacity 100 0-2400 0-2400 blank 100,000 and 400,000
20 Notional quantity unit MW MW MW Therms MCM
Short definition: See definition in the TRUM: reflect type of volume optionality
21 Volume optionality F M M V F
Short definition: How often can customer exercise optionality
22 Volume optionality frequency blank M M,D blank blank
Short definition: The first date that a customer can exercise their optionality and also the last possible date in the contract term that optionality can be exercised.
23 Volume optionality intervals blank 29-12-2014 / 28-11-2015 29-12-2014 / 30-12-2015 blank blank

Please note that “blank” means empty field

 

Table 2: Price: contract scenarios with some example values for relevant fields

P1 P2 P3 P4 P5
Field #   Fixed Trigger Index Basket Index Switch Simple Index
15 Price or price Formula 20 Simplified Formula Simplified Formula Simplified Formula Simplified Formula
If volume, shape, price and duration are known on the contract date then populate, otherwise blank
16 Estimated notional amount Price x daily volume x days Blank Blank Blank (Price x Winter daily vol. x winter days) + (Price x summer daily vol. x summer days)
17 Notional currency EUR EUR EUR GBP EUR
If volume, shape, price and duration are known on the contract date then populate, otherwise blank
24  Type of index price F O C C I
List all indexes used in the formula (if there is one) otherwise blank
25 Fixing index Blank Blank GO FM mid,NG FM mid,  CPI UK GO FM mid or NG FM mid FM Close
Futures, Forward or other. Completed in sequence (field 24 to 30) for each index
26 Fixing index types Blank DAH FU, FW, OT FU or FW FU
Publication. Completed in sequence (field 24 to 30) for each index
27 Fixing index sources Blank Heren ICE, Heren, UK Stats ICE or Heren ICE
First date when the first price is included for the calculation of that index – e.g. For a front month index (average of closing prices for last month before expiry) then January’15 Front month will be the average of closing Jan Futures prices averaged from 1st December to 26th December so this field would be populated as 01-12-2014
28 First fixing date Blank 2014-12-01 2014-12-01 2014-12-01 2014-12-01
Similar to Field 28 but the last day. So if contract is calendar 2015 deliveries with front month pricing then last date would be the last pricing date of December ’15 futures contract, say, 27 November 2015, so populate field as 27-11-2015
29 Last fixing date Blank 2015-12-30 2015-09-30 2015-09-30 2015-11-27
How long is the closing price averaging period
30 Fixing frequency Blank O Q Q M

Please note that “blank” means empty field

 

Table 3: Delivery: contract scenarios with some example values for relevant fields

D1 D2 D3 D4
Field # Fixed Delivery switch Multiple points

 (Fix %)

Multiple points

(Variable %)

table 2 fields do not enable you to distinguish between switching between delivery points or adjusting the volume delivered at multiple points, so include all delivery points is it possible to deliver to (according to the contract)
41 Delivery point or zone 10YCB-EUROPEU–8 10YCB-EUROPEU–8
10YCB-EUROPEU-9
10YCB-EUROPEU–7
10YCB-EUROPEU–8
10YCB-EUROPEU-9
10YCB-EUROPEU–7
10YCB-EUROPEU–8
10YCB-EUROPEU-9
10YCB-EUROPEU–7
First delivery date according to contract
42 Delivery start date 2015-01-01 2015-01-01 2015-01-01 2015-01-01
Last possible date of delivery according to the contract
43 Delivery end date 2015-12-31 2015-12-31 2015-12-31 2015-12-31
Shape for natural gas is always GD
44 Load type GD GD GD GD

Please note that “blank” means empty field

 

Combining the volume, price and delivery scenarios: examples

The combination of a volume scenario with a price scenario and a delivery scenario should be able to represent most of the non-standard contracts that have to be reported to the Agency. Based on the scenarios above, there are 100 (5 volume X 5 price X 4 delivery) possible scenarios that market participants and reporting parties should be able to represent.

Example 1: a market participant may want to report a contract with the following combinations:

a) Volume scenario: (V4) – Not Nominated (full supply)
b) Price scenario: (P5) – Simple Index Scenario
c) Delivery scenarios: (D1) – Fixed Delivery Scenario

Contract Description:

V4: Customer takes the volume required at the factory gate without giving any prior nomination of offtake. There will be an estimated profile provided before the contract deliveries begin but on any day offtake can be anywhere between zero and the capacity of the pipeline feeding the plant.

P5: 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.

D1: Delivery to a single identified delivery point, over one year period with same volume delivered every hour of every day.

 

Full Supply / Simple Index Price / Fixed Delivery Point   
N Field Identifier (buyer side) (seller side)
  Contract details    
11 Contract ID LTC0001 LTC0001
12 Contract date 2014-07-18 2014-07-18
13 Contract type FW FW
14 Energy commodity NG NG
15 Price or price formula FORMULA FORMULA
21 Volume optionality V V
  Fixing index details    
24 Type of index price I I
25 Fixing index Front Month Close Front Month Close
26 Fixing index types FU FU
27 Fixing index sources ICE ICE
28 First fixing date 2014-12-01 2014-12-01
29 Last fixing date 2015-11-27 2015-11-27
30 Fixing frequency M M
31 Settlement method P P
  Delivery profile    
41 Delivery point or zone 10YCB-EUROPEU–8 10YCB-EUROPEU–8
42 Delivery start date 2015-01-01 2015-01-01
43 Delivery end date 2015-12-31 2015-12-31
44 Load type GD GD

 

Example 2: a market participant may want to report a contract with the following combinations:

a) Volume scenario: (V3) – Cascade Nominated Volume Scenario
b) Price scenario: (P3) – Index Basket Scenario
c) Delivery scenarios: (D3) – Multiple Fixed Point Delivery Scenario

Contract Description:

V3: The customer can choose to nominate changes in offtake using a time-cascade of deadlines. Customer could nominate next month delivery three days before the end of the month prior to delivery month, or choose to nominate volume day ahead, or could use a combination of both, nominating “certain” volume month ahead and refining that offtake with day ahead nominations. In this example delivery is for calendar year 2015.

P3: 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. This example would be a Calendar year 2015 delivery with calculation averaging over three months and delivery beginning immediately after the end of averaging period and calculated price applied to three month period (3-0-3).

D3: Same as Fixed Delivery scenario but delivery is split using fixed percentages (that add up to 100%) between three different locations and the fixed percentages cannot change during the contract term.

Cascaded Nom / Index Basket Price / Multiple Fixed Delivery Points 
N Field Identifier (buyer side) (seller side)
  Contract details    
11 Contract ID LTC0001 LTC0001
12 Contract date 2014-07-18 2014-07-18
13 Contract type FW FW
14 Energy commodity NG NG
15 Price or price formula FORMULA FORMULA
19 Volume optionality capacity 0-2400 0-2400
20 Notional quantity unit MW MW
21 Volume optionality M M
22 Volume optionality frequency M,D M,D
23 Volume optionality intervals 2014-12-29 / 2015-12-30 2014-12-29 / 2015-12-30
  Fixing index details    
24 Type of index price C C
25 Fixing index GO Front Month mid GO Front Month mid
26 Fixing index types FU FU
27 Fixing index sources ICE ICE
28 First fixing date 2014-12-01 2014-12-01
29 Last fixing date 2015-09-30 2015-09-30
30 Fixing frequency Q Q
24 Type of index price C C
25 Fixing index NG Fronth Month mid NG Fronth Month mid
26 Fixing index types FW FW
27 Fixing index sources Heren Heren
28 First fixing date 2014-12-01 2014-12-01
29 Last fixing date 2015-09-30 2015-09-30
30 Fixing frequency Q Q
31 Settlement method P P
  Delivery profile    
41 Delivery point or zone 10YCB-EUROPEU–8 10YCB-EUROPEU–8
41 Delivery point or zone 10YCB-EUROPEU-9 10YCB-EUROPEU-9
41 Delivery point or zone 10YCB-EUROPEU–7 10YCB-EUROPEU–7

 

Reporting of executions under non-standard contracts

The executions under non-standard contracts have to be reported with Table 1 of the Annex to the Implementing Acts. To see examples please download the PDF version of Annex II below.


Download documents:

ANNEX II – Examples of Transaction Reporting

Annex II Section 1 V1 XML Trade Examples

Annex II Section 2 V1 XML Trade Examples

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