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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.

Last update: 16/02/2016   RSS_Icon Subscribe to this Page’s RSS