Question 2.1.21 Data Field (25) [NEW]

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Question 2.1.21 Data Field (25) [NEW]

We would like to know in which cases an index priced OTC transaction should be reported with Table 1 and when with Table 2 + Execution.

FAQ Question 3.1.27 already gives an overview, but we are not quite sure what should be reported in the case that

a.) the published index is only available for a fee, but otherwise not publicly accessible

b.) the published index was calculated from other published indices

Case a.) refers in particular to data from market data providers such as Heren, Argus or Platts. The price data available from these providers is not publicly available, but only for a fee. Does this also fulfil the characteristic "published" with regard to the choice between T1 or T2, so that T1 has to be used?

Case b.) refers to those cases where market data providers publish both the price data in raw form and the prices calculated from it, e.g. bid price and offer price as well as the mid price calculated from these two. Would a transaction priced with only this published mid-price also have to be reported with T1?

Our interpretation would be that all publicly published indices would qualify for reporting as T1 independently whether the provider charges a fee. In addition, bid, offer and mid prices should also be used for reporting in T1 format if the data is publicly available.


Answer

FAQ 3.1.27 provides detailed instructions on when to use Table 1 and Table 2 in case of reporting index trades.

With regard to your examples, we agree with your interpretations. Based on your description in case a), we understand that the price of the bilaterally concluded contract is fixed on one published index (even if it is available for a fee, but still publicly accessible) and should therefore be reported with Table 1 (BILCONTRACT) reporting the name of the index used to fix the price in field (25) Fixing index or reference price. In case b),the reporting can also be carried out via Table 1, since the price of the bilaterally concluded contract is fixed on one published index whose value is calculated by the market data provider from two or more public indices. In this scenario, the name of the index referring to the published mid-price should be reported in field (25) in the Table 1 report (BILCONTRACT). Please note that field (25) is an alphanumeric field and that a clear and precise reference to the name of the index that sets the prices is expected to be reported here.

Updated: 
30/04/2021