Question 2.1.19 Data Field (23)

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Question 2.1.19 Data Field (23)

Inter-period and Inter-product spreads are split into contract and legContract.

Should the ContractType be SP or FW on a bilateral spread?

<INSTRUMENT ID="713" FirstSeqID="68" FirstSeqItemID="20" SecondSeqID="68" SecondSeqItemID="0">NCG/TTF € H 51.6 D.A</INSTRUMENT>

<contract>

<contractId>8_689_68_20</contractId>

<contractName>NCG_DA</contractName>

<contractType>FW</contractType>

<energyCommodity>NG</energyCommodity>

<settlementMethod>P</settlementMethod>

<organisedMarketPlaceIdentifier>

<lei>549300FR3U1PB1Y6LV13</lei>

</organisedMarketPlaceIdentifier>

<contractTradingHours>

<startTime>00:00:00Z</startTime>

<endTime>23:59:59Z</endTime>

</contractTradingHours>

<lastTradingDateTime>2015-06-12T05:59:59</lastTradingDateTime>

<deliveryPointOrZone>37Y701125MH0000I</deliveryPointOrZone>

<deliveryStartDate>2015-06-12</deliveryStartDate>

<deliveryEndDate>2015-06-13</deliveryEndDate>

<duration>D</duration>

<loadType>GD</loadType>

<deliveryProfile>

<loadDeliveryStartDate>2015-06-12</loadDeliveryStartDate>

<loadDeliveryEndDate>2015-06-13</loadDeliveryEndDate>

<loadDeliveryStartTime>06:00:00</loadDeliveryStartTime>

<loadDeliveryEndTime>06:00:00</loadDeliveryEndTime>

</deliveryProfile>

</contract>

<legContract>

<contract>

<contractId>8_243_68_20</contractId>

<contractName>TTFH516_DA</contractName>

<contractType>FW</contractType>

<energyCommodity>NG</energyCommodity>

<settlementMethod>P</settlementMethod>

<organisedMarketPlaceIdentifier>

<lei>549300FR3U1PB1Y6LV13</lei>

</organisedMarketPlaceIdentifier>

<contractTradingHours>

<startTime>00:00:00Z</startTime>

<endTime>23:59:59Z</endTime>

</contractTradingHours>

<lastTradingDateTime>2015-06-12T05:59:59</lastTradingDateTime>

<deliveryPointOrZone>21YNL----TTF---1</deliveryPointOrZone>

<deliveryStartDate>2015-06-12</deliveryStartDate>

<deliveryEndDate>2015-06-13</deliveryEndDate>

<duration>D</duration>

<loadType>GD</loadType>

<deliveryProfile>

<loadDeliveryStartDate>2015-06-12</loadDeliveryStartDate>

<loadDeliveryEndDate>2015-06-13</loadDeliveryEndDate>

<loadDeliveryStartTime>06:00:00</loadDeliveryStartTime>

<loadDeliveryEndTime>06:00:00</loadDeliveryEndTime>

</deliveryProfile>

</contract>

The result is two forward trades but this particular order strategy is a spread so I would expect to put SP when inter-period or inter-product spread but this could be interpreted differently since the result is two forward trades.


Answer

Even if the result is two forward trades, the order placed on the screen is a spread order so we would expect reporting parties to report ‘SP’ when they report inter-period or any other inter-product spreads. These orders should be reported as spark spreads or physical swaps in the same ways as presented in Annex II of the TRUM.

Data Field (23) Contract type should be populated with ‘FW’ in the order report and the resulting trade report for both legs.

Updated: 
30/06/2020