3.1 What to report?

Clarification on spread and swap definition

For the purpose of transaction reporting under REMIT, the following definition of spread and swap contracts related to financial products applies in TRUM:

• Spread: contract that involves using price differences in forwards / future / option prices, rates, based upon inter-market relationships (time differences (maturities), locational differences, commodity differences). Spread can be established by taking a position in one contract (first leg) and simultaneously taking an opposite position in another contract(second leg). However spread might also refer to trading based on pure price difference with an index or reference price.
• Swap: typically indicates a contract that settles with multi periods and results in exchange of a series of cash flows. It may for example involve one market participant having a fixed-price contract for an energy commodity, while the other counterparty takes on the floating price of the same commodity. However also floating-to-floating trades might occur, as well as physical/geographical swaps where the hedging is based on different pricing in different locations.

Reporting intragroup contracts after deconsolidation

Intragroup contracts are reportable at the request of the Agency according to Article 4(1) of the REMIT Implementing Regulation. If Company A and Company B are originally part of the same group (both are registered as REMIT market participants), but later Company A is going to be deconsolidated from the consolidated financial statement of Company B and it changes status, in the Agency’s view Company A should report all its outstanding contracts (which will no longer be considered intragroup transactions) in T+1 month from its status change, with the date of its status change. For further information on reporting lifecycle events, please refer to Annex VII on lifecycle events.

Definition of organised market place

Any multilateral system, which brings together or facilitates the bringing together of “multiple third party” buying and selling interests in wholesale energy products is considered an organised market place under REMIT.

The Agency believes that the notion of “multiple third party” plays a key role in determining what constitutes an organised market place; a many-to-many trading possibility must exist in order to consider it an organised market place.

Energy and derivative exchanges, MTFs, OTFs and brokers, are examples of organised market places where many-to-many trading can occur.

In the Agency’s view, multilateral systems that facilitate procuring or selling energy on behalf of one market participant only, e.g. TSOs only for balancing purposes, should not be considered organised market places if those systems act solely on behalf of the TSOs.

It is the Agency’s understanding that such a system facilitates a one-to-many trading opportunity at each imbalance period, e.g. in an electricity market per each half hour/hour balancing period the system procures or sells energy for the TSOs.

However, if the multilateral system brings together or facilitates the bringing together of “multiple third parties” procuring and selling energy, the system facilitates a many-to-many trading opportunity, e.g. if participants can trade with each other and the TSO in a within-day gas market to adjust their positions, that system should be considered an organised market place.

Likewise, if the multilateral system brings together or facilitates the bringing together of “multiple third party” buying and selling of capacity, e.g. on a capacity secondary market, that system should be considered an organised market place if that system allows many-to-many trading.

Reporting transactions on an auction market if it is not organised on an OMP

In case an auction is not organised on a multilateral system which qualifies to be an organised market place as per the definition above (many-to-many trading), the orders placed in that auction should not be reported. However, any trade concluded in such a platform must be reported as any other bilateral contract.

Clarification on the definition of ‘broker’ as a broker-type organised market place and ‘broker’ as being an executing broker

The Agency considers a broker a natural or legal person that arranges transactions between a buyer and a seller of contracts related to wholesale energy products (WEPs) for a commission when the trade is executed.

A broker does not necessarily represent an OMP. Such an entity is considered an OMP only if it fulfils the OMP criteria stipulated in Article 2(4) of the REMIT Implementing Regulation. In such a case, it is expected that the broker contacts the Agency in order to be included in the List of organised market places available on the REMIT Portal, pursuant Article 3(2) of REMIT Implementing Regulation.

An ‘executing broker’ is a natural or legal person that executes transactions on an OMP on behalf of its clients. If a market participant places an order on an OMP through a broker (usually an executing broker acting as intermediary counterparty) and this particular executing broker is the counterparty to the transaction, then the executing broker is considered a REMIT market participant and has reporting obligations for all its trades and orders placed on the OMP (broker- or exchange-OMP), including those transactions that the broker gives up for clearing. Since an executing broker places orders and executes them without bringing together “multiple third party” buying and selling side, it would not be considered an OMP.

In some circumstances, a broker OMP may offer the service of executing broker to their clients. The broker in this case is providing two different services at the same time: one as broker OMP and one as executing broker. For the executing broker business, the broker is considered a REMIT market participant (for more information please see Annex III to the TRUM available on the ACER website) and should register as a REMIT market participant with the relevant National Regulatory Authority.

Please consult ANNEX III to the TRUM on how to report REMIT Derivatives Contracts under REMIT and EMIR.

Uncertainty about the specifications of a standard contract agreed bilaterally

The Agency understands that there might be some circumstances where market participants may not have full visibility to the specifications of the standard contracts traded on organised market places. Therefore, whenever two market participants enter into a bilateral contract agreed outside an organised market place and, despite the information provided by the public List of Standard Contracts available in the REMIT Documents section of the ACER website, they do not have the certainty that their contract is the same as the one traded on organised market places, it can be assumed that the bilaterally agreed contract normally entails some elements of customisation. These elements of customisation distinct the bilateral contract from contracts on wholesale energy products admitted to trading at an organised market place. They may therefore report such a contract on a T+1 month basis and, where the contract has a defined price and quantity, with Table 1 of the Annex to the REMIT Implementing Regulation.

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 but traded bilaterally

(3) Non-Standard Contracts with defined price and quantity (indicated as ‘BILCONTRACT’ in the transaction report under Contract Name in Data Field (22) and details of transactions executed within the framework of non-standard contracts specifying at least an outright volume and price (indicated as ‘EXECUTION’ in the transaction report under Contract Name in Data Field (22) shall be reported using Table 1 of the Annex to the REMIT Implementing Regulation.

Distinguishing bilateral contracts executed outside an organised market place and executions under the framework of a non-standard contract

In the Agency’s view, in order to distinguish bilateral contracts executed outside an organised market place and executions under the framework of non-standard contracts, the framework under which these contracts are executed may play a key role. A typical structure of the bilateral contracts for the supply for electricity and/or gas may include: general or master agreement ("main body“), election sheet, annexes (part of the general agreement by default), and individual transactions (constituting the economic terms) defining precisely the energy related contract.

However, other master agreements may not include some of the parts indicated above, but are general contracts for the supply for electricity and/or gas that have two main parts: a commercial part and an economic part.

If market participants have agreed on the commercial terms under a general agreement, then market participants may:

1. Negotiate the economic terms and conclude a contract (commercial + economic terms) → a REMIT bilateral contract reportable with Table 1 (Contract name under Data Field (22) shall be populated with BILCONTRACT); or
2. Negotiate the economic terms and conclude a contract (commercial + economic terms) with flexibility → a REMIT non-standard contract reportable with Table 2 (price and quantity may change at a later stage).

Alternatively, depending on the agreement they may have, market participants may have already agreed the commercial and economic terms in one agreement (contract) which includes non-standard contract clauses, such as take or pay and/or reselling of already purchased quantities and/or different pre-defined pricing formulas. Under such a contract, which is a REMIT non-standard contract reportable with Table 2, quantities are not necessarily pre-defined and the price is pre-defined (e.g. by formula or index) but may not be fixed, and at least one of the market participants is obliged to deliver/offtake agreed quantity or has the single right to request this from the other party. Under this type of agreement there may be different nomination, pricing flexibility, option exercise and possibility to enter into forward contracts or additional volumes.

Under such a non-standard contract (reportable with Table 2), market participants may:

1. Negotiate the economic terms and conclude a new contract → a bilateral contract reportable with Table 1

Contract name under Data Field (22) shall be populated with BILCONTRACT and Data Field (32) Linked Transaction ID shall include the Contract ID of the non-standard contract reported in Table 2; or

2. Use the flexibility and fixing events which can be reported as EXECUTION with Table 1.

Contract name under Data Field (22) shall be populated with EXECUTION and Data Field (32) Linked Transaction ID shall include the Contract ID of the non-standard contract reported in Table 2.

If the transaction is executed ahead of the delivery with the characteristics of any other transaction of BILCONTRACT type, then such transaction should be reported as BILCONTRACT transaction linked to the non-standard contract previously reported with Table 2.

Decision tree for the reporting of records of transactions related to standard and non-standard contracts and the use of Table 1 or Table 2

This guidance aims to clarify the Agency’s understanding of the difference between a standard contract and a non-standard contract based on Article 2 of the REMIT Implementing Regulation:

(2) ‘standard contract’  means a contract concerning a wholesale energy product admitted to trading at an organised market place, irrespective of whether or not the transaction actually takes place on that organised market place;

(3) ‘non-standard contract’ means a contract concerning any contract on a wholesale energy product that is not a standard contract.

In the Agency’s view it is essential to further clarify the meaning of “admitted to trading” at an organised market place.

A contract admitted to trading at an organised market place is a contract that is visible to the market and available for trading to market participants.

Exchange OMP-traded contracts

A contract that is admitted to trading and listed on the exchange is a tradable instrument the market participants can sell or buy. The transactions can be registered at the exchange also if market participants agree on the price off-screen or if the transaction is facilitated by a broker.

Broker OMP-traded contracts

For a contract admitted to trading on broker OMPs, it is worth to further clarify the meaning of “admitted to trading”.

Brokers, in the context of Article 2(4) of the REMIT Implementing Regulation, advertise tradable contracts on their platforms. These contracts have certain specifications such as clip size (contract size), delivery point of the energy commodity, delivery start and end date, hours of the delivery and any other specifications to identify the contract. These contracts, e.g. within-day or day-ahead contracts, as well as any forward contracts, are tradable multiple times until their “expiration date and time” (last trading date and time) is reached.

For example:

1. Hourly electricity product: this can be traded for several days before the gate closure;

2. Day-ahead gas or electricity product: this can be traded for several hours during the day before the delivery of the gas/electricity starts; and

3. A monthly/quarterly/seasonal forward product: this can be traded every day for several months before the delivery starts.

In the Agency’s view, exchange and broker OMP contracts are considered standard contracts admitted to trading at an organised market place. As a consequence, the organised market place where these contracts on wholesale energy products were traded shall, at the request of the market participant, offer a data reporting agreement in line with Article 6(1) of the REMIT Implementing Regulation.

Voice-brokered contracts

In general, the above considerations apply also for voice-brokered contracts. In this context, the references in the TRUM to “including voice brokered” should be understood as referring to the following scenario:

1) The contract is admitted to trading at organised market places;

2) An order is visible on the screen (initiator order); and

3) A voice brokered order matches the order on the screen. The resulting trade is considered a voice brokered trade.

Specificities of voice-brokered shaped/profile contracts

When a shaped/profile contract is voice brokered without being advertised on the screen of the broker OMP (e.g. a broker’s client asks the broker to find a counterparty to a shaped/profile contract), it would be traded only once and would then expire and not be tradable any more (as opposed to those contracts that are traded on the screen and that can be traded multiple times). In the Agency’s view such a contract, although traded through a broker, is not to be considered admitted to trading at an organised market place and it should not be considered a standard contract. Therefore, and in line with Article 7(4) of the REMIT Implementing Regulation these contracts shall be reported no later than one month following their conclusion, modification or termination.

Since these contracts are voice brokered and executed at an organised market place, in the Agency’s view, the broker OMP (in the context of Article 2(4) of the REMIT Implementing Regulation) shall at the request of the market participant offer a data reporting agreement in line with Article 6(1) of the REMIT Implementing Regulation.

Some organised market places may allow their clients to upload on the screen (and therefore be visible to other market participants) complex shaped/profile contracts which are available for trading. Although these contracts might not be traded several times (e.g. they might be removed once they are matched) they are still admitted to trading at OMP and therefore they should be considered standard contracts. Hence, regardless of the complexity of the contract, as long as the contract is visible to the market, it is considered admitted to trading at the organised market place and it should be considered a standard contract.

The Agency understands that the reporting of complex contracts on a T+1 day basis may bring up some difficulties for the reporting parties; however, they should make their best effort to report such standard contracts in line with the timeline set out in the REMIT Implementing Regulation.

Consequences of the criterion “admitted to trading” for the transaction reporting obligation

Transactions related to contracts admitted to trading at the organised market place are subject to the reporting obligations for standard contracts and reportable on a T+1 day basis, irrespective of whether they are traded on screen or voice brokered.

Transactions related to any other contracts that are not standard contracts are subject to the reporting obligations for non-standard contracts and thus reportable on a T+1 month basis.

Clarification of outright volume and price and reporting frequency for transactions executed within the framework of non-standard contracts

As indicated in paragraph 3.2.4, 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 REMIT Implementing Regulation.

With regard to “specifying at least an outright volume and price”, the Agency understands that once the volume and the price of the transaction is known to the two market participants, the transaction is complete. This can occur after the delivery of the commodity.

There is little difference between a physical spot/forward contract traded at an organised market place with a price settled against an index and an execution under the framework of a non-standard contract which settles days after the delivery of the energy commodity ends. In fact, both of these two contracts may not have a fixed price or volume before the delivery of the energy commodity starts and, most likely, both of them will be completely settled after the delivery period ends.

However, while the physical spot/forward contract traded on an organised market place is reported with the contracted volume and the fixing index (which most likely is publicly available), the transaction executed under the framework of a non-standard contract has to be reported once the delivered quantity and the price are known, but still using Table 1 of the Annex to the REMIT Implementing Regulation. The time and the date of the executions may be different in the two records of transaction reported by the involved market participants.

As far as the Agency is aware, details of transactions executed within the framework of non-standard contracts specifying at least an outright volume and price are available to both parties to the contract by the invoicing date at the latest. On that basis, executions under the framework of non-standard contract are reportable no later than 30 days after the invoicing date using Table 1 of the Annex of the REMIT Implementing Regulation.

Clarifications on the expected way of reporting executions via Table 1

As indicated in Annex II to the TRUM, the Agency understands that billing cycle and invoicing date is the last point in time that the price and quantity can be discovered. Market participants should not understand the terms billing cycle and invoicing date as an indication that under REMIT they have to report the components of their invoices which include taxes, costs and adjustments which are not in the scope of REMIT. Market participants should report the energy price for the energy delivered in the period of time the reported execution/contract refers to.

With regard to the energy price, market participants reporting transactions executed within the framework of non-standard contracts on a monthly basis should report the energy price as considered in the contract. If the price is fixed, that price will be reported. If the price is fixed by a fixing index, a price formula, a strike price or anything else as defined in the contract, then that energy price has to be reported to the Agency.

With regard to the energy delivered, market participants should report the energy delivered as indicated in the execution report.

The Agency understands that invoices may cover several months: the current month plus some adjustments from previous months (these can sometimes go back up to several months in the past). Market participants have to report only the energy delivered in the period of time the execution report refers to without any adjustments from the past. The Agency understands that the reporting of the energy delivered in the previous month may be over/under estimated and it recommends market participants to consider an amendment (modification as lifecycle event) to the execution reports already reported.

Executions and price formulas

When executions under the framework of a non-standard contract have a price which is set with different price formula depending on the delivery point of the commodity, then these executions should be reported separately (one report for each delivery point). When executions under the framework of a non-standard contract have a price which is set with one price formula for all the delivery points of the commodity, and the volume split is known to the market participant, then these executions should be reported separately (one report for each delivery point). When executions under the framework of a non-standard contract have a price which is set with one price formula for all the delivery points of the commodity, but the volume split is not known to the market participant, then these executions can be reported with one report (e.g. one report indicating the total volume).

Sale and purchase of energy under the same non-standard contract

Within the framework of a non-standard contract, for those periods when there is no delivery, there is no need to report executions. However, where the framework of a non-standard contract allows for the sale and purchase of energy under the same contract, market participants should not net those executions, as in some circumstances they may lead to 0 (zero) volume at the end of the month. Market participants should report the sold and bought volumes separately with different execution reports in Table 1.

Additional clarification on the back loading requirement

Article 40(1) of Directive 2009/72/EC and Article 44(1) of Directive 2009/73/EC stipulate record keeping obligations of at least five years for the relevant data relating to all transactions in electricity and gas supply contracts and electricity and gas derivatives.

According to Article 40(2) of the Directive 2009/72/EC, “The data shall include details on the characteristics of the relevant transactions such as duration, delivery and settlement rules, the quantity, the dates and times of execution and the transaction prices and means of identifying the wholesale customer concerned, as well as specified details of all unsettled electricity supply contracts and electricity derivatives”.

According to Article 44(2) Directive 2009/73/EC “The data shall include details on the characteristics of the relevant transactions such as duration, delivery and settlement rules, the quantity, the dates and times of execution and the transaction prices and means of identifying the wholesale customer concerned, as well as specified details of all unsettled gas supply contracts and gas derivatives”.

Market participants should consider that the above Directives set the minimum requirement for the reporting of contracts which were concluded before the date on which the reporting obligation becomes applicable and remain outstanding on that date. Where other information which is required to be reported under REMIT can be extracted from market participants' existing records, market participants shall also report that information.

In order for the Agency and the NRAs to know each market participant’s open positions at the time when the reporting obligation becomes applicable, market participants shall report contracts which were concluded before the date on which the reporting obligation becomes applicable and remain outstanding on that date. This information will enable the Agency and the NRAs to rationalise and understand subsequent trading activity. This contract shall be reported at transaction level and not at position level.

The Agency understands that only market participants know precisely their outstanding positions, e.g. delivery end date is after or equal to the date that the reporting obligation becomes effective. For example, where a trade on a contract that is bilaterally settled takes place, executed with or without the help of a broker, only the two counterparties to the contract have knowledge of subsequent lifecycle events; no visibility on outstanding positions is available to third parties, including the broker who facilitated that transaction.

Since there are multiple organised market places trading identical products, market participants can open a position and at a later date close it at different organised market or it could even be closed out by direct agreement of the two market participants outside of an organised market place.

Reporting of details of transactions related to contracts on wholesale energy products which were concluded before the date on which the reporting obligation became applicable and remained outstanding on that date had to be reported to the Agency by market participants unless the organised market places decided to assist the market participants with the back-loading reporting.

Market participants should bear in mind that the organised market places’ willingness to assist market participants with the back-loading reporting was entirely at the discretion of the organised market places as there is no obligation under REMIT for them offering that service.

Orders to trade

The reporting of orders to trade is an important requirement that enables the Agency and the NRAs to detect potential market manipulation. The Agency understands that, under the REMIT transaction reporting regime, all orders that are visible to market participants on organised markets shall be reported to the Agency.

The financial market legislations suggest that the notion of order for the purpose of Article 25 MiFIR includes quotations on trading venues. This is consistent with the approach taken in Article 17(2) MiFID. In particular ‘order’ includes quotations on RFQs (Request for Quotes) and voice broking systems operated by a trading venue where such quotations are advertised through the trading venue’s system.

Therefore, the Agency is of the understanding that the reference to orders includes quotations on trading venues such as Indication of Interest (IOI) advertised on the screens of the organised market places, while according to Article 7(3) of the REMIT Implementing Regulation, orders placed in brokers’ voice operated services are not reportable, unless they appear on electronic screen or other devices used by the trading venue. These orders shall thus only be reported at request of the Agency.

With regard to orders to trade in auction markets, Article 7(2) of the REMIT Implementing Regulation states that “In the case of auction markets where orders are not made publicly visible, only concluded contracts and final orders shall be reported. They shall be reported no later than on the working day following the auction.” This indicates that only orders that are admitted to the final auction have to be reported. For example, in the situation where an order is placed in an auction platform and then modified, the initial order is not a reportable order but the latter order is, if it is valid when the actual auction takes place.

Orders on spreads

Orders on spreads are orders that are placed by market participants on the screen of the organised market place with the intention to enter into a transaction made up of more than one contract (leg) at the same time. An example of such orders is those placed on the broker platforms to trade a dirty spark spread. Only orders on spreads that consist of wholesale energy products are reportable under REMIT.

As the REMIT reporting obligation encompasses both gas and electricity contracts, any spread trade which includes an underlying which is outside the scope of the REMIT reporting obligations (e.g. coal, oil, carbon emissions) falls outside the scope of orders on spreads reportable under the REMIT reporting regime. If a market participant places an order on a spread where only one of the two legs differs from wholesale energy products under REMIT (electricity and gas), that order should be reported to the Agency by only indicating the leg falling under the scope of REMIT. The same approach applies to the relevant trades, where only the individual trade falling under the scope of REMIT will be reported to the Agency. As an example, if a market participant places an order on a spread that encompasses natural gas and coal, only the concluded trade referring to natural gas is reportable to the Agency.

Furthermore, organised market places or trade matching systems may advertise spread trade opportunities for their clients on their screens. These types of advertised spreads such as spark, dark, inter period, inter product, ratios, cleared vs. non-cleared spreads should not be considered orders to trade as these are not placed by their client, the market participant. Trades which result from such spread are not different from trades that are executed manually by the market participant and should be reported as two or more separate transactions.