Best Practices for Energy Price Indices © Copyright 2003, CCRO. All rights reserved. Table of Contents I. INTRODUCTION .................................................................................................................... 1 II. ATTRIBUTES FOR DATA GATHERING AND SUBMISSION PROCESS AND INDEX CONSTRUCTION AND METHODOLOGY ................................................................................... 4 III. DATA GATHERING AND SUBMISSION ............................................................................ 7 3.1 Quality and Content of Submitted Data .................................................................................... 7 3.1.1 Submit Only Raw Data on a Transaction-by-Transaction Basis ...................................... 7 3.1.2 Submit Data on All Applicable Transactions .................................................................... 7 3.1.3 Submit a Complete Set of Data ........................................................................................... 7 3.1.4 Submit Annotations for Transactions on Trading Platforms and Clearinghouses ......... 8 3.1.5 Exclude Intracompany Transactions .................................................................................. 8 3.1.6 Exclude Nonstandard Transactions ................................................................................... 8 3.2 Data Provider Processes and Controls ...................................................................................... 8 3.2.1 Submit Data Through a Department Independent from Front Office ............................ 9 3.2.2 Adhere to EPSA Code of Ethics for Other Employees...................................................... 9 3.2.3 Error Resolution, Error Revision, and Challenge Processes............................................. 9 3.2.4 Submit Data in Flat Files, Excel Spreadsheet, or –Exceptionally – by Facsimile Transmission ....................................................................................................................................... 9 3.2.5 Maintain Records ................................................................................................................. 9 3.2.6 Ascertain Sufficient Protection against Data Release or Misuse at All Levels .............. 10 3.2.7 Conduct an Independent Audit ....................................................................................... 10 IV. INDEX CONSTRUCTION PROCESSES AND METHODOLOGY ..................................... 11 4.1 Index Developer Best Practice Processes and Methods.......................................................... 11 4.1.1 Precise Index Definition .................................................................................................... 11 4.1.2 Establish Transaction Cutoff Times ................................................................................. 11 4.1.3 Establish Deadline for Data Submission .......................................................................... 11 4.1.4 Establish an Error Resolution Process – Prior to Index Publication .............................. 11 4.1.5 Sufficient Sample Size ....................................................................................................... 12 4.1.6 Treatment of Double-Counting ........................................................................................ 12 4.1.7 Treatment of Outliers ........................................................................................................ 12 4.1.8 Index Calculation ............................................................................................................... 12 4.1.9 Insufficient Sample Size .................................................................................................... 12 4.1.10 Establish an Error Revision Process – Following Index Publication ............................. 12 4.1.11 Establish a Challenge Process – After Index Publication ............................................... 13 4.1.12 Index Revision Process ...................................................................................................... 13 4.1.13 Information Accompanying Published Index Value ...................................................... 13 4.1.14 Documenting Index Construction Methodology ............................................................ 13 4.1.15 Changes in Methodology or Index Specifications ........................................................... 14 4.2 Index Developer Best Practice Organization and Controls.................................................... 14 4.2.1 Determine and Publish Indices Through a Department Independent from Journalistic Activities ............................................................................................................................................ 14 4.2.2 Demonstrate Sufficient Protection Against Data Release or Misuse at All Levels ...... 14 4.2.3 Conduct Independent Audits ........................................................................................... 14 V. CONTRACTUAL ARRANGEMENTS................................................................................. 16