Market Data Indices

European Natural Gas

Index Name Instrument Name Sequence Item Name Deal Date Total Volume High Low Average
TTF All Day D.A TTF H - 51.6 € D.A. 27/05/2022 26-May-22 3,240 82.000 81.250 81.948

French Power

Index Name Instrument Name Sequence Item Name Deal Date Total Volume High Low Average
French BSLD 8-11 W/End France Bsld WkEnd 21 May/22 May 22 20-May-22 Zero 0.000 0.000 193.411
French BSLD 8-11 D.A France Bsld Fri 27-May-22 26-May-22 7,800 167.750 167.000 167.462

German Power

Index Name Instrument Name Sequence Item Name Deal Date Total Volume High Low Average
German BSLD 8-11 W/End Germany Bsld WkEnd 21 May/22 May 22 20-May-22 1,200 124.500 124.500 124.500
German Peaks 8-11 D.A Germany Peaks Fri 27-May-22 26-May-22 Zero 0.000 0.000 144.482
German BSLD 8-11 D.A Germany Bsld Fri 27-May-22 26-May-22 Zero 0.000 0.000 156.247

UK Natural Gas

Index Name Instrument Name Sequence Item Name Deal Date Total Volume High Low Average
NBP 1625-1635 W/End NBP W\END 21-May-22 20-May-22 100,000 98.000 98.000 98.000
NBP All Day W/End NBP W\END 21-May-22 20-May-22 350,000 102.000 98.000 99.143
NBP All Day D.A NBP D.A. 27/05/2022 26-May-22 3,380,000 96.000 87.000 89.595
NBP 1625-1635 D.A NBP D.A. 27/05/2022 26-May-22 265,000 90.000 87.500 89.528
NBP 1600-1615 M.A NBP Jun-22 26-May-22 Zero 0.000 0.000 140.724
NBP All Day M.A NBP Jun-22 26-May-22 6,750,000 146.520 140.000 140.724
NBP All Day M.A Cumulative NBP Jun-22 26-May-22 132,600,000 189.000 135.000 145.945

UK Power

Index Name Instrument Name Sequence Item Name Deal Date Total Volume High Low Average
U.K Power BSLD All-Day W/End UK Bsld WkEnd 21 May/22 May 22 20-May-22 Zero 0.000 0.000 0.000
U.K Power BSLD All-Day D.A UK Bsld 27-May-22 26-May-22 21,600 103.500 96.000 101.639
U.K Power BSLD All-Day M.A UK Bsld Jun-22 26-May-22 12,240 160.000 158.000 159.765
U.K BSLD All-Day M.A Cumulative UK Bsld Jun-22 26-May-22 810,720 194.250 151.000 173.068

UK NBP Indices – All day

Methodology

The All-day gas indices are calculated from the volume-weighted average of all Day-ahead and Month-ahead trades done during the course of the day for delivery to the NBP (National Balancing Point). All times are British Standard Time (BST), as determined by Marex Spectron. These indices are published at 18:00 hours each day.

Day-Ahead Index

The Day-ahead index is calculated using the volume weighted average of all daily trades executed through Spectron on its phone broking and internet broking systems. The Day-ahead index values gas trades for delivery on the next working day following the deal date. The index day is the delivery day e.g. the index published for 23 November 2006 is based on all the trades executed through Spectron on the 22 November 2006 for delivery on the 23 November 2006

Month-Ahead Index

The Month-ahead index is calculated using the volume-weighted average of all Month-ahead trades executed through Spectron on its phone broking and internet broking systems. The Month-ahead index values gas trades for delivery in the month following the month in which the deal is executed. The index month is the delivery month e.g. the index published on the 22 November2006 is based on all the trades executed through Spectron on the 22 November 2006 for delivery every day during the month of December.

Weekend-Ahead Indices and Bank Holidays

The Weekend-ahead indices are calculated using the volume-weighted average of trades executed through Spectron on its phone broking and internet broking systems. The Weekend-ahead indices value gas trades executed on a Friday for delivery throughout the weekend following the deal date. The Weekend-ahead is generally defined as the Saturday and Sunday of delivery, although adjacent bank holidays are also included. Should a bank holiday fall midweek (for instance in the case of Christmas or New Years Day) then it is treated as a weekend, and a Weekend-ahead index is calculated for it. There are no Month-ahead indices published on bank holidays or on weekends.

Contingent Methodologies

Should the number of trades executed in a day be:

Five or greater – the index will be calculated using a weighted average of those trades.

Between one and four – the index will continue to be calculated using a weighted average of those trades. However, it will be noted on the index page that the calculation has been based on less than five trades.

Zero – the following contingent methodology shall apply:

For Day-Ahead, Weekend-Ahead and Month-Ahead

The index shall be calculated using the closing market price published in Marex Spectron’s daily market summary Spectrometer.

Index Out-Turns

Monthly index out-turn values, calculated from the average index value over the course of a month, will be published for both Day-ahead and Month-ahead indices, as these are commonly used for contract benchmarking.

Amendments

Should there be subsequent changes to the source data used to calculate the indices, then the index shall be recalculated and republished automatically i.e. the index shown within the historical indices tool is the most up to date calculation of the index (amended indices are flagged as such within this file.)

UK NBP Indices – Window

Methodology

The Window gas indices are calculated from the volume-weighted average of Day-ahead and Month-ahead trades done during a specific time window for delivery to the NBP (National Balancing Point). All times are British Standard Time (BST), as determined by Marex Spectron.

Day-Ahead Index

The Day-ahead index is calculated using the volume-weighted average of trades executed between 16:25-16:35 BST through Marex Spectron’s internet broking platform. The Day-ahead indices value gas trades for delivery on the next working day following the deal date. The index day is the delivery day e.g. the index published for 16 March 2016 was based on all the trades executed on the 15 March 2016 for delivery on 16 March 2016. A Weekend-ahead index is also published (see below). On Christmas Eve and New Year’s Eve the windows may be brought forward in line with early market-closing traditions.

Month-Ahead Index

The Month-ahead index is calculated using the volume-weighted average of all Month-ahead trades executed between 16:00-16:15 through Spectron, on its internet broking platform. The Month-ahead indices value gas trades for delivery in the calendar month following the month in which the deal is executed. The index month is the delivery month e.g. the indices published on the 15 March 2006 were based all the trades executed on the 15 March 2006 for delivery every day during in the month of April 2006.

Weekend-Ahead Indices and Bank Holidays

The Weekend-ahead index is calculated using the volume-weighted average of trades executed between 16:25-16:35 through Spectron Group Limited, on its internet broking platform. The Weekend-ahead indices value gas trades executed on a Friday for delivery throughout the weekend following the deal date. The Weekend-ahead is generally defined as the Saturday and Sunday of delivery (as a combined strip), although adjacent bank holidays are also included. Should a bank holiday fall midweek (for instance in the case of Christmas or New Years Day) then it is treated as a weekend, and a Weekend-ahead index is calculated for it. There are no month-ahead indices published on weekends or bank holidays.

Contingent Methodologies

Should the number of trades executed in a day be:

Five or greater – the index will be calculated using a weighted average of those trades.

Between one and four – the index will continue to be calculated using a weighted average of those trades. However, it will be noted on the index page that the calculation has been based on less than five trades.

Zero – the following contingent methodology shall apply:

For Day-Ahead, Weekend-Ahead and Month-Ahead

The index shall be calculated from all the trades concluded so far that day. In the case where there were no earlier trades that day the index will be derived from the NBP All Day Index.

Index Out-Turns

Monthly index out-turn values, calculated from the average index value over the course of a month, will be published for both Day-ahead and Month-ahead indices, as these are commonly used for contract benchmarking.

Amendments

Should there be subsequent changes to the source data used to calculate the indices, then the index shall be recalculated and republished automatically i.e. the index shown within the historical indices tool is the most up to date calculation of the index (amended indices are flagged as such within this file.)