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. 26-07-2021 23-Jul-21 48,720 35.675 35.350 35.420

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 24 Jul/25 Jul 21 23-Jul-21 Zero 0.000 0.000 67.875
French BSLD 8-11 D.A France Bsld Mon 26-Jul-21 23-Jul-21 Zero 0.000 0.000 90.162

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 24 Jul/25 Jul 21 23-Jul-21 4,800 70.250 68.750 69.500
German Peaks 8-11 D.A Germany Peaks Mon 26-Jul-21 23-Jul-21 Zero 0.000 0.000 91.690
German BSLD 8-11 D.A Germany Bsld Mon 26-Jul-21 23-Jul-21 Zero 0.000 0.000 91.868

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 24-Jul-21 23-Jul-21 50,000 89.300 89.300 89.300
NBP All Day W/End NBP W\END 24-Jul-21 23-Jul-21 130,000 89.500 89.300 89.423
NBP All Day D.A NBP D.A. 26-07-2021 23-Jul-21 200,000 89.050 89.000 89.025
NBP 1625-1635 D.A NBP D.A. 26-07-2021 23-Jul-21 200,000 89.050 89.000 89.025
NBP All Day M.A NBP Aug-21 23-Jul-21 1,860,000 88.500 88.400 88.483
NBP 1600-1615 M.A NBP Aug-21 23-Jul-21 Zero 0.000 0.000 88.500
NBP All Day M.A Cumulative NBP Aug-21 23-Jul-21 27,125,000 90.900 82.100 88.506

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 24 Jul/25 Jul 21 23-Jul-21 26,160 95.000 94.000 94.570
U.K Power BSLD All-Day D.A UK Bsld 26-Jul-21 23-Jul-21 6,000 96.000 95.000 95.600
U.K Power BSLD All-Day M.A UK Bsld Aug-21 23-Jul-21 43,896 89.250 88.650 88.814
U.K BSLD All-Day M.A Cumulative UK Bsld Aug-21 23-Jul-21 466,488 94.400 82.500 89.245

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.)