Indices

Marex Spectron publishes a range of proprietary indices on key European and Canadian energy markets.

 

The European gas and electricity indices have been published since 2001 and can be reviewed below. For information on the Canadian Crude Oil Indices, please click on this link

 

Indexes Contract Deal Date Total Volume High Low Average
NBP All Day W/End WEND 19-Apr-19 19-Apr-19 0 0.000 0.000 0.000
NBP 1625-1635 W/End WEND 19-Apr-19 19-Apr-19 0 0.000 0.000 0.000
NBP 1625-1635 D.A D.A. 24-04-2019 19-Apr-19 0 0.000 0.000 0.000
NBP All Day D.A D.A. 24-04-2019 19-Apr-19 0 0.000 0.000 0.000
NBP All Day M.A 19-May 19-Apr-19 0 0.000 0.000 0.000
NBP 1600-1615 M.A 19-May 19-Apr-19 0 0.000 0.000 0.000
NBP All Day M.A Cumulative 19-May 19-Apr-19 791,585,000 43.350 31.950 36.734

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.)

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