European Gas Prompt - PDF document

1 | Page LEBA European Gas Pro
1 | Page LEBA European Gas Prompt INDEX SPECIFICATIONS Index Calculation Methodologies Day Ahead Index The Day-ahead Index is calculated using a volume-based weighted average of all Day-ahead trades executed in London by contributing brokers between 07:00 hrs and 17:00 hrs UK time. The Index values gas trades for delivery on the next business day following the Trade Day. Day Ahead Window Index* The Day-ahead Window Index is calculated using a volume-based, weighted average of all Day-ahead trades executed by contributing brokers between 16:20 hrs and 16:30 hrs UK time each day. The Index values gas trades for delivery on the next business day following the Trade Day. Weekend Index The Weekend Index is calculated using a volume-based weighted average of all weekend trades executed by contributing brokers between 07:00 hrs and 17:00 hrs UK time on the last business day before the weekend. Weekend Window Index* The Weekend Window Index is calculated using a volume-based weighted average of all weekend trades executed by contributing brokers between 16:20 hrs and 16:30 hrs UK time on the last business day before the weekend. Month Ahead Index The Month Ahead Index is calculated using a volume-based, weighted average of all Month-ahead trades executed by contributing brokers between 07:00 hrs and 17:00 hrs UK time. The Index values gas trades for delivery on each day of the month following the Trade Day. * If a minimum volume of 570 MWh (475,000 Therms for indices predominantly traded in Therms) is traded between 16:20 hrs and 16:30 hrs UK time, the index will be calculated using a volume weighted average of all trades done within the window. If less than the minimum threshold is traded between 16:20 hrs and 16:30 hrs UK time, then the window will extend to include the latest trades concluded before the commencement of the Index window until the minimum volume thre

shold is achieved. A notation will
shold is achieved. A notation will be made on the Index page to the effect that the index has been calculated using an extended window. If the threshold is not reached, the Index will be calculated using a volume weighted average of all trades executed that day. Nb: There are no restrictions on individual deal size for trades to qualify for inclusion in the calculations 2 | Page Definition of a trade A trade is defined as any and every transaction (excluding one leg of sleeves where clearly identified by the contributor – see below) arranged by a contributing broker. This would include any trades resulting from delta hedging of option trades. Sleeve Trades If a company does a free sleeve to help two other companies who would not otherwise be able to trade with one another, and where those sleeve trades are clearly identified by the contributing firm, then this will only count as one trade for the purposes of the Index. A free sleeve is defined as buying and selling the same volume at the same price between two companies as a favour to those other companies. If a company charges to do the sleeve, i.e. they buy at a lower price than they sell this will count as two trades for the purposes of the Index. Where free sleeves are not identified by the contributing firm as such, they will be included within the index calculations. Contingent Methodologies Five or more trades: Should the number of trades executed in a day be five or more, the Index will be calculated using a weighted average of those trades. Between one and four trades: Should the number of trades executed in a day be between one and four, the Index will continue to be calculated using a weighted average of those trades. However, a notation will be made on the Index page to the effect that the calculation has been based on less than five trades. No trades during a working day (Day-Ahead, Month-Ahead and Weekend Indic

es): Should there be no trades during
es): Should there be no trades during a working day, the previous published price will be re-published. A notation will be made against the Index to this effect. No trades during a working day (All other indices): Should there be no trades during a working day, zero volume and a blank weighted average will be published with notation made against the index to this effect. Working Days, Weekends and Public Holidays Working days are all days except weekends and UK public holidays. Weekends are Saturdays, Sundays and any adjacent UK public holidays. The Easter weekend, for example, extends from two to four days including Good Friday and Easter Monday. 3 | Page Index Publication LEBA Indices are only published on UK business days. LEBA will endeavour to publish the Indices by 18:30 hrs UK time but does not guarantee this. Day-ahead Indices are published every business day and the Delivery Day is the following business day. Weekend indices will be published on the last UK business day before the Index period, normally a Friday but at Easter, publication would be on a Thursday due to the public holiday on the Friday. ‘Specials’ Publications ‘Specials’ indices will be published for public holidays which fall on unusual or moveable dates and which aren’t incorporated into another index period. For example, where Christmas Day or New Year’s Day are mid-week and not attached to a weekend, on the day prior to the holiday(s), LEBA will publish a file for each gas hub covering indices for delivery on that public holiday(s). These indices will be published in addition to the other European Gas Prompt indices. See LEBA Publication Schedule at www.lebaltd.com. Gas Day Is defined as "the period from 05:00 hrs to 05:00 hrs UTC the following day for wintertime and from 04:00 hrs to 04:00 hrs UTC the following day when daylight saving is applied". NB:

prior to 1st October 2015, a G
prior to 1st October 2015, a Gas Day was defined as "a period beginning at 6am on one day and ending immediately before 6am on the following day". Contributing Brokers and their Obligations All contributing brokers shall, on UK Business Days, make all relevant data available to LEBA. However, if any contributing broker cannot for any reason make all relevant data available by the applicable time, LEBA reserves the right to publish the Index without their contribution. During the trading day, LEBA shall check the flow of data from all the contributing members to ensure that the Indices are calculated in accordance with the established procedures. Once submitted to LEBA the transactions are scrutinised and any errors removed before a volume weighted average is calculated of the remaining transactions. 4 | Page If normal data flow is not available, LEBA shall use reasonable efforts to contact members to remind them of their obligation to provide data. Data provided by alternate methods will be used by LEBA to calculate the Indices. If data is not available on the Trade Date but is submitted later, LEBA will revise the published Index in line with recalculation policies. Revisions to data LEBA will make every effort to ensure accurate and timely publication of data but it reserves the right to revise or amend any data published at any time. Notification of changes LEBA will make every effort to communicate changes to the specification in a timely and effective manner but reserves the right to make any changes when necessary at any time without prior notice. Units All volumes are quoted in Megawatts (MW) and prices are quoted in Euros per megawatt hour (€/MWh) with the exception of the Zeebrugge hub indices which are quoted in therms and prices are quoted in pence per therm (p/th). Comments Explanation N - Normal E - Extended Window P - Previous published pr