european spot gas market methodology - icis.com · 04 european spot gas market methodology all icis...
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Date of last formal methodology consultation: 15 February 2013Expiry date for this methodology: 15 February 2015
European Spot Gas Market methodologyMethodology last updated: 23 September 2013
02 EuropEan spot gas markEt mEthodology
List of contents
• IntroductiontoEuropeanSpotGasMarkets(ESGM)
• Generalmethodology
• Rationaleforgasmethodology
• Listofprimarypricereferences
• Definitionofhubs
• Recentchangestothismethodology
• PRICEASSESSMENTS–Generaldefinitions
• PRICEASSESSMENTS–Guidelinesfortheexerciseofjudgement
• PRICEASSESSMENTS–Datausedkey
• PRICEASSESSMENTS–Exclusionofdata
• PRICEASSESSMENTS–Indicativeassessments
• PRICEASSESSMENTS–Widthofbid/offerspreads
• PRICEASSESSMENTS–Typesofmarketinformationusedandcollectionprocess
• PRICEASSESSMENTS–Transactiondatathreshold
• PRICEASSESSMENTS-Verificationofsources
• PRICEASSESSMENTS–Definitionsofperiods
• THEHERENINDEX–Generaldefinition
• INDICES–Guidelinesfortheexerciseofjudgement
• INDICES–Criteriafortheexclusionofdata
• INDICES–Volume
• INDICES–Typesofmarketinformationusedandcollectionprocess
• FORMULATIONOFHERENINDICES
• ESGMTRADESTABLES–Generalandcountryspecificdefinitions
• SPARKSPREADS
• SECONDARYDATAINESGM
• CURRENCYCONVERSIONS
• OTHERPRINCIPLESANDGUIDELINES
– Changestomethodology – Consistency – Datastandards – Deliverylocations – Keysubmitterdependency – Marketcommunication – Marketdataverification – Minimumdatathreshold – Qualityspecifications – Selectionofparticipants – Units
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EuropeanSpotGasMarkets(ESGM)containsindependentpriceassessmentsandindicesformatureandemerginggasmarkets,aswellasin-depthanalysisonpricedrivers,authoritativecommentaryoneachday’stradingactivityanddailynews.Coverageforsomemarketsstretchesbackasfaras1994andacomprehensivepricehistorydatabaseisavailableforthisreport.
ESGMispublishedeveryEnglishworkingdayintheeveningasaPDFwithdataalsoavailablethroughanFTPfeed.
Anadditionalserviceforearlypriceassessmentsonkeymarketsisavailable.ThisserviceiscalledESGMIntradayUpdate.
Introduction to European Spot Gas Markets (ESGM)
ICIScontinuouslydevelops,reviewsandrevisesitsmethodologiesinconsultationwithindustryparticipants.Productspecificationsandtradingtermsandconditionsusedareintendedtoreflecttypicalworkingpracticesprevalentintheindustry.
ICISpublishesmarketassessmentsbasedoninformationcontinuouslygatheredfrommarketparticipantsabout:spottransactions,spotbidandofferlevels,contractpricenegotiations,pricesofrelatedcommodities,andrelevantfreightcosts.
ICISdoesnotmakeretrospectiveadjustmentsorchangestopriceassessmentsbasedoninformationreceivedafterpublicationtimeinallcasesorafteranycut-offpointspecifiedinindividualmethodologydocuments.
ICISregardsallarm’s-lengthtransactionswhichmeetitsspecificationcriteriaascarryingequalweight.
ICISusesproprietarymodelswherenecessarytonormalisedatatothetypicalspecificationsforcargosizeanddaterangesgivenforeachcommodity.
SomeICISassessmentsaretheproductofcalculationalone,forexampleinmarketswhereinsufficientmarketactivitytakesplacetopermitpriceassessment,orwhereamarkethabituallyitselfsetspricesaccordingtoaformula.Suchcalculatedassessmentsarenotedassuchintheirdetailedmethodologyspecifications.
ICISendeavourstocross-checkallthetransactioninformationitgathers.ICISwillnotuseinformationforassessmentpurposeswheresuchcheckscallintodoubttheaccuracyoftheoriginalinformation,orwhereatransactionappearstohaveoccurredundercircumstancesthatrenderitnon-repeatableorotherwisemarkedlyunusual.
General methodology
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AllICISgaspricescontainedinESGMareintendedtoprovideareliableandaccuratemeasureofphysicalmarketvalueontheover-the-countertradedmarkets.
Inordertodothis,ICIShasadoptedtwodifferentmethodologicalapproaches,whichcanbeappliedasreliablemeasuresbutatdifferentstagesinthedevelopmentoftradeataparticularlocation:assessmentandindex.
AssessmentFormarketsatallstagesofdevelopment,ICISdeemsitsassessmentmethodologytobeappropriate.Thismethodologyisdesignedtodiscoverthetradablevalueofacommodityataparticularpointintime.Itisparticularlyusefulinallowingacomparisoninvalueacrossvariousgeographiesandforvariousdeliveryperiods.MostassessmentsinESGMaremadeatthecloseofthetradingday,asthisisthetimeatwhichmostcompaniesneedtomarktheirpositionstomarketandfinalisetheirphysicaltradingpositions.ICISprovidesearlierassessmentsforsomemarketsasanadditionalservice,subjecttocustomerdemandandmarketliquidity.
TheBidandOfferrangepublishedinICISassessmentsrepresentsthehighestbuyer’sbidandthelowestseller’sofferattherelevantclosingtimeofeachmarket.
Somecompanieschoosetousethemidpointbetweenthisbidandofferasthebestindicatorofmarketvalue.
ICISusestransactiondataaswellasbidandofferdatainitsassessmentprocess.Transactioninformationisusedtoverifybidorofferinformationwhenavailable.
Whereatransactioncanbeconfirmedatexactlythetimeofthepublishedmarketclose,itwillnotnecessarilysupersedeafirmbid-offerspread.Thisisbecauseonthemoreactivegasmarkets,ICISconsidersthedepthandcontinuityofbid/offerinformationtobethemostreliablemeasureofmarketvalue.Onthelessactivecontracts,therewillnottypicallybeatransactionexactlyattheICISpublishedassessmenttime.Seethesectionentitled“Exerciseofjudgement”below.
Rationale for gas methodology
IndexAnindexisformedusingtransactiondataonly.Thismethodologycanprovideareliablemeasureofmarketvaluewhenmarketshavedevelopedtoapointofrelativelyhighliquidity.Amechanistic,deals-basedindexforacontractwithlowliquidityleadstoerraticswitchesfromdefineddefaultmethodologies.
ThisiswhyICISwillnottypicallypublishanindexuntilithasatleastsixmonths’worthofdatashowingthatatleast10dealshavebeencompletedforeachindexperiod.
Indicesarenotconsideredtobeanaccuratewaytorepresentpricedifferentialsbetweendifferentgeographiesanddeliverycontracts,astheydonotrepresentmarketvalueatasetpointintimebutratheranaverageofdealsdoneoveragivenperiodoftime.
AllICISindicesareformedofaweightedaverageofdealsdone.Criteriaforinclusionorexclusionofdealsaredescribedbelow.
Theindicesarepublishedasasinglevalue,tothreedecimalplaces.
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Hub Assessments Indices Units quotedBritishNBP Day-ahead,Weekend,WDNW,BOM,six
monthsahead,11quartersahead,10seasonsahead,twogasyearsaheadandtwocalendaryearsahead
Within-day,Within-dayCumulative,Day-ahead,Day-aheadCumulative,Weekend,SpotWeekend,Monthly,MonthlyCumulative,DailyMonthAhead,VolatilityIndex
p/th
BelgianZeebrugge Day-ahead,Weekend,WDNW,BOM,threemonthsahead,sixquartersahead,threeseasonsahead,onegasyearaheadandonecalendaryearahead
Day-ahead,Day-aheadCumulative,Weekend,SpotWeekend,Monthly,MonthlyCumulative,DailyMonthAhead
p/th
BelgianZTP Day-ahead,Weekend(onlyonthelastEnglishworkingdayoftheweek),onemonthahead,onequarteraheadandoneseasonahead
€/MWh
DutchTTF Day-ahead,Weekend,WDNW,BOM,sixmonthsahead,10quartersahead,10seasonsahead,onegasyearaheadandfourcalendaryearsahead
Day-ahead,Day-aheadCumulative,Weekend,SpotWeekend,Monthly,MonthlyCumulative,DailyMonthAhead
€/MWh
FrenchPEGNord Day-ahead,Weekend(onlyonthelastEnglishworkingdayoftheweek),BOM,threemonthsahead,threequartersahead,threeseasonsaheadandonecalendaryearahead
Day-ahead,Day-aheadCumulative,SpotWeekend,Monthly,MonthlyCumulative
€/MWh
FrenchPEGSud Day-aheadandWeekend(onlyonthelastEnglishworkingdayoftheweek)andonemonthahead
Day-ahead,Day-aheadCumulative,SpotWeekend
€/MWh
FrenchPEGTIGF Day-aheadandWeekend(onlyonthelastEnglishworkingdayoftheweek)
€/MWh
GermanNCG Day-ahead,Weekend,WDNW,BOM,fourmonthsahead,fourquartersahead,fiveseasonsaheadandthreecalendaryearsahead
Day-ahead,Day-aheadCumulative,SpotWeekend,Monthly,MonthlyCumulative,DailyMonthAhead
€/MWh
GermanGASPOOL Day-ahead,Weekend,WDNW,BOM,threemonthsahead,fourquartersahead,fiveseasonsaheadandthreecalendaryearsahead
Day-ahead,Day-aheadCumulative,SpotWeekend,Monthly,MonthlyCumulative
€/MWh
AustrianVTP Day-ahead,Weekend(onlyonthelastEnglishworkingdayoftheweek),threemonthsahead,twoquartersaheadandthreeseasonsahead
Day-ahead,Day-aheadCumulative,SpotWeekend
€/MWh
ItalianPSV Day-ahead,Weekend(onlyonthelastEnglishworkingdayoftheweek),BOM,threemonthsahead,fourquartersahead,twoseasonsahead,onegasyearaheadandonecalendaryearahead
Monthly,MonthlyCumulative €/MWh
CzechVTP Day-ahead,Weekend(onlyonthelastEnglishworkingdayoftheweek),BOM,twomonthsahead,twoquartersahead,oneseasonaheadandonecalendaryearahead
€/MWh
SpanishAOC Onemonthahead €/MWh
TurkishUDN Day-aheadand7-dayex-post.IndividualForwardWeekenddayspublishedonaFridayonly.Ex-postWeekenddaysassessedindividuallyforthedaysfollowingthelatestEx-Postassessment
TL/1,000sm3.Convertedto €/MWh,$/MWhand$/MMBTu
Primary price references published in ESGM are as follows:
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NBP:TheBritishvirtualgashuboperatedbytransmissionsystemoperator(TSO)NationalGrid,coveringallentryandexitpointsinmainlandBritain.
Zeebrugge: ThephysicalgashubatZeebrugge(ZeeBeach)inBelgiumoperatedbyHuberator,a100%subsidiaryofBelgianTSOFluxys.
ZTP: ThevirtualgashubinBelgiumoperatedbyBelgianTSOFluxys.
TTF: ThevirtualgashubcoveringallhighcalorificentryandexitpointsintheNetherlands,operatedbyDutchTSOGasTransportServices.
GASPOOL:AsubsidiaryofDONGEnergyPipelines,Nowega,GastransportNord,GasunieDeutschlandTransportServices,ONTRAS–VNGGastransportandGascade.WiththeintegrationofthemarketareaH-GasNorthernGermany,StatoilDeutschlandTransportisalsoinvolvedinthismarketareacooperation.
NCG: NetConnectGermanyisajointcompanyforoperatingthemarketareacooperationfromthegridcompaniesbayernets,FluxysTENP,OpenGridEurope,GRTgazDeutschland,terranetsandThyssengas.
PEG Nord:TheFrenchvirtualgashubcoveredbythehighcalorificentry/exitnorthmarketzoneoperatedbyGRTgaz.
PEG Sud:TheFrenchvirtualgashubcoveringthesouthernmarketzoneoperatedbyGRTgaz.
PEG TIGF: TheFrenchvirtualgashubcoveringthesouthwestmarketzoneoperatedbyTIGF.
VTP:TheAustrianVirtualTradingPointoperatedbytheCentralEuropeanGasHub(CEGH).
PSV:ThevirtualgashubrunbyItaliannetworkoperatorSnamReteGas.
Czech Republic:Thevirtualgashub,VTP,coveringtheCzechRepublic,operatedbyNET4GAS.
AOC: ThevirtualgastradingpointcoveringtheSpanishtransportsystem,operatedbyEnagas.ExcludesundergroundstoragesitesandLNGterminals.
Turkey: Thevirtualgashub,UDN,operatedbyBOTAS.Thisexcludessystementrypoints.
Definition of hubs
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Date Price reference Change 23September2013 N/A Addssection:PRICEASSESSMENTS–
Datausedkey
7August2013 N/A Addsdetail.Removesrepetition.Correctsindexthresholdwording
7August2013 N/A Correctsdealthresholdwording
28May2013 Turkishgasprices,tradetable,BOTASbalancingprice
Added
18March2013 CzechRepublicBOM,secondmonthahead,frontseason;PSVthirdmonthahead,second,thirdandfourthquartersahead;NCGfourthmonthahead;GASPOOLfifthseasonahead;PEGNordthirdquarterahead,frontyear
Additionalpriceassessments
2January2013 VTPpriceassessmentsandindices ReplacedCEGHpriceassessmentsandindices
26November2012 PEGNordBOMpriceassessment;PSVBOM,frontquarter,frontseasonandfrontyearpriceassessments
Added
29October2012 CzechDay-aheadpriceassessment AddedtoEnd-of-dayDay-aheadClosingPrices
1October2012 ZTPpricesandtrades Added
Recent changes to this methodology
General definitionsAllpriceassessmentspublishedinESGMrepresentICIS’close-of-daybid-offerrangesforflatgas(noswing,100%take-or-pay)deliveredatanumberofphysicalandvirtualhubs.
Day-aheadandallotherpromptclosingprices(definedasallcontractswithdeliveryuptoBalance-of-month)areassessedat16:30LondontimeonallEnglishworkingdays,exceptonthefinalworkingdayimmediatelypreceding25Decemberand1Januaryeachyear,whenthesepricesareassessedat12:00Londontime.
Curveprices(definedasallcontractsfromthefrontmonthforwards)areassessedascloselyaspossibleto16:30Londontimeattheearliestoratthetimeofthelatestliquidmarketifthisisafter16:30onallEnglishworkingdays,exceptonthefinalworkingdayimmediatelypreceding25Decemberand1Januaryeachyear,whenthesepricesareassessedascloselyaspossibleto12:00Londontime.
AssessmentsarebasedonbidsandofferswidelyavailabletothemarketattheICISclosingtimesabove.
Price assessments
“Bid”isdeemedtobethehighestpricebidbybuyersatthepublishedassessmenttime.
“Offer”isdeemedtobethelowestpriceofferedbysellersatthepublishedassessmenttime.
Price assessments – Guidelines for the exercise of judgement ICISgivesprioritytothehighestbidandthelowestofferinitsassessmentprocess.
ICISfirstattemptstoestablishafirmbid/offerspreadasthebasisforallofitsassessments.ICISalsodiscoverstransactioninformation.Thistransactioninformationisusedassupportingevidencetoestablishmarketvalue.Wherethistransactioninformationiswithintheestablishedbid/offerspreaditmayalsobeusedtonarrowtheICISassessmentbid/offerspread.
WherenoconfirmedtransactionorbidandofferinformationisavailableatthetimeICISassessesthemarket,itwilluseothertypesofmarketinformationtoassessvalue.
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Themostregularformofalternativemarketinformationusedtomakeassessmentsisthevalueofspreads,eitherbetweencontractsfordifferentdeliveryperiodsonthesamehuborbetweencontractsforthesamedeliveryperiodonotherEuropeanhubs.
Thevalueofcomponentperiodswithinagivencontractwilltypicallybeusedwhereconfirmedmarketinformationisavailableforthesecomponentperiodsandnotthecontractitself.Similarly,whereconfirmedmarketinformationisavailableforacontractforalongerdeliveryperiod,thiswilltypicallybeusedtoassesscomponentcontracts.Thisisdescribedasinterpolation/extrapolation.
Whereonlyabidorofferisavailable,orwherethebid/offerspreadiswiderthantheICISpublishedmaximum(seesectionbelow:“Widthofbid/offerspreads”)atthetimeICISassessesthemarket,confirmedspreadinformationmaytakepriorityoverbid/offerinformationinformingtheassessment.
Wheretransactioninformationisavailableattheassessmenttime,itmaybesupersededbymarketspreadinformationininstanceswherethetransactionisdeemednottoberepeatable.ICISmaymakethisjudgementincaseswherethereisnobid/offerinformationimmediatelyfollowingthetransactiontosupportamovementinvalue.Itmayalsomakethisjudgementwhereasingledealattheclosingassessmenttimefallsoutsideoftheprevailingrangeofconfirmedbid/offerorspreadactivityatothertimesofday.Thislogicalsoappliestosituationswhereabid/offerspreadatthecloseisuncorrelatedwiththerestoftheday’smarketactivityandwhereICIScandiscovernofundamentalreasonforthechangeinmarketstructure.
ICISmayalsodisregardtransactioninformationwherethedealisforacontractwithadeliveryperiodoverlappinganothermoreliquidcontract,andwheremarketinformationforthemoreliquidofthetwoindicatesadifferentpricelevelorpricetrend.Thisisbecauseonactivelytradedgasmarkets,participantsdonottypicallyleavearbitragebetweenacontractanditsconstituentparts.
ICISonlyusesgeographicspreadinformationbetweenhubswhereastrongpricecorrelationhasbeendemonstratedbypasttradingactivity.
ICISdiscoversthevalueofbothtimeandgeographicspreadsthroughboththecollectionofspreadtradeand
bid/offerinformation,aswellastherelationshipbetweenhubswhenbothoutrightcontractsaretrading.
WhereICISusesspreadinformationinitsassessmentprocess,itgivesprioritytoinformationavailablefor16:30Londontime.Ifthisisnotavailable,itwilltakeevidenceofmarketactivityclosesttothistime.
Whereamarkettypicallydoesnottradeasaspreadtoothermarketsandwherethereisnoconfirmedbid/offerortransactioninformationatthetimeoftheclosingassessment,ICISmayusebid/offerortransactioninformationclosesttothistime.ICISmayrefertoshiftsinfundamentalsupplyanddemandinformationtoexplainandunderstandasignificantchangeinpricedirectionatmarketclose.
Price assessments – Data used keyForeachassessmentpublishedinESGM,ICISgivesaconcisedescriptionofwhichtypeofmarketdatawasusedtoformtheassessment.Thisisdoneusingastandardisedkeycode.Asingleletterpublishedalongsidetheassessmentdenotesthetypeofinformationusedastheprimarybasisfortheassessment.AnyothertypeofinformationICISmayhavegatheredforthatgradecanbeconsideredassupportingandofsecondaryimportanceintheformationoftheassessment.
Thedefinitionofthekeyisasfollows:
B–Bid/offer
T–Transaction
S–Spread
F–Fundamentals
I–Interpolation/extrapolation
Price assessments – Exclusion of dataInlinewithitsEditorialStandardspolicy,ICISreportersactivelyseektoidentifyanomalousmarketinformationandexcludeitfromtheassessmentprocess.Forgasmarketassessments,thisisdonebythedailyinformationgatheringandverificationprocesscarriedoutbyreporters,whereby
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markettransaction,bidandofferinformationisconfirmedandverifiedbymultiplesources.ThecontextofICISreporters’knowledgeofthefundamentalsupply/demandsituationonagivenmarketisalsousedtoverifytransactiondatathatappearstobeanomalousbutmaybedoneatapricelevelexplainedbychangesinthephysicalmarket.
Inassessinggasmarkets,ICIStakesintoconsiderationonlyarm’s-lengthtransactionsbetweennon-affiliatedparties.
ICISdoesnotacceptbidsoroffersthatarenotfirm.Anybidorofferwhichisdemonstrablynotfirmwillbedisregardedandfurtherbidsoroffersfromthesamecounterpartymayalsobedisregarded.Forexample,ifacompanyindicatestothemarketthatitisbiddingorofferingatacertainpriceandvolumebutICIScanconfirmthatitlaterrefusedtotransactwhenthatbidwashitorofferlifted,itwillnotusethatcompany’sbid/offerinformation.
ICISalsoexcludesfromitsassessmentprocesstransactionswhereICISreportershavereasonablegroundstodoubtthetransactionisrepresentativeoftypicalmarketbehaviour:forexample,whereadealisconcludeddisregardingthebestbidorofferonthemarket;wherethereisevidencethatamarketparticipanthasdisclosedonlypartofitsmarketactivitytoICIS;orwhereatransactionliesoutsidetheprevailingrangeoftypicalmarketactivityasestablishedthroughothermarketevidence.
ICISactivelyseekstoverifythetimeatwhichreportedtransactionstookplace.Ifsuchverificationcannotbeobtained,ICISmayexcludethetransactioninformation.
ICISrecordsinstancesofanomalousdataandreviewstheseinstancesonaregularbasiswithaviewtodeterminingifapatternexists.
Wheremarketreportershaveconcernsoverthebehaviourofamarketparticipant,thiswillbeescalatedusingtheICISEscalationProcessforComplianceandRegulatoryIssues.Thiscanbefoundinthecompany’sComplianceManual.
Price assessments – Indicative assessmentsWhereabidandofferattheassessmenttimehavenotbeenconfirmedbyICIS,theassessmentwillbemarkedasindicative.
ICISseeksconfirmationfromatleastthreeindependentandnon-affiliatedmarketparticipantsinordertoassessapriceasnon-indicative.
Ifspreadvaluehasbeenconfirmedattheassessmenttimeandthepriceoftherelatedoutrightcontractvaluehasbeenconfirmed,ICISwillnotmarkanassessmentasindicative.
Forexample,wherethevalueofthebasiscontract(spreadbetweentheNBPandZeebruggemarkets)hasbeenconfirmedandtheNBPclosingassessmentisconfirmed,theZeebruggeassessmentwillnotbemarkedasindicative.
ICISwillnotpublishabid/offerspreadwiderthan0.5p/thor€0.5/MWh.Iftheconfirmedbid/offerspreadiswiderthanthisrange,ICISwillnarrowthespreadusingthealternativemarketevidencedescribedaboveandmarktheassessmentasindicative.
Price assessments – Width of bid/offer spreadsICISpublishesaminimumbid/offerspreadof0.025p/thor€0.025/MWhandamaximumof0.5p/thor€0.5/MWh.
TheexceptionistheTurkishmarket,wheretherearenomaximumspreadlimitsatthetimeofthelatestmethodologyupdate.TheTurkishmarketisintheveryearlystagesofdevelopment.Transactionsarestilloccurringatwidelyvaryingpricesnotalwaysdictatedbymarketfundamentals,makingitimpracticalandunrealistictonarrowbid/offerspreads.
Price assessments – Types of market information used and collection processICISgathersmarketinformationprimarilyviatelephone,instantmessengerande-mail.ListsoftransactionsareprimarilycollectedelectronicallyandICISemploysadatamanagementteamtocollectandde-duplicatethisdata.ICIShasdesignedbespokeprogrammestostandardisethevariousdatafeedsreceived,forthepurposesofreporterverificationandpublication.
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Price assessments – Definitions of periodsAllperiodsquotedarebasedonthestandardEuropeandefinitionoftheGasDay.Thisrunsfrom06:00:00until05:59:59localtimeonthefollowingday.Theexceptionsareasfollows:
1.Turkey08:00:00to07:59:59localtime.
2.Spain,0:00:00to23:59:59localtime.
Allpricesareforflatgas,noswingand100%take-or-paytobedeliveredforthedurationofthecontracttothehub.
Prompt contracts:
Day-ahead: ThisreferstothenextworkingGasDayinEnglandfollowingthedateofthereport.InareportpublishedonFriday,Day-aheadwouldnormallyapplytothefollowingMonday,providedthatMondayisnotapublicholiday.Inthiscase,Day-aheadwouldrefertothenextworkingday,thatisTuesday.
7 Day ex-post:(Turkishmarketonly)ThisisthepricetradedthedayafterdeliveryandreportedbyICISsevendaysafterthetransactiondate.Transactionsarefinancialandnotphysical.SaturdayandSundayassessmentsarepublishedseparately,ratherthanaWeekendcontract,andappearonthesecondMondayfollowingthetransactiondates,assumingthisisanEnglishworkingday.IftheMondayisnotaworkingdayinEngland,theassessmentsarepublishedonthenextworkingday.
Weekend: ThiscoversthefirstSaturdayandSundayfollowingthedateofthereport.Othercontiguousnon-workingdays–typicallyBankHolidayMondaysandGoodFriday–willbeaddedtothecontracttocreateathree-orfour-daydeliveryperiod.
WhenChristmasDayandBoxingDay(25-26December)andNewYear’sDay(1January)fallmid-weektheseshallbeconsideredadditionalWeekenddeliveryperiods.Forexample,if25-26DecemberfallonaTuesdayandWednesday,theWeekendcontractquotedontheMondayofthesameweekwouldrefertoTuesdayandWednesday.Theweekendafter25-26Decemberwouldbeassessedasacontractforthefirsttimeon27December.
WDNW: ThecontractcoverstheWorkingDaysNextWeekperiodtobedeliveredoneveryworkingdayintheweekfollowingthedateofthereport.Typicallythiscovers
Marketinformationincludesbids,offersanddealsdonebysourcesorseen/heardbysources.ICISreportersalsoinvestigatethereasonsformarketpricemovementsandcross-checkinformationreceivedagainstmarketfundamentalsdata,primarilygatheredfromtransmissionsystemoperators.
Informationistypicallygatheredbetween10:00and17:30Londontimeonthedaytheassessmentispublished.ICISmaydisregardinformationreceivedafter17:30Londontime.
Ontheworkingdaysimmediatelypreceding25Decemberand1January,whentheseareEnglishworkingdays,ICISassessesmarketsearlierandgathersinformationbetween09:00and13:15Londontime.
ICISwillneveruseinformationreceivedafterassessmentshavebeenpublishedtoretroactivelycorrectanassessment.
Price assessments – Transaction data thresholdICISdoesnotimposeaminimumtransactiondatathresholdonitsassessmentprocess.
Alongsideitsroleinassessingthemoreactiveandmaturegasmarkets,ICISplaysaroleinbringingpricetransparencytonewmarketswheretradingandmarketinformationcanbesporadic.Suchmarketsarenotconducivetominimumdatathresholds.
Intheabsenceofbothtransactionandbid/offerinformation,ICISproceduresaredescribedaboveinthe“ExerciseofJudgement”section.
ICISdoesimposeaminimumdatathresholdonitsindices,however(seesectionbelow:“DEFINITIONOFHERENINDICES”).
Price assessments - Verification of sourcesICISverifiesthatallsourcesareactiveparticipantsoftheEuropeangasmarketsbycheckingtheyhaveashipperand/orsupplierlicenceorareregisteredtotradeatarelevantvenue.
Inaddition,ICISreportersusetheindicatorscontainedinthesectionentitledValidationChecksonSourcesfromthecompany’sDataStandardsPolicy.ThispolicycanbereadinfullintheICISComplianceManual.
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Years: AYearreferstotheGasDaysofthe12-monthperiodfrom1January-31December.
Gas Year: AGasYearreferstotheGasDaysofthe12-monthperiodfrom1Octoberofaparticularcalendaryearandendingon30Septemberofthefollowingcalendaryear.ThetitleoftheGasYearalwaysreferstotheyearinwhichthecontractcommences.Forexample,GasYear2013startson1October2013.
thefivedaysfollowingthenextWeekendcontract.Inthecaseofathree-dayweekendcoveringSaturdaytoMonday,MondaywouldbeexcludedfromtheWDNWcontract,whichwouldinsteadcoverTuesday-Friday.
Similarly,inthecasewhereChristmasDayandBoxingDay(25-26December)fallonaTuesdayandWednesday,theWDNWcontractassessedonthepreviousFriday(21December)willreferonlytothefollowingMonday(24December).TheWDNWcontractassessedonMonday(24December)willrefertoThursdayandFriday(27-28December)only.
BOM: Balance-of-monthisfordeliveryoneachoftheremainingdaysofthecurrentmonth,excludingthenextDay-aheadorWeekendcontract,whicheveristhesooner.
Forexample,onaThursday,BOMwouldnormallyapplyfromthefollowingSaturdaytotheendofthemonth(remainingdaysofthemonthminusDay-ahead).OnaFriday,BOMwouldnormallyapplyfromthefollowingMondaytotheendofthemonth(remainingdaysofthemonthminusWeekend).
ShouldthenextDay-aheadorWeekendcontractcoverthelastdayordaysofthecurrentmonth,thedeliveryperiodtowhichBOMapplieswillswitchtothenextmonth.ShouldthenextDay-aheadorWeekendcontractcoverthefirstdayordaysofthenextmonth,BOMwillapplytothesubsequentdaysofthatmonth.
Curve contracts:
Months:MonthlycontractsrefertotheGasDaysofthestandardcalendarmonths.
Quarters:AQuarterreferstotheGasDaysofthethree-monthperiodsbeginningon1January(Q1),1April(Q2),1July(Q3)and1October(Q4).
Seasons: ASeasonreferstotheGasDaysofthesix-monthperiodrunningfromeither1April-30September(Summer)orfrom1Octoberofoneyearto31Marchofthefollowingyear(Winter).ThetitleoftheWinteralwaysreferstotheyearinwhichthecontractcommences.Forexample,Winter2013startson1October2013.
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The Heren Index – General definitionAllICIS’marketindicesarevolume-weightedaveragesoftradesgatheredandverifiedbyICISduringthecourseofitsmarketreportingactivities.AllofthetradesverifiedbyICISandnotexcludedaccordingtothecriteriasetoutbelowarepublishedbyICISonadailybasisviaitsFTPserviceandtransactionsforaselectionofkeycontractsaresummarisedinESGMonadailybasis.
Indices – Guidelines for the exercise of judgement ICISreportersareresponsibleforidentifyinganomaloustradesandexcludingthembeforetheindexiscalculated.Pleaseseethesectionbelow“CriteriaforExclusionofData”.
Indices – Criteria for the exclusion of dataInlinewithitsEditorialStandardspolicy,ICISreportersactivelyseektoidentifyanomalousdealsandexcludethemfromtheindexcreationprocess.Forgasmarketindicesthisisdonebythedailyinformationgatheringandverificationprocesscarriedoutbyreporters,wherebytransactioninformationisconfirmedandverifiedbymultiplesources.
Confirmationissoughtfrombothpartiestothedeal.If,asisoftenthecase,bothcounter-partiesareunwillingtoconfirm,confirmationisacceptedfromonesideonly.However,corroborationisalsosoughtfromothermarketparticipants.Ifnodirectconfirmationisavailable,thedealmaystillbeincludedifitiscorroboratedbyothermarketsourcesandifICISitselfregardsitasbeingwithintheprevailingmarkettrendfortheperiodinquestion.
ICISonlyacceptsarm’s-lengthtransactionsbetweennon-affiliatedpartiesforinclusioninitsindices.
ICISdoesnotaccept“wash”or“round-trip”tradesforinclusionwithinitsindices.
ICISexcludesfromitsindicestransactionswheremarketreportershavereasonablegroundstodoubtthatatransactionisrepresentativeoftypicalmarketbehaviour:forexample,whereadealisconcludeddisregardingthebestbidorofferonthemarket;wherethereisevidencethatamarketparticipanthasdisclosedonlypartofitsmarketactivitytoICIS;orwhereatransactionliesoutsidetheprevailingrangeoftypicalmarketactivityasestablishedthroughothermarketevidence.
ThecontextofICISreporters’knowledgeofthefundamentalsupply/demandsituationonagivenmarketisalsousedtoverifytransactiondatathatappearstobeanomalousbutmaybedoneatapricelevelexplainedbychangesinthephysicalmarket.
DealsmaybeexcludedifICISisnotabletosatisfactorilyconfirmthetransactiontime.
Dealsdoneinnon-standardvolumeswillbeautomaticallyexcludedfromICISindices.See“volume”sectionbelow.
Wheresleevedealshavebeenidentifiedandarenotdeemedtobeoff-market,ICISwillremoveonelegofthesleeveinordertopreventskewingoftheindexthroughdoublevolumereportingforoneagreedtransactionprice.
ICISrecordsinstancesofanomalousdataandreviewstheseinstancesonaregularbasiswithaviewtodeterminingifapatternexists.
Wheremarketreportershaveconcernsoverthebehaviourofamarketparticipant,thiswillbeescalatedusingtheICISEscalationProcessforComplianceandRegulatoryIssues.Thiscanbefoundinthecompany’sComplianceManual.
Indices – VolumeDealsdeemednon-standardinvolumesizewillbeautomaticallyexcluded.Forgasmarketsthismeansdealsofaclipsizewhichisnotamultipleof5,000therms/dayor5MWh/h.
ICISsetsamaximumvolumelimitabovewhichdealswillautomaticallybeexcludedasnon-standard.FortheNBPandZeebruggehubsthemaximumvolumeistwomillionthermsforallpromptdealsand500,000thermsforallcurvedeals.Theselimitsapplytotheamountbeingdeliveredperday.
ForallotherEuropeanmarketsthemaximumlimitis2,000MWh/hourforpromptdealsand300MWh/hourforcurvedeals.
Formarketsintheearlystagesofdevelopmentorlowliquiditytheseparametersarenotapplied.MarketsfallingintothiscategoryaretheTurkish,SpanishandCzechmarkets.Frenchhubsfallintothiscategorybecauseofthedifferenceintradedunits(seesectionbelow:ESGMTradesTables).
Indices
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Indices – Types of market information used and collection processICISgathersmarketinformationviatelephone,instantmessengerande-mail.TransactionsareprimarilycollectedelectronicallyandICISemploysadatamanagementteamtocollectandde-duplicatethisdata.ICIShasdesignedbespokeprogrammestostandardisethevariousdatafeedsreceived,forthepurposesofreporterverificationandpublication.
Marketinformationincludesbids,offersanddealsdonebysourcesorseen/heardbysources.ICISreportersalsoinvestigatethereasonsformarketpricemovementsandcross-checkinformationreceivedduringthecourseofthisinformationgatheringprocessagainstmarketfundamentalsdata,primarilygatheredfromtransmissionsystemoperators.
Informationistypicallygatheredbetween10:00and17:30Londontimeonthedaytheassessmentispublished.ICISmaydisregardinformationreceivedafter17:30Londontime.
TransactionseligibleforinclusioninICISindicesmusthavebeenconductedbetween06:00and17:30LondontimeonanEnglishworkingday.
Ontheworkingdayimmediatelypreceding25Decemberand1January,ICISassessesmarketsearlierandgatherstransactioninformationbetween09:00and13:15Londontime.
TransactionseligibleforinclusioninICISindicesintheabovecircumstancesmusthavebeenconductedbetween06:00and13:15Londontime.
ICISwillneveruseinformationreceivedafterindiceshavebeenpublishedtoretroactivelycorrectanindex.
Formulation of Heren IndicesICISpublishesavarietyofvolume-weightedtrade-basedindicesfordifferentcontracts.Thesearepricedinpence/thermfortheNBPandZeebruggemarketsandin€/MWhforallothermarkets.Forthedurationofthecontractcoveredbytheindex,thepricevaluesflatgas,deliveredonano-swing,100%take-or-paybasis.
ContractdeliveryperiodsareidenticaltothosedescribedaboveinPriceAssessments–DefinitionofPeriods.
Formulation of the Within-day index
HerenWithin-dayindicesarevolume-weightedaveragesofallWithin-daytransactionscollectedinESGMonthesamedayforgastobedeliveredonthespecifiedmarket.
TheWithin-dayindexrequiresaminimumofthreetransactions.Ondayswhentherearefewerthanthreeeligibletransactions,theindexispublishedasthearithmeticaverageoftheprevious20indices.
Formulation of the Cumulative Within-day index
TheCumulativeWithin-dayindexisavolume-weightedaveragepriceofalltheWithin-daytransactionsincludedinESGMsofarthatcalendarmonth,uptoandincludingthepublicationdate.OnthefirstEnglishworkingdayofanewmonth,theCumulativeWithin-dayindexwillresetandwillbeidenticaltotheWithin-dayindex.
Thecumulativeindexrequiresaminimumofthreetransactions.Whentherearefewerthanthreeeligibletransactionstheindexwillnotbedisplayed.
Formulation of the Day-ahead index
TheDay-aheadindexisavolume-weightedaveragepriceofalltheDay-aheadtransactionsincludedinESGMforgastobedeliveredtotheassociatedmarket.
TheDay-aheadindexrequiresaminimumofthreetransactions.Ondayswhentherearefewerthanthreeeligibletransactions,theindexispublishedasthemidpointofthebid/offerpriceassessmentpublishedfortheDay-aheadcontract.
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Formulation of the Cumulative Day-ahead index
TheCumulativeDay-aheadindexisavolume-weightedaveragepriceofalltheDay-aheadtradesincludedinESGMsofarthatcalendarmonth,uptoandincludingthepublicationdate.OnthefirstEnglishworkingdayofanewmonth,theCumulativeDay-aheadindexwillresetandwillbeidenticaltotheDay-aheadindex.
Thecumulativeindexrequiresaminimumofthreetransactions.Whentherearefewerthanthreeeligibletransactionstheindexwillnotbedisplayed.
Formulation of the Weekend index:
TheWeekendindexisavolume-weightedaveragepriceofalltheWeekendtransactionsincludedinESGMsincetheexpiryofthepreviousWeekendcontractandforgastobedeliveredtotheassociatedmarket.InatypicalworkingweekthiswouldcoverallWeekendtransactionssourcedbetweenMondayandFridaybeforetheperiodofdelivery.
Theindexrequiresaminimumofthreetransactions.Ondayswhentherearefewerthanthreeeligibletransactions,theindexispublishedastheaverageofthemidpointsofthebid/offerWeekendpriceassessmentpublishedforthatmarketduringalltheworkingdayswhichfallinthesamecalendarweekastheWeekendindexandprecedethepreviousindexweekend.
Formulation of the Spot Weekend index
TheSpotWeekendindexisavolume-weightedaveragepriceofalltheWeekendtransactionsincludedinESGMonthedatebeforethestartofthedeliveryperiod.InatypicalworkingweekthiswouldrefertoallWeekendtransactionssourcedonaFriday.
Theindexrequiresaminimumofthreetransactions.Ondayswhentherearefewerthanthreeeligibletransactionstheindexispublishedasthemidpointofthebid/offerWeekendpriceassessmentpublishedforthatmarketduringthefinalworkingdayimmediatelyprecedingtheindexweekend.
Formulation of the Monthly index
TheMonthlyindexiscalculatedonthefinalworkingdaypriortothestartofdelivery.TheMonthlyindexisavolume-weightedaveragepriceofalltheMonth-aheadtransactionsincludedinESGMforgastobedeliveredtotheassociatedmarketandwhichhavebeensourcedsincethestartofthemonthpriortodelivery.
Theindexrequiresaminimumofthreetransactions.Whentherearefewerthanthreeeligibletransactions,theindexispublishedasthearithmeticalaverageoftheallthemonth-aheadbid/offerpriceassessmentmidpointspublishedforthatmarketduringthecalendarmonthpriortothedeliverymonth.
Formulation of the Monthly Cumulative index
TheMonthlyCumulativeindexisavolume-weightedaverageofallmonth-aheadtradessourcedsincethestartofthemonthpriortodelivery.Theindexisupdatedoneachworkingday.BytheendofthemonthpriortodeliverytheMonthlyCumulativeindexwillbethesameastheMonthlyindex.
Theindexrequiresaminimumofthreeeligibletransactions.Whentherearefewerthanthreeeligibletransactions,theindexwilldisplayN/A.
Formulation of the Daily Month-ahead index
TheDailyMonth-aheadindexisavolume-weightedaveragepriceofallthemonth-aheadtransactionsincludedinESGMonthedayofpublicationforgastobedeliveredtotheassociatedmarket.
Theindexrequiresaminimumofthreetransactions.Whentherearefewerthanthreeeligibletransactions,theindexispublishedasthearithmeticalmidpointofthatmarket’smonth-aheadassessmentpublishedthatday.
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ESGM trades tables – General and country-specific definitionsTradingdataispublishedfortheBritish,Belgian,Dutch,French,German,Austrian,Italian,Czech,SpanishandTurkishmarketsonadailybasis.FulltradelistingsareavailablebyFTPdownload.Theover-the-counter(OTC)transactionsprovidedarethosereliablyidentifiedbyESGMonthedateofthereport.Dealsarelistedbydeliverydate,volumeandprice.
DealsexcludedbyICISreportersasnon-standardoranomalousarenotincludedinthisdata.
Gastradesconductedin€/MWharetypicallytransactedinhourlyclipsizes.TheexceptionistheFrenchmarketwheretransactionsaredoneonaperdaybasis.ThustheFrenchvolumespublishedhavebeencalculatedbydividingtheoriginaltradedvolumesby24toobtaina€/MWh/hourfigureconsistentwithneighbouringcountries’tradingunits.Thisisthenconvertedtoproduceatotalvolume.NBPandZeebruggetransactionsaredoneonaperdaybasisandthenconvertedtoproduceatotalvolume.
InESGMunderthepagewiththetitle‘Trades’twotablesarepublished.Thefirsttableshowsthetotalvolumetradedineachmarket,inMWh,withapercentagebreakdownoftradebetweencurveandpromptcontracts.PromptisdefinedasallcontractswithdeliveryuptoBalance-of-month.Curveisdefinedasallcontractswithdeliveryincludingandforwardsofthefrontcalendarmonth.Thetotalnumberoftradesisalsolisted.
Thesecondtableshowsthedailyhighandlowtradesforeachmarketforthefollowingkeycontracts:Day-ahead,frontmonth,frontquarter,frontseasonandfrontCalendarYear,allinMWh.Ifnotradehasbeenreportedthen“n/a”willbeshown.
Spark spreadsTheBritishandGermangasandpowerpricesquotedinESGM’sSparkSpreadtablesarederivedfromthepriceassessmenttablesanddailyindicesinESGMandsisterpublicationEuropeanDailyElectricityMarkets(EDEM).Allthepowerpricesquotedareforbaseloaddeliveryand,withtheexceptionofDay-ahead,arethemid-pointoftheclosingpriceassessmentoftherespectivecontractonthedayofpublication.
ICIScalculatesthesparkspreadprofitmarginbytakingthecostofpowerperMWhminusthecostofthegasneededtogeneratethatpower.
Thecostiscalculatedusingindustrystandardplantefficienciestotakeaccountofenergynotconvertedintoelectricalenergyandthereforelost.
ICISusesthestandardgas-firedplantefficiencyfactorof49.13%,anindustrystandardtoallowforefficientsparkspreadtrading,onthebasisthat100,000thermsofgascouldgenerate60MWofpower.
Thesparkspreadvalueisthereforethepowerpriceminusthegaspricedividedby0.4913,ie,sparkspread=powerprice-(gasprice/0.4913).
TheUKgaspriceinpence/therm(Britishthermalunit)isconvertedto£/MWhbydividingbyastandardfactorof2.93071.
Apositivespreadmeansthatitistheoreticallyprofitabletogenerateelectricityfortheperiodinquestion,whileanegativespreadmeansthatgenerationwouldbealoss-makingactivity.However,itisimportanttonotethatthespreadsdonottakeintoaccountadditionalgeneratingchargesbeyondfuelandcarbon,suchasoperationalcosts.
ICISusestheDay-aheadindexvalueforDay-aheadelectricityandgasvaluesinBritainandGermany,andthemidpointofbaseloadpowerpriceassessmentvaluesforallothercalculations.
ForfurtherinformationonthecalculationofSparkSpreadspleaserefertothemethodologydocumentforEuropeanDailyElectricityMarkets.
Other primary data tables in ESGM
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ICE Natural Gas FuturesThistableshowstheclosing(“settle”)pricesforthenaturalgasfuturescontractstradedontheIntercontinentalExchange,ICE.PricesandotherdataarepassedtoESGMbyICEatsettlementtime,currentlybetween16:00-16:15Londontime.Closeofbusinessis17:00Londontime.“Change”isthechangefromthepreviousworkingday’ssettlementprice.“High”and“Low”representthehighandlowtradedpricesforthedayinquestion.“Lots”representsthevolumeoftradeforeachcontract:1lot=1,000thermsperday,althoughitshouldbenotedthatundercurrentexchangerulestheminimumtradesizeisfivelots.“Mthtotal”representsthetotalnumberofthermstraded,expressedinmillionsoftherms.“Openinterest”representstheopeninterestforeachcontractatthepreviousday’sclose.Forfurtherinformation,visitICE’swebsite.
Day-Ahead Beach Terminal Capacity Prices ThesearesecondarymarketpricesforBritishentrycapacityatthemostactivebeachterminalsforthefollowingworkingday.PricesareassessedbyESGMinthesamemannerandatthesametimeasspotcommodityprices.
OCM SMP/SAP Report/OCM Trading figures Thesetablesprovideasnapshotofthepreviousday’sactivityontheOn-the-dayCommodityMarket(OCM),whichisoperatedbyexchangegroupICEEndexinordertophysicallybalancetheBritishgassystem.TwotablesareincludedandallinformationpresentedcomesfromTSONationalGrid.ThefirstshowsthelatestpriceandtradeinformationfromthecurrentGasDayasof18:00Londontime.ThesecondtableshowstheOCMactivityfromthepreviousGasDay.SAP(SystemAveragePrice)isthevolume-weightedaverageofallOCMbuysandsellsontheday.SMP(SystemMarginalPrice)BuyisthehighestpriceatwhichNationalGridboughtgasforthesystem.SMPSellisthelowestpriceatwhichNationalGridsoldgasoutofthesystem.SAP7-dayandSAP30-dayareseven-dayand30-dayrollingaverages.Forfurtherinformation,pleasecontactICEEndex.
Oil market price assessmentsICISpublishesthefrontmonthICEBrentcrudepriceat16:30Londontimeeachday.
GasoilandFuelOilpricesaretakenfromtheICISEuropeanProductsreport.Theassessmentsvaluebargesforaforwarddeliverywindowof2-12daysandintheindustrystandardsizeof1,000-5,000tonnes.
TheGasoil0.1%sulphurassessmentisforbargesonanFOBARAbasis.ItisusesGermanDINqualityinlinewiththeIPEGasoilFuturesContract.Coldpropertiesvaryseasonally.
TheFuelOil1%sulphurbargecontractisforbargesonanFOBARAbasis.Itusescrackedmaterialwithatypicalviscosityof380cstat50˚Candadensityof0.965to0.990at15˚C.
National Grid Daily Capacity Summary TheseareNationalGriddailyauctionaveragepricesforWithin-dayfirmandinterruptibleentrycapacityattheninemostactiveBritishbeachterminals.Thetableliststheaveragepricepaid,inpenceperkilowatthour(p/kWh),forbothfirmandinterruptiblecapacity,aswellasthetotalvolumeofcapacityavailableaswellasbookedinkWh.ForfurtherinformationpleasecontactNationalGrid.
WeatherPan-Europeanweatherforecastsona1-5dayand6-10daybasisareprovidedtoESGMbyWeatherServicesInternational.Formoreinformation,pleasee-mail:[email protected]’swebsite
Secondary data in ESGM
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Forwardcurrencyratesarecalculatedusing29pricingpoints,sourcedfromBloomberg,at16:30Londontimeeveryday.Thepricingpointsusedareallofthoseavailable:spot,oneweekahead,24monthsahead,andthreetofiveyearsahead.
Usingthesepoints,ICIScalculatesasmoothcurvewhichprovidesratesforeachdayouttofiveyears.Fromthesevalues,ICIScalculatesratescorrespondingtothecontractsquotedinESGM.
Currency conversions
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Changes to methodologyAllmarketsevolve,andICIShasadutytoensureitsmethodologiesformarket-reportingevolveinstepwithmarkets.
ICISthereforeregularlyconductsinternalreviewsoftheappropriatenessofitsmethodologies.
Draftchangesarethenmadepublicandcommentrequestedfromindustryparticipants,withaminimumone-monthnoticeperiod,exceptwhere,exceptionally,aforcemajeureevent(naturaldisaster,war,bankruptcyofatradingexchangeetc)makesnecessaryashorternoticeperiod.
ICISiscommittedtoreviewingallcommentsonproposedmethodologychanges,butinsomecasesmayfinditnecessarytoalteritsmethodologiesagainstthewishesofsomemarketparticipants.
Inaddition,ICIShasaformalmethodologyconsultationprocess.ThecompanycommitstoholdingthisconsultationeverytwoyearsforESGM.Thedateofthelastconsultationlaunchedandtheexpirydatebywhichthecompanycommitstoconductingthenextconsultationcanbeseenatthetopofthemethodologydocument.
PleasealsorefertotheMethodologyConsultationProcesssectionofthecompany’sComplianceManual.Thiscontainsdetailedflowchartsdocumentingtheinternalandexternalreviewandconsultationprocess.
ConsistencyICISachievesconsistencybetweenitsassessorsinexercisingtheirjudgementbyrequiringallassessorstounderstandandfollowthisdetailedmethodologyaswellasthecompany’sEditorialStandardsdocument.Inaddition,ICISemployeesarerequiredtocompletestandardtrainingbeforeundertakingtheworkofamarketreporter.Everyreporter’sworkispeerrevieweddailyandspotcheckedbyseniormanagement.
Adherencetotheseprocessesisdocumentedateverystage.
Data standardsICIShasapublicDataStandardsPolicywhichcoversthetypeandqualityofinformationitasksmarketparticipantstoreport.
ThefollowingprinciplesrelatetoICISgasmarketassessmentsandcommentaries:
• Wherepossible,pleaseallowaccesstoactivemarkettradersandallowthemtocommentonactivenewsstories.
• Wherepossible,pleaseprovidemarketdatafrombothfrontandback-officefunctions.
• Wherepossible,pleaseprovidecompletedataandnotasubsection.
• Flaginter-affiliatetransactions.
• Flagsleevetrade.
• Flagspreadtrades.
• WhenasourceorcontactleavestheorganisationpleasecontactICIStothereplacement(ICISrequeststhatboththesourceandtheorganisationcontactsthem).
• Whereinformationisnotvalidatedbythesource(i.e.rumour)pleaseindicateassuch.
Delivery locationsLocationsforICISESGMassessmentsandindicesarechosentoreflectareasoftradedliquidity.Formostmarkets,deliveryisatavirtualhub.Wheretradetakesplaceataphysicalpointonanetwork,ICISmayalsoprovideapricingreferenceforthispoint.Thenatureofthedeliverypointisdescribedinthemethodologydocumentaboveinthesection“DefinitionsofHubs”.
Key submitter dependencyBecauseofthesometimesthinly-tradednatureofcertaingasmarketsandtheexistenceofmarketswheretherearealimitedpoolofactivecounterparties,ICISdoesnotemployminimumrulesonthenumberofsubmitters.ThisisparticularlytrueofthenewestEuropeantradedmarkets,whereICISplaysakeyroleinbringingpricetransparencyandefficienttradingtomarketsintheearlystagesofdevelopment.
ForallmarketsICISonlyconsidersbid/offerdatatobeconfirmedwhenithasbeenverifiedbythreeindependent,non-affiliatedsources.IfthiswasnotthecasethenICISwillmarkanassessmentindicative.Seesectionabove,“PriceAssessments–IndicativeAssessments”.
Other principles and guidelines
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Market CommunicationICIScommunicateswithabroadrangeofmarketparticipants–traders,brokers,back-officeemployees,supplymanagers,operationspersonnelandcompanyexecutives–toobtainmarketinformation.
ICIScommunicateswithparticipantsbytelephone,email,instantmessengerandfacetoface.Allinstantmessenger,emailcommunicationandnotesofanyface-to-facecommunicationarearchivedanddetailsoftelephonecommunicationareloggedanddata-based.
ICISdoesnotacceptinstantmessengercommunicationfromunknownparties,andreportersarerequiredtoverifyamarketparticipant’sidentitypriortousinginstantmessagecommunication.
ICISdoesnotregardinanywayasbinding,attemptsbymarketparticipantcompaniestorestrictICIScommunicationwiththeiremployees.ICIShasadutytoitssubscriberstoobtainthemaximumpossibleamountofmarketinformation.ICIStreatsallcommunicationfrommarketparticipantsasconfidential.
ICISreportersareboundbyaCodeofConducttoreporttotheirsuperiorsanycoerciveorthreateningcommunicationfrommarketparticipants,oranyoffersofinducementsofanykindintendedtoinfluenceanassessment.
Whereimpropercommunicationappearstohavetakenplace,ICISwillcommunicateinthefirstinstancewithseniormanagementatthecompanyorcompaniesinvolved,andifnecessarywithrelevantmarketauthorities.
ICISexpectsthehigheststandardsofproprietyfromallmarketparticipants,andregardsallcommunicationsfrommarketparticipantsasrepresentativeoftheviewsofanindividual’semployer.
ICISiscommittedtothehighestlevelsofcustomerservice,andhasaformalfeedbackandcomplaintspolicy,whichcanbeviewedherehttp://www.icis.com/about/icis-feedback-policy/.
Market data verificationICISwillalwaysmakebestendeavourstoconfirmbids,offersandtransactionswiththerelevantparty/parties.ICISattemptstocross-checkallmarketdatareceivedfromabuyorsell-sideparticipantwithaparticipant’stradingcounterparty.
Wherebothcounterpartiestoatransactioncannotorwillnotconfirmthedata,ICISseekscorroborationfromothermarketsources.
Wheretransactionorbid/offerinformationhasbeenreceivedfromatraderratherthanfromacompany’sbackoffice,ICISalwaysseeksconfirmationfromothersources.
WhereICIShasgroundstodoubtanitemofmarketdata,itmayrequestfurtherevidencethatatransactionhastakenplace,includingdocumentaryevidence.
ICIStreatstransactiondatareceivedfromactivebrokeragesasconfirmedandtreatsbid/offerinformationasfirm.Thisinformationwillbeconsideredinconjunctionwithothersourcesduringtheassessmentandindexprocessasdescribedabove.
Inmarketswithlowliquidityandalownumberofcounterparties,ICISmaychoosetouseunconfirmeddata,butonlyinsofarasitisalignedwithothermarketinformationandcomesfromasourcedeemedreliablebyICISbasedonpreviousinteractions.
Minimum data thresholdBecauseofthesometimesthinly-tradednatureofcertaingasmarketsandcontracts,ICISdoesnothaveaminimumdatathresholdforitsassessmentmethodologiesinthesemarkets.ICIS’gasmethodologyisdesignedtofunctionaccuratelyunderallmarketconditionsandtomakeuseofparalleldatawherenodirecttransactionorbid/offerdataisavailable.Seethesectionentitled“PriceAssessments–ExerciseofJudgement”above.
ICISdoesimplementaminimumdatathresholdforitsindices,however.ICISwillnottypicallypublishanindexuntilithasatleastsixmonths’worthofdatashowingthatatleast10dealshavebeencompletedforeachindexperiod.
Whenanindexseriesislaunched,ICISpublishesaminimumnumberoftransactionsanindexmustmeetinorderforaweightedaveragetobecalculated.Ifthenumberofdealsfallsbelowthisthreshold,ICISrevertstoadefaultmethodologyusingitsassessmentsorpreviousindexvalues.Thesedefaultsarespecifiedaboveinthesectionentitled“Indices–definitions”.ICISdoesnotconsidersuchmethodologyswitchesdesirableintermsofconsistencyandtransparencyandendeavoursnottolaunchanindexwhereitbelievesthereisalikelihoodthattheminimumdatathresholdwillnotbemet.
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Quality specificationsThephysicalcharacteristicsofthegasvaluedbyICISinitsassessmentsandindicesisdefinedbythenetworkoperatorofthevirtualhuborphysicalinfrastructureowner.Foralistoftheseoperatingcompaniespleaseseethesectionaboveentitled“DefinitionsofHubs”.
Selectionofparticipants
ICIS’policyongeneralmarketdataisthatitwelcomesallinformationregardlessofsourceorconstitutionaslongasitisprovidedingoodfaithastrue.
However,onlyactivemarketparticipantsverifiedassuchbyexistingactiveindustryparticipantsandverifiedasaviablebusinessbyICISinvestigationswillbeallowedtocontributepricedatatoICISforthepurposeofassessingtradablemarketvalueunderthismethodology.
UnitsICISassessesgasmarketsintheunitswhichattractthemajorityoftrade.FormosthubsinEurope,tradingactivityhasconformedtoonestandardunit,usuallyeitherpencepertherm(p/th)oreurospermegawatthour(€/MWh).
ICISusesaconversionfactorof1therm=0.0293MWhwhensuchaconversionisrequired.
UnitsofenergyareusedfortradingpurposesinallactiveEuropeanmarkets,ratherthanunitsofvolume.
Intheearlydaysofmarketdevelopment,however,theremaybemultipleunitstrading.ICISwilltypicallyassessusingthemostregularlytradedunitandpublishparallelassessmentsinotheractiveunits.
ICIS Contact DetailsTocommentonthisdocumentorrequestfurtherinformationpleasecontact:
EdCox Editor,ESGM
+442079111772
LouiseBoddy Director,GlobalEnergyMarkets
+442079111948
For regulatory or compliance issues please contact:
RichardStreet HeadofRegulationandCompliance
+442079111427