European Gas Futures – Cascade Rules Overview 1

European Gas Futures – Cascade Rules Overview 1

By Israr Ahmed

 

 

European Gas Futures have different cascade rules depending on the contract and the exchange. The ICE Gas Futures tend to be immediately broken down into Monthly Strips and margined as such, whereas other Exchanges have sequenced cascade rules .

The table below shows a summary of the Cascade Rules for various European Gas Futures. These Rules would be set up in Endur in Admin Manager ( Energy Administration tab) -> Rollover Conventions where they are set up per ‘Exchange / Ins Type / Proj Index / Contract Code’ combination.

ExchangePhys Gas LocationTenorCCYUnitLot SizeCascade RuleComment
ICEGaspoolMonth (M)EURMWH1 MWh / HrPhysical MLarger tenors also trade, but get split immediatley into monthly
 NCGMonth (M)EURMWH1 MWh / HrPhysical MLarger tenors also trade, but get split immediatley into monthly
 TTFMonth (M)EURMWH1 MWh / HrPhysical MLarger tenors also trade, but get split immediatley into monthly
 NBPMonth (M)PenceTherms1,000 Therms / DayPhysical MLarger tenors also trade, but get split immediatley into monthly
EEX ( PGAS)GaspoolMonth (M)EURMWH1 MWh / HrPhysical M
 Quarter (Q)EURMWH1 MWh / Hr3M
 Season (S)EURMWH1 MWh / Hr3M + 1Q
  Year (Y)EURMWH1 MWh / Hr3M & 3Q 
 NCGMonth (M)EURMWH1 MWh / HrPhysical M
 Quarter (Q)EURMWH1 MWh / Hr3M
 Season (S)EURMWH1 MWh / Hr3M + 1Q
  Year (Y)EURMWH1 MWh / Hr3M & 3Q 
Powernext (PGAS)PegnordMonth (M)EURMWH1 MWh / DayPhysical M
 Quarter (Q)EURMWH1 MWh / Day3M
 Season (S)EURMWH1 MWh / Day3M + 1Q
  Year (Y)EURMWH1 MWh / Day3M & 3Q 
 PegsudMonth (M)EURMWH1 MWh / DayPhysical M 
 TTFMonth (M)EURMWH1 MWh / HrPhysical M
 Quarter (Q)EURMWH1 MWh / Hr3M
 Season (S)EURMWH1 MWh / Hr3M + 1Q
  Year (Y)EURMWH1 MWh / Hr3M & 3Q 

 


 
 

Other people's views

  1. On November 1, 2018, the French natural gas market is to merge PEG Nord and TRS Virtual Trading Points, to form a single VTP called PEG with one nationwide gas wholesale price. Currently, PEG Nord is well interconnected, while TRS is frequently at a premium to PEG Nord, because it relies more heavily on LNG arrivals.

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