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.
| Exchange | Phys Gas Location | Tenor | CCY | Unit | Lot Size | Cascade Rule | Comment |
| ICE | Gaspool | Month (M) | EUR | MWH | 1 MWh / Hr | Physical M | Larger tenors also trade, but get split immediatley into monthly |
| NCG | Month (M) | EUR | MWH | 1 MWh / Hr | Physical M | Larger tenors also trade, but get split immediatley into monthly | |
| TTF | Month (M) | EUR | MWH | 1 MWh / Hr | Physical M | Larger tenors also trade, but get split immediatley into monthly | |
| NBP | Month (M) | Pence | Therms | 1,000 Therms / Day | Physical M | Larger tenors also trade, but get split immediatley into monthly | |
| EEX ( PGAS) | Gaspool | Month (M) | EUR | MWH | 1 MWh / Hr | Physical M | |
| Quarter (Q) | EUR | MWH | 1 MWh / Hr | 3M | |||
| Season (S) | EUR | MWH | 1 MWh / Hr | 3M + 1Q | |||
| Year (Y) | EUR | MWH | 1 MWh / Hr | 3M & 3Q | |||
| NCG | Month (M) | EUR | MWH | 1 MWh / Hr | Physical M | ||
| Quarter (Q) | EUR | MWH | 1 MWh / Hr | 3M | |||
| Season (S) | EUR | MWH | 1 MWh / Hr | 3M + 1Q | |||
| Year (Y) | EUR | MWH | 1 MWh / Hr | 3M & 3Q | |||
| Powernext (PGAS) | Pegnord | Month (M) | EUR | MWH | 1 MWh / Day | Physical M | |
| Quarter (Q) | EUR | MWH | 1 MWh / Day | 3M | |||
| Season (S) | EUR | MWH | 1 MWh / Day | 3M + 1Q | |||
| Year (Y) | EUR | MWH | 1 MWh / Day | 3M & 3Q | |||
| Pegsud | Month (M) | EUR | MWH | 1 MWh / Day | Physical M | ||
| TTF | Month (M) | EUR | MWH | 1 MWh / Hr | Physical M | ||
| Quarter (Q) | EUR | MWH | 1 MWh / Hr | 3M | |||
| Season (S) | EUR | MWH | 1 MWh / Hr | 3M + 1Q | |||
| Year (Y) | EUR | MWH | 1 MWh / Hr | 3M & 3Q |
Other people's views
Also worth noting that ICE TTF Futures have to have Daylight Saving’s taken into account on Long and Short Days.
Additional Futures on CME :
(1) NBP ( M -> D ) & TTF ( M -> D ) on CME
(2) JKM LNG Futures on ICE
Additional Futures on CEGH:
Austrian VTP and OTE ( Czech Republic) on CEGH .
For both
Y -> 3 M & 3 Q
S -> 1Q + 3M
Q -> 3M
M -> Physical
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.
https://www2.terega.fr/fileadmin/presse/ACTU_PDF-FR/2017/TRF_22_11_2017.pdf