Dear Trading Participant,
EEX AG is improving the methodology for the European Gas Spot Index (EEX EGSI). From 30 December 2022, all EGSIs will be calculated according to the revised methodology. EEX AG is modifying the methodology to harmonise the regular EGSI indices and EGSIs which qualify as Benchmarks under the Benchmark Regulation1.
The first improved EGSI calculation will be done on Friday 30 December 2022 for delivery days 31 December 2022 to 3 January 2023.
Important differences
With the new methodology, every delivery day will have a corresponding Day EGSI. This means that both Saturday and Sunday will each have its own Day EGSI. The weekend EGSIs under the revised methodology will always comprise exactly two delivery days, Saturday and Sunday, regardless of the weekend definition according to the UK trading calendar. Thereby, EGSIs for Saturday, Sunday, and weekend, will always be identical, as they are based on the same transactions in the weekend spot contract. The Weekend EGSI is always calculated and displayed as a single value in addition to the Saturday and Sunday values. The remaining delivery days of a long weekend contract (e.g. Friday or Monday) will be published as EGSIs for the respective delivery day. To conform with the logic of our financial EGSI Futures, EEX AG will also publish an arithmetic mean of the values of the Day EGSIs for both weeks and months.
|
| EGSI 2022 | EGSI 2023 (revised) |
| Last delivery day | 30 December 2022 | - |
| First delivery day | - | 31 December 2022 |
| Delivery days of a weekend EGSI | 2-4 days | 2 days |
| Day EGSI | Monday-Friday | Monday-Sunday |
| Weekend EGSI | Yes | Yes |
| Week EGSI | No | Yes, average of Days |
| Month EGSI | No | Yes, average of Days |
EEX EGSI is calculated and published on the last Exchange Day2 before the start of the respective delivery period. This principle remains unchanged with the revised methodology. A standard week without bank holidays is shown in the below table:
| Calculation Day / Last Exchange Day before delivery | Delivery Day |
| Friday | Day EGSI for Monday |
| Monday | Day EGSI for Tuesday |
| Tuesday | Day EGSI for Wednesday |
| Wednesday | Day EGSI for Thursday |
| Thursday | Day EGSI for Friday |
| Friday | Day EGSI for Saturday |
| Friday | Day EGSI for Sunday |
| Friday | Weekend EGSI |
| Calculated when the EGSI for last delivery day of the month is calculated | Month EGSI |
More details to the revised EGSI methodology are available in the EEX Index Description.
Publication of EEX EGSI
- Current EGSI methodology: applicable until Thursday 29 December 2022 for delivery day Friday 30 December 2022, and available via existing channels
- The revised EGSI methodology: applicable from Friday 30 December 2022 for delivery day Saturday 31 December 2022 and onwards and available via our website: https://www.eex.com/en/market-data/natural-gas/indices as downloadable csv-files.
To enable possible adaptations on customer side, EEX will generate and publish new downloadable csv-files already from early December 2022 on our website.
Yours sincerely,
European Energy Exchange
Market Operations
T +33 (0)1 73 03 96 24 (Paris)
gas@powernext.com
Sales
T +33 (0)1 73 03 96 00 (Paris) | +49 341 2156 555 (Leipzig) | +44 207 862 7555 (London)
+43 (1)270 2700 28550 (Vienna) | +45 69 12 6400 (Copenhagen)| +42 022 183 2106 (Prague)
+ 31 653 567 910 (BeNeLux) | +39 02 0068 1245 (Milan)
pegas-sales@powernext.com | sales@eex.com
1Indices which fall under Regulation (EU) 1011/2016 (“Benchmark Regulation”) are detailed in our Benchmark Statement. For EGSI this is the case for TTF, THE, and CEGH VTP.
2The EEX Natural Gas Spot Market follows the official UK Bank Holiday calendar.