LEBA UK Power Indices Specifications
Day Ahead Baseload (07:00-09:00)
Calculated using a volume-based, weighted average of all day ahead baseload trades executed in London by contributing brokers between 07.30 hrs and 09.00 hrs London time each day. The Index values electricity trades for baseload delivery on the day following the deal date (Trade Day). The delivery day is the Index day. In the calculation of the Index, previous business day convention shall apply.
Weekend Baseload (07:00-09:00)
Calculated using a volume-based, weighted average of all weekend ahead baseload trades executed in London by contributing brokers between 07.30 hrs and 09.00 hrs London time each day. The Index values electricity trades for baseload delivery on the weekend following the deal date (Trade Day). The delivery days are the Index days. In the Index, weekends shall be calculated using a volume-based, weighted average of all weekend trades executed in London by contributing brokers between 07.30hrs and 09.00hrs London time on the previous business day. In the calculation of the Index, previous business day convention shall apply.
Day Ahead Baseload
Calculated using a volume-based, weighted average of all day ahead baseload trades executed in London by contributing brokers between 07.30hrs and 17.00hrs London time on Trade Day. The Index values electricity trades for baseload delivery on the working day following Trade Day. The delivery day is the Index day. In the calculation of the Index, previous business day convention shall apply.
Weekend Baseload
Calculated using a volume-based, weighted average of all weekend ahead baseload trades executed in London by contributing brokers between 07.30hrs and 17.00hrs London time each day. The Index values electricity trades for baseload delivery on the weekend following the deal date (Trade Day). The delivery days are the Index days. In the Index, weekends shall be calculated using a volume-based, weighted average of all weekend trades executed in London by contributing brokers between 07.30hrs and 17.00hrs London time on the previous business day. In the calculation of the Index, previous business day convention shall apply.
Saturday Baseload
Calculated using a volume-based, weighted average of all Saturday baseload trades executed in London by contributing brokers between 07.30hrs and 17.00hrs London time each day. The Index values electricity trades for baseload delivery on Saturday following the deal date (Trade Day). The delivery days are the Index days. In the Index, Saturday shall be calculated using a volume-based, weighted average of all Saturday trades executed in London by contributing brokers between 07.30hrs and 17.00hrs London time on the previous business day. In the calculation of the Index, previous business day convention shall apply.
Sunday Baseload
Calculated using a volume-based, weighted average of all Sunday baseload trades executed in London by contributing brokers between 07.30hrs and 17.00hrs London time each day. The Index values electricity trades for baseload delivery on Sunday following the deal date (Trade Day). The delivery days are the Index days. In the Index, Sunday shall be calculated using a volume-based, weighted average of all Sunday trades executed in London by contributing brokers between 07.30hrs and 17.00hrs London time on the previous business day. In the calculation of the Index, previous business day convention shall apply.
Month Ahead Baseload
Calculated using a volume-based, weighted average of all month-ahead baseload trades executed in London by contributing brokers between 16.00hrs and 16.15 hrs London time each trading day. The Month Ahead Window Index values baseload trades for delivery in the EFA month following the EFA month in which the deal is executed. The index month is the delivery month e.g. the index published on the 17 June 2009 is based on all the trades executed on the 17 June 2009 for delivery every day during the EFA month of July 2009.
Day Ahead Peak Blocks 3&4&5 (07:00-09:00)
Calculated using a volume-based, weighted average of all day ahead peak blocks 3&4&5trades executed in London by contributing brokers between 0730hrs and 0900hrs London time on Trade Day. The Index values electricity trades for peakload delivery on the working day following Trade Day. The delivery day is the Index day. In the calculation of the Index, previous business day convention shall apply.
Day Ahead Blocks 1&2
Calculated using a volume-based, weighted average of all day ahead blocks 1&2 trades executed in London by contributing brokers between 0730hrs and 0900hrs London time on Trade Day. The Index values electricity trades for block delivery on the working day following Trade Day. The delivery day is the Index day. In the calculation of the Index, previous business day convention shall apply.
Day Ahead Blocks 3&4
Calculated using a volume-based, weighted average of all day ahead blocks 3&4 trades executed in London by contributing brokers between 0730hrs and 0900hrs London time on Trade Day. The Index values electricity trades for block delivery on the working day following Trade Day. The delivery day is the Index day. In the calculation of the Index, previous business day convention shall apply.
Day Ahead Block 5
Calculated using a volume-based, weighted average of all day ahead block 5 trades executed in London by contributing brokers between 0730hrs and 0900hrs London time on Trade Day. The Index values electricity trades for block delivery on the working day following Trade Day. The delivery day is the Index day. In the calculation of the Index, previous business day convention shall apply.
Day Ahead Block 6
The Monday – Friday Block 6 Index (7.30am – 9.00am) is calculated using a volume-based, weighted average of all day ahead block 6 trades executed in London by contributing brokers between 0730hrs and 0900hrs London time on Trade Day. The Index values electricity trades for block delivery on the working day following Trade Day. The delivery day is the Index day. In the calculation of the Index, previous business day convention shall apply.
Day Ahead Peak Blocks 3&4&5
Calculated using a volume-based, weighted average of all day ahead peak blocks 3&4&5 trades executed in London by contributing brokers between 0730hrs and 1700hrs London time on Trade Day. The Index values electricity trades for peakload delivery on the working day following Trade Day. The delivery day is the Index day. In the calculation of the Index, previous business day convention shall apply.
Weekend Peak Blocks 3&4&5 (07:00-09:00)
Calculated using a volume-based, weighted average of all weekend peak blocks 3&4&5trades executed in London by contributing brokers between 0730hrs and 0900hrs London time on Trade Day. The Index values electricity trades for peak load delivery on the weekend following the deal date (Trade Day). The delivery days are the Index days. In the calculation of the Index, previous business day convention shall apply.
Weekend Blocks 1&2
Calculated using a volume-based, weighted average of all weekend blocks 1&2 trades executed in London by contributing brokers between 0730hrs and 0900hrs London time on Trade Day. The Index values electricity trades for blocks 1&2 delivery on the weekend following the deal date (Trade Day). The delivery days are the Index days. In the calculation of the Index, previous business day convention shall apply.
Weekend Blocks 3&4
Calculated using a volume-based, weighted average of all weekend blocks 3&4 trades executed in London by contributing brokers between 0730hrs and 0900hrs London time on Trade Day. The Index values electricity trades for blocks 3&4 delivery on the weekend following the deal date (Trade Day). The delivery days are the Index days. In the calculation of the Index, previous business day convention shall apply.
Weekend Block 5
Calculated using a volume-based, weighted average of all weekend block 5 trades executed in London by contributing brokers between 0730hrs and 0900hrs London time on Trade Day. The Index values electricity trades for block 5 delivery on the weekend following the deal date (Trade Day). The delivery days are the Index days. In the calculation of the Index, previous business day convention shall apply.
Weekend Block 6
Calculated using a volume-based, weighted average of all weekend block 5 trades executed in London by contributing brokers between 0730hrs and 0900hrs London time on Trade Day. The Index values electricity trades for block 6 delivery on the weekend following the deal date (Trade Day). The delivery days are the Index days. In the calculation of the Index, previous business day convention shall apply.
A trade is defined as any and every transaction (excluding sleeves – see below) conducted by a broker on behalf of a counterparty. This would include any trades resulting from delta hedging of option trades.
Sleeves
If a company does a free sleeve to help two other companies who would not otherwise be able to trade with one another, then this would 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, then this would count as two trades for the purposes of the Index. In no instance should a sleeve or part of a sleeve be included as a transaction if it is not transacted “at the market” (i.e. within the bid and offer spread prevailing at the time).
Number of trades executed in a day by individual contributing brokers
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: Should there be no trades during a working day, an average will be taken of the previous three working days. A notation will be made on the Index page to that effect.
No trades on Saturday and/or Sunday individually, or on weekends, in the All Days index: Where no trades are transacted and reported for Saturday and/or Sunday by any of the contributing brokers, the combined weekend period trades will be used to interpolate a 50/50 average in the calculation of prices for Saturday and Sunday. In the event that none of the contributing brokers transacts any deals for Saturday and Sunday alone, or the combined weekend period, an average of the previous two weekends will be used. A notation will be made on the Index page to that effect.
No trades within the Month Ahead Window Index period (4.00-4.15pm): Where no trades are transacted and reported within the index window then the period will be expanded both prior to 4.00pm and after 4.15pm until a minimum volume of 50 MW is transacted within the expanded window. As soon as this minimum is reached a weighted average will be calculated of these transactions. A notation will be made on the Index page to that effect.
Index Publication
LEBA member firms will submit their trades to LEBA at the end of every trading day for calculation. Member firms will not include details of the counterparties involved, only the price, volume and time of each trade. LEBA will endeavour to publish the Indexes at 18:30 London time on the London business day of the trading day, and may publish the Indexes on the LEBA website on or after that time. However, LEBA does not guarantee to be able to publish the data by this time. LEBA will not publish on days that are not trading days, but will publish the Index on the next London business day.
Contributing Brokers Obligations
All contributing brokers shall on each Trade Day make all relevant Data created on that Trade Day available to LEBA in the format on or before the applicable time. However, if any contributing broker is unable for any reason not to make all relevant Data available by the applicable time, LEBA reserves the right at its discretion to publish the Index without data from all contributing brokers.
Revisions to data
LEBA will make every effort to ensure the accuracy and timeliness of data. However, LEBA reserves the right to revise or amend any data published at any time.
Working days and weekends
Working days are any days other than Saturdays and Sundays on which banks are open for usual business in London. Weekends are Saturday and Sunday. Previous business day convention In the event of a UK Public Holiday, the indices will be derived from the price traded on the previous business day for that day. For example, if Tuesday is a holiday, the day ahead index traded on Friday will be for Saturday, Sunday, weekend combination, Monday and Tuesday.
