Indices Calculation Methodology

We can confirm, following consultation, that from 1 January 2017 the Frankley Road Natural Gas Indices (FRMI and FRQI) will be amended to include all trades where counter-parties are not known to one another (ie. anonymous).

This will include anonymous off-exchange trades that were previously not included.

At the same time we implement this functionality we will also be rolling out some tweaks to the exchange to provide more comprehensive trade information. This change will be implemented next week (although the indices change will only apply from 1 January 2017).

Changes to the Indices Calculation Methodology is summarised below:

  • Change to the treatment of off-exchange trades. The calculation methodology will be changed to include off-exchange trades in the indices if, and only if, the buyer and seller are not known to one another at time of trade confirmation. Currently both indices exclude all off-exchange trades.
  • Changes will not be applied retrospectively.
  • Changes to the methodology will apply from 01 January 2017.
  • The published calculation methodology is available here [PDF, 268 KB]. A marked-up version of the current methodology is available here.