Gas at BME Clearing

The delivery period of the different contracts is defined according to the following table:

Differences between the different products:

• Balance of the Month, Balance of the Week, and Day-ahead contracts do not have daily Variation Margin, while future contracts do.
• Calendar, Season, and Quarterly contracts expire through the cascade process (transforming into smaller contracts) which will be carried out two business days before the start of the delivery period.
• Monthly and Weekly contracts will be settled through daily partial deliveries prepared from the business day before the first day of the contract delivery period.
• Daily contracts, along with contracts from daily partial deliveries, expire the day before the contract, their nomination is made the day before the contract, and the delivery is settled on the same day of the contract (except for days that are Saturday, Sunday, or holidays).3

The delivery periods for an Annual, Seasonal, Quarterly, Monthly and Weekly contracts are the days covered, depending on the type of product:

The nominal or multiplier of each Gas product depending on the days covered by the delivery period.

The product code is governed by the following rules:

For Gas contracts:

• The first alphanumeric character indicates whether it is a Spot Contract (S), Future Contract (F), Spread Contract (T) or Auxiliary Contract (A).
• The second character indicates that the underlying asset is Natural Gas (G) or Liquefied Natural Gas (L).
• The third character indicates that the Delivery Area or Point is a Virtual Balancing Point (V) or Virtual Balancing Tank (T).
• The fourth character indicates the specific Delivery Area or Point, which is Spain for the Spanish Virtual Balancing Point or Tank (S).
• For contracts referenced to TTF, the fifth character indicates whether the reference is MA post-pricing delivery (M), MA pre-pricing delivery (N), or DA (D).
• Then, it indicates whether the Delivery Period is annual (CAL), semi-annual (S), quarterly (Q), monthly (M), weekly (W), Balance of the month (BoM), Balance of the week (BoW), or daily (D).

*For more details, visit the Circular: C-ENE-2024-09-Contracts-listed-in-the-Gas-Products-Codification.pdf

The following contracts will be open by default:

Natural Gas:

• Next five days.*
• Next Balance of the Week contract on request.*
• Weekly contracts on request.*
• Next Balance of the Month contract in delivery.*
• Next four monthly contracts.
• Next four quarterly contracts.
• Next two season contracts.
• Next calendar contract.

BME Clearing may open other Delivery Periods for registration upon any Member's request.

*Only available for fixed-price Natural Gas contracts.

Liquefied Natural Gas:

• Unique daily deliveries during the next two months.

Quarterly, season, and calendar contracts expire through the cascade process. This process breaks down contracts that are close to their expiration date into contracts with shorter delivery periods than the original contract, so that hedges can be made on those contracts with others that are in the registration period and therefore, settle the gas that covers the delivery period.

For gas, the last registration day is 2 business days before the start of the delivery period.

The cascade consists of the following:

• After the last registration day of the contract, annual contracts close by converting into four quarterly contracts.
• After the last registration day of the contract, season future contracts close by converting into two quarterly contracts.
• After the last registration day of the contract, quarterly future contracts close by converting into three monthly future contracts.5

The setup below shows two examples of the cascade breakdown of a futures contract.

Open Position of Annual Contract 

The shaded cells are contracts used to carry out the cascade to close the position.

      SS: Summer Season

      SW: Winter Season (Q1 corresponds with the first quarter of the following year)

The trades used to carry out the cascade do not generate fees. The Z trades are used at the daily settlement price.

Annual Contracts

The Annual futures contract is closed at the Annual final settlement price and the four Quarterly contracts are opened at the final settlement price of the Annual contract as well, which is equal to the Last Register Day.

Seasonal Contracts

The Seasonal futures contract is closed at the Seasonal final settlement price and two Quarterly contracts are opened at the final settlement price of the Seasonal contract as well, which is equal to the Last Register Day.

Quarterly Contracts

The Quarterly futures contract is closed at the Quarterly final settlement price and three Monthly contracts are opened at the final settlement price of the Quarterly contract as well, which is equal to the Last Register Day.

The Delivery of the Underlying Asset is carried out through the valid execution of the Gas Ownership Transfer Notifications, for each delivery day. BME Clearing or, where applicable, a Notification Service Provider, will send through telematic procedures to the System Technical Manager (Enagás) or TSO, in accordance with the gas system regulations, the information related to the Ownership Transfers of Natural Gas at the Virtual Balancing Point and Liquefied Natural Gas at the Virtual Balancing Tank corresponding to the Natural Gas and Liquefied Natural Gas Contracts cleared in BME Clearing.

Monthly and weekly Natural Gas contracts are settled through daily partial deliveries prepared the business day before the first day of the contract delivery period.

For physical delivery (by notification to the TSO), all assignments and acquisitions corresponding to daily partial deliveries for the day (D) are aggregated, coming from the negotiation of day-ahead contracts and the breakdown of the Balance of the Week and Balance of the Month contract for each Balancing Account, in the delivery area or point registered in BME Clearing.

Liquefied Natural Gas contracts will not have a delivery period but a unique delivery on the agreed delivery day.

Clarifications for delivery:

• "Preparation" refers to breaking down the monthly or weekly contract into a day (unless there are holidays). The operation is the same as the cascade, however, the concepts are presented separately to explain the peculiarities of the physical delivery preparation.
• It is prepared/broken down on D-1, with D being the delivery day and D-1 being a business day.
• When breaking down the contract encounters a holiday, the system searches until the next business day and breaks down that business day and all holidays encountered in the process.
• The Margin due to delivery is calculated each day. In addition, it is calculated based on preparations for that day.
• On the following day, the system must erode the following day that has to be prepared. If the following day to be prepared is a working day, the system stops there. If the following day is a Target holiday, the system will search for the following working day.

Nomination is the process of communicating to the TSO the amount of Natural Gas to be delivered or received the next day. Nomination is always done on D-1 around 20:00 CET.

According to the gas system regulations, once the TSO communicates that it has accepted the nomination, the gas delivery is considered to have been made.

The Monetary Settlement of the Delivery is carried out by applying the following rule: (i) if D+2 is a business day, the Monetary Settlement will take place the next business day; (ii) if D+2 is not a business day, the Monetary Settlement will take place on the second business day following D+2, through the multilateral settlement of BME Clearing.

MEFFSTATION terminal is the MEFF terminal associated with a specific operator. The terminals have all the necessary functionalities to check their position management.

The configuration option on the main MEFFSTATION menu enables an automatic download of files at the end of the session. Members can configure the files they wish to download, and the folder in which they wish to store them.

At any time during the session, members can force the generation of transfer files by using the "actions" option on the main menu. They will have information on files at the beginning of the session, or files that become available in the course of the day. Information on settlements and margins is only available at the end of the session.

Transfer files may be requested to BME Clearing if Members experience any problems with downloads.

The description of the Energy Sector trading transfer files is available "MeffStation Clearing Raw Data Files" document and User Manual Document are available in BME Clearing web, sector “About us” in the epigraph “Documentation – Technology”

BME CLEARING provides its Members a web portal for the Energy Segment with extensive information on the activities of the Clearing House, showing the details of the activity of each Member, such as trades carried out, open positions, settlement breakdown,  required margins, amongst other information.

The portal is accessed by a private password and code. If the member does not yet have these data or should you wish to request access for an additional user, please contact BME Clearing Helpdesk on + 34 91 709 58 60 or write to the following e-mail: clearinghelpdesk@grupobme.es.

The service is exclusive to BME CLEARING Members at no additional cost, in order to offer them quick access to information and statistics concerning their trades with the Clearing House. The results are shown in tables, and all information may be: ordered, filtered, grouped, concealed, reordered etc. In other words, it may be customised in accordance with the needs and preferences of each member. The reports displayed on screen may also be exported in a number of formats (txt, Excel or pdf, among others).

Through the SFTP connexion, the end of day files may be downloaded (MEFFStation Settlement files). Those files contain information of the las five days, and they are renewed in such a way that they last five days are always available. Files are available once the market closes.

BME Clearing Energy uses proprietary technology: The S/MART platform and the same central host as for other Electricity products.

BME Clearing Members gain access through:

• TRAYPORT: BME Clearing has a clearing link connecting STP with Trayport and the OTF's so that trades can also be registered through the Trayport screens.
• MEFFSTATION via a VPN connection: members gain access to Windows servers installed at BME's DPCs in Madrid (Las Rozas and Plaza de la Lealtad), where the MeffStation application is run.
• BME-PC web portal: it is a web portal with information on trades carried out with the Clearing House.

BME CLEARING enables trades to be registered (Trade Register) as transactions directly agreed among Members (or among Account Holders) as below:

BME – PC Energy

The Member registers a trade which counterparty is another member. BME Clearing sends the notification to the other counterparty requesting acceptance of the trade. The counterparty member has to accept the trade.

Through TRAYPORT

Gas trades are sent through Trayport by the OTF, and registered directly at BME Clearing, ie. no further confirmation is needed.

Those trades are taken into account in BME Clearing's Intra-day Risk Calculation for each counterparty.

Once a trade has been registered an open position is created. The open position has a serie of rules:

• Trades with opposite sign for the same contract are offset; for example, buying two futures of Annual 2022 contract and  selling three futures from the same contract has an open position of one Annual 2022 sold future contract .
• In segreggated client' accounts, which have a "gross record", different trades for the same contract are not offset; following the previous example, buying two futures of Annual 2022 contract and selling three futures from the same contract has an open position of two buying futures and three selling futures for Annual 2022 contract.

Although clearing occurs at the open position level, trades are live until the expiry date.

Daily settlements are carried out using a standard multilateral settlement in the Bank of Spain TARGET-2 System.

The Clearing Member is required to have an account in the TARGET-2 payments module. If it does not have one, it may designate a Payment Agent who has a treasury account in a Central Bank within the Euro System to settle through it.

Variation Margin takes place for annual, seasonal, quarterly, monthly and weekly future natural gas contracts, as well as spread, auxiliary and daily fixed price liquified natural gas contracts.

During the life of a future contract, and up to the last day it is registered, a daily variation margin takes place, based on the difference between the settlement price and the last settlement price (for day-ahead trades: the price of the trade, for the rest: the settlement price of the previous session). On the last day of register, the Variation Margin calculation is based on the difference between the final settlement price and the last settlement price.

Settlement on expiry is carried out on day-ahead contracts.

The settlement takes place once the contract delivery period has ended. The generation of expiry operations (V) or (K) is carried out on the expiry day, which will correspond to the business day before the contract period. 

BME Clearing will determine the Daily Settlement Price of day-ahead contracts using the following information:

• Purchase and sale prices and/or operations of Natural Gas products sent by a group of OTFs.
• Prices of registered trades.
• Long and short purchase and sale prices and/or operations of similar Natural Gas products traded on MIBGAS or other markets.

Registration and Clearing Fees

The fee for a trade is settled on the first business day following the trade registration and it may vary depending on the trade volume. It is calculated as follows:

    Fee = Trade volume * Contract Multiplier* Rate charged

Fees for Nomination and Physical Delivery

The delivery fee is settled the following business day of the expiry registration and it varies depending on the delivered volume. It is calculated as follows:

            Fee = Delivered Volume* Contract Multiplier* Rate Charged

In both cases,

• Contract multiplier: number of MWh/d on a contract, identified in the corresponding contract type multiplier.
• Rate Charged: amount per unit of the corresponding price (registration, clearing or delivery) to the type of registered trade, contract and holder concerned, in euro cents/MWh/d.

There are four basic margin components: Initial Margin, Individual Member's Margin, BME Clearing Margin and a contribution to the Default Fund by Members.