Market Dynamics Report

March saw volumes decline for the second month in a row after peak volume in January 2016. Total monthly contracts traded of 7.193 million were down 17% vs. February's 8.683 million monthly contracts traded, and down 12% vs. March 2015. Despite this, Q1 2016 monthly contracts traded of 24.779m were up 4% vs. Q1 2015, resulting in the largest Q1 volumes traded since our records began. Q1 2016 saw high volumes, declining prices with high volatility, and increased clearing in Euro Power and Gas, as exchange competitiveness increased over 2015.

Every year since 2011 Q1 has been the highest volume quarter of the year for the commodities covered in this report, with Q4 coming in second for all years except 2011 when Q3 was second highest. For the last two years the month on month trend within Q1 has seen volumes increase from January up to a peak in March. This year we have seen the opposite, with January 2016 recording the highest monthly volume, and volumes trending down month on month since then. Four commodity classes are driving the record Q1 monthly contracts traded: Coal, Euro Gas and UK Power all recorded their largest volume quarter since 2011, with Euro Power recording their second largest volume quarter over the same time period. These four commodity classes represented 66% of the total monthly contracts traded in Q1 2016. Price volatility for the largest contributor to monthly contracts traded, Euro Gas, was highest during January, as reported in the LEBA Monthly Volume Report (LEBA's one month volatility measure for the LEBA TTF Day Ahead price benchmark was 49%, 27% and 10% for January – March respectively). This goes some way to explaining the relatively high January volumes, as volatility begets liquidity.

Amidst the quarterly increasing volumes we are seeing an increase in the cleared market in almost all commodity classes covered. The table below shows the Q1 16 vs Q1 15 volume change and cleared market share for Q1 2015 and Q1 2016:

Commodity Grouping

Q1 2016 vs. Q1 2015 Volume Growth

Q1 2015

Cleared Market Share

Q1 2016

Cleared Market Share









UK Gas




Euro Power




Euro Gas




UK Power




The most significant change can be seen in Euro Gas, with the cleared market increasing by 9% while volumes grew 15%. Euro Power also recorded an increase in the cleared market, up 8% to 51% Q1 2016, while volumes grew just 1%. While both groupings are showing increased cleared market share, the proportion that is exchange traded vs. broker cleared is different. The Euro Gas cleared market is 78% exchange executed / 22% broker cleared, while the Euro Power cleared market is more even with 58% exchange executed / 42% broker cleared. Euro Gas and Euro Power have also seen the greatest increase in exchange competition in the last few years, with almost all European exchanges launching new products for trading and clearing. PEGAS and ICE are the main exchanges in Euro Gas, while EEX and Nasdaq OMX compete in Euro Power. CME has a presence in both groupings but to date volumes are small (yet growing). The smaller regional energy exchanges - Borsa Italiana, OMIP and PXE – have also expanded their product offerings to include additional countries and commodities. We'll keep an eye on further developments, but exchange competitiveness in these markets does not look to be slowing, with Nasdaq OMX set to make an entrance into Euro Gas later in April.

Looking to March volumes only, all groupings except Coal saw a decrease in volume MoM. Emissions were down 28%, UK Gas down 16%, Euro Power down 11%, Euro Gas down 20% and UK Power down 18%. Coal was the anomaly this month, with volumes up 3% MoM. TTF's volumes were down 22% MoM, a steeper MoM drop than UK Gas, resulting in TTF falling back to the second largest commodity covered by this report at 99% of NBP's March volume (YTD It remains on top at 101% of NBP). UK Gas and Euro Gas saw a recovery of broker bilateral market share, with broker bilateral gaining 3% in both commodity groupings, at the expense of exchange executions. Some markets within the groupings saw MoM increases – French Hubs were up 25%, Austria VTP was up 1%, PSV up 17%, Nordic Power up 8%, and CERs up 210% after their very low volume February. Euro Power market share saw a very different move – with the cleared market gaining 3% as exchange executions grew 4% and broker cleared lost 1%. The main power exchanges had strong months as Nordic Power volumes grew, Nasdaq gained share in Germany, and EEX gained share in Spain.

Downloadable Content

Euro Commodities Report March 2016

Downloadable Content

Euro Commodities Report March 2016