NTP's Indices
NetThruPut reports on the prices of deals done on its exchange each month. This generates two indice for each commodity it is done for: one WTI based, one Poster based with the exception of Syncrude which has only one index.
What is it?
How is it calculated?
What deals are excluded?
How often is it calculated?
What deals are excluded?
The following deals are not included:
- Deals done OTC
- Any deals not done during the trading month from the first to the NOS date are not included.
- Disputed or renegotiated deals.
- Deals for multiple months (strip deals)
- Linked deals are not included.
- Deals that are priced using something other than WTI or the selected basket of posters for each crude type.
- Trades where the transaction point is in the US.
How often is it calculated?
The NTP index for each commodity is finalized after the NOS date each month. For example, January's NTP indices would be calculated after December 18 if that was Enbridge's NOS date in December. Interim calculations may be made however they will change as new deals are done.
How is it calculated?
There is both a Posting based and WTI based index for: WCS, LLB, SW, CRW, LSB. There is only a WTI index for SYN. The NTP WTI index is the weighted average price of the WTI-based deals done on the NTP exchange over the specificied time period for each month.
- WTI-based deals are those done using WTI as the basis. For example: A deal priced WTI-11.24 would have -11.24 multiplied by the deal's volume, used in the index calculation. Note that all offsets (-$11.24 in this case) are in US dollars on the NTP system.
- Specified trading period is from the first of the month to the Notice of Shipment date on Enbridge in Canada. Only deals done during this time period are considered for the index.
To calculate the NTP WTI index for one of the commodities you add the product of each deals offset times the volume. You divide the grand total by the total volume of deals. For example:
10K m3 at WTI-11:00
10K m3 at WTI-10.70
5K m3 at WTI-10.40
1K m3 at WTI-10:00
10K m3 at WTI-11.10
The WTI-based NTP index would be (Note that these offsets are negative numbers): <(10,000*-$11)+(10,000*-$10.70)+(5000*-$10.40)+(1000*-$10)+(10,000*-$11.10) / 36,000 m3> =
-US$ 10.5556 which rounds to -$10.56
- There is no minimum number of transactions over the reporting period. If there is one deal done, it will determine the index for that period.
The NTP index that is determined by the posting values are calculated the same way using the same deal eligibility rules. For example:
10K m3 at A4 + 0.40
10K m3 at A4 + 0.20
5K m3 at A4 + 0.10
1K m3 at A4 + 0.65
10K m3 at A4 + 0.50
The Posting-based NTP index would be (Note that these offsets are positive numbers): <(10,000*$0.40)+(10,000*$0.20)+(5000*0.10)+(1000*-$10)+(10,000*-$11.10) / 36,000 m3> =
-US$ 10.5556 which rounds to -$10.56