The NBP, TTF and Henry Hub conversion step by step, with the volume match for hedges and the calorific value trap that distorts spark spreads.
Divide pence per therm by 100 to get pounds per therm, multiply by 34.1214 therms per MWh, then multiply by the GBP/EUR rate. An illustrative NBP price of 80.00 p/th is £27.30/MWh, or €31.39/MWh at 1.15 euros to the pound, which puts it €2.61/MWh below a TTF price of €34.00. In one line: €/MWh = p/th × 0.341214 × GBP/EUR.
Worked in full in Energy Trading by Julian R. Sterling, with every figure reproduced in a free workbook.See the book on Amazon →
Gas desks quote the same molecule in three units. NBP trades in pence per therm, TTF and the other continental hubs in euros per MWh, Henry Hub in dollars per MMBtu. Spreads between hubs, the fuel leg of a spark spread and the pricing of an LNG cargo all need the prices on one basis first. The conversion is pure arithmetic, but it has a factor of 100, an exchange rate and a calorific value basis in it, and each of the three is a place where a number goes wrong by more than the spread being traded.
| Item | Value |
|---|---|
| 1 therm (100,000 Btu) | 29.3071 kWh = 0.0293071 MWh |
| Therms per MWh | 34.1214 |
| 1 MMBtu (10 therms) | 0.293071 MWh |
| MMBtu per MWh | 3.4121 |
| NBP price, illustrative | 80.00 p/th |
| TTF price, illustrative | €34.00/MWh |
| Henry Hub price, illustrative | $3.50/MMBtu |
| Euros per pound / dollars per euro | 1.15 / 1.08 |
£/therm = p/th ÷ 100 = 80.00 ÷ 100 = £0.80
£/MWh = £/therm × 34.1214 = 0.80 × 34.1214 = £27.30
Shortcut: £/MWh = p/th × 0.3412
There are 34.1214 therms in a MWh because a therm is 29.3071 kWh. Multiply by the number of therms, not by the kWh: a price per therm becomes a larger price per MWh, since a MWh holds more than 34 of them.
€/MWh = £/MWh × GBP/EUR = 27.30 × 1.15 = €31.39
Excel: =NBP_pth/100*34.1214*GBPEUR
Reverse: p/th = €/MWh ÷ GBPEUR ÷ 34.1214 × 100. TTF at €34.00 is 34.00 ÷ 1.15 = £29.57/MWh, or 86.65 p/th.
On these illustrative prices the NBP-TTF spread is €2.61/MWh in TTF units, or 6.65 p/th in NBP units. The two numbers describe the same spread. Which one a desk quotes depends on which leg it treats as the base, and a spread trade must hedge the currency as well, because a move in sterling changes the euro value of the NBP leg with no change in either gas price.
$/MWh = $/MMBtu ÷ 0.293071 = 3.50 ÷ 0.293071 = $11.94, or 11.94 ÷ 1.08 = €11.06/MWh
Going the other way, NBP at €31.39/MWh is $9.94/MMBtu and TTF at €34.00 is $10.76/MMBtu.
A dollar per MMBtu is a tenth of a dollar per therm, so the MMBtu step is the therm step with one more factor of 10. LNG cargoes are usually priced in $/MMBtu, which is why the European hub prices get converted that way when a cargo is weighed against delivery into the UK or the Netherlands.
A position of 10,000 therms a day is 293.07 MWh a day, a flat 12.21 MW, or 8,792 MWh over a 30-day month. A 25 MW TTF position is 600 MWh a day, equivalent to 20,473 therms a day. Hedging an NBP exposure with TTF, or the reverse, starts with this volume match; leave it out and the hedge is the wrong size by a factor of 34.
| NBP p/th | £/MWh | €/MWh at 1.10 | €/MWh at 1.15 | €/MWh at 1.20 |
|---|---|---|---|---|
| 50 | 17.06 | 18.77 | 19.62 | 20.47 |
| 80 | 27.30 | 30.03 | 31.39 | 32.76 |
| 100 | 34.12 | 37.53 | 39.24 | 40.95 |
| 150 | 51.18 | 56.30 | 58.86 | 61.42 |
| 200 | 68.24 | 75.07 | 78.48 | 81.89 |
A useful rule of thumb at 1.15: each penny per therm is worth €0.392/MWh, and each euro per MWh is worth 2.548 p/th. At 80 p/th, a five-cent move in the exchange rate shifts the euro price by about €1.36/MWh, half the illustrative NBP-TTF spread.
The calorific basis matters wherever gas meets power: in the clean spark spread, in the implied heat rate (2.018 MWh of gas per MWh of power on a GCV basis here, against 1.818 on NCV) and in every gas hedge sized from a plant's efficiency.
€/MWh = p/th ÷ 100 × 34.1214 × GBP/EUR. 80.00 p/th is €31.39/MWh at 1.15. Convert volumes with the same factor, hedge the currency on cross-hub spreads, and check that gas price and plant efficiency are on the same calorific basis before trusting a spark spread. The book's plant, curve and margin cases are all priced in €/MWh, and the curve and fuel inputs can be swapped in the free workbook for this case.
34.1214. A therm is 100,000 Btu, or 29.3071 kWh, so a MWh holds 1,000 divided by 29.3071 therms. That is the factor that turns a price per therm into a price per MWh: £0.80 per therm is £27.30 per MWh. Using 29.3071 by mistake gives a price about 14 per cent too low.
Divide by 0.293071, the MWh in one MMBtu, then divide by the EUR/USD rate. An illustrative Henry Hub price of $3.50/MMBtu is $11.94/MWh, or €11.06/MWh at 1.08 dollars per euro. In the other direction, TTF at €34.00/MWh is $10.76/MMBtu at the same rate.
European hub gas, TTF and NBP alike, is traded on a gross calorific value basis, while plant efficiencies are often quoted net. With an illustrative NCV/GCV ratio of 0.901, a 55 per cent NCV efficiency is 49.6 per cent on GCV, and the fuel cost of power at €31.39/MWh gas rises from €57.08 to €63.35.
This article is one calculation from Energy Trading. The book takes the same case from first principles to the decision, chapter by chapter, and every figure it prints is a live formula in the free companion workbooks.
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