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Amendments to Notification relating to Block Trade Orders and changes to minimum thresholds for ASX Energy Futures and Options

Thu 7 Apr 2011

As outlined in ASX 24 Notice 063/11.

  • Date of Issue: 7 April 2011
  • Effective Date: 9 May 2011

ASX intends to amend minimum thresholds for Block Trades in ASX Energy Futures and Options and the format of ASX 24 Operating Rules Procedure 4820 relating to notification and registration of Block Trades in ASX Energy Futures and Options for ease of reference, consistency and clarification. The changes are summarised below:

(a) Block Trade minimum threshold. Increase the minimum threshold for a Block Trade for the Australian Electricity Futures and Options from the current level of 15 lots to 25 lots;

(b) Block Trade agreement hours and registration times for ASX Energy Futures and Options. Clarification on when Block Trades may be agreed and Block Trade notification and registration requirements; and

(c) Strip Product Block Trade notification and individual leg price methodology. Removal of the current requirement for a Trading Participant to send a message to all users notifying the individual leg prices of Block Trades in the ASX Trade 24 Australian and New Zealand Electricity and Victorian Wholesale Gas Futures Strip Products.

ASX will only register a Strip Product Block Trade with individual leg prices which can be generated by using the methodology as set out in the Block Trade Procedures.

ASX will use the information contained in the original alert message sent by the Trading Participant to all users to generate the individual leg prices associated with a defined Strip Product that was Block Traded.

The alert message must contain:

1. Descriptor
2. Product Code
3. Volume
4. Price

For example a message for a Block Trade in an Electricity Strip Product should be in the following form:

“BT: HNZ4 25 @ 40.25”

The individual leg prices associated with a defined Strip will be generated by using the methodology as set out under paragraph 18 (Participant Registration of Strip Leg Prices – Electricity Futures Market Contracts). Some examples have been provided to illustrate the methodology to be applied.

Attachment A details the amendments and revised procedures.