ASX Electricity Futures and Options: New contracts, enhancements and Rulebook restructure
Mon 8 Apr 2013
d-cyphaTrade is pleased to announce as per ASX Notice 070/13 there are new contracts, enhancements to existing contracts and rulebook restructure.
New Contracts
Market participants are advised that ASX will launch Base Load Calendar Month Electricity Futures (EN, EV, EQ, ES) and Financial-Year Strip Options over Base Load Calendar Quarter Electricity Futures (HN, HV, HQ, HS) at 09:00am on Wednesday 8th May 2013 for Trade Date 8th May 2013.
Contract specifications for the new contracts are here.
Initial Margin rates and Intra and Inter-commodity offsets will be communicated in a subsequent notice.
Data vendor codes for vendor systems will be published on the ASX website Australian Electricity Futures page
(http://www.asx.com.au/products/australian-electricity-trading-information.htm) once these codes have been provided.
Enhancements to Existing Contracts
ASX will introduce enhancements to the expiry process for existing Australian Electricity Calendar-Year Strip Options to align with the expiry process of the new Australian Electricity Financial-Year Strip Options:
- All In-the-money options will be automatically exercised by the Exchange at expiry.
- Determination of the reference price for Option Exercise at expiry will use the previous Business Day’s Daily Settlement Prices of the underlying Australian Base Load Electricity Futures Contracts in the strip as determined by the Exchange.
- The time by which market participants can lodge an exercise request with the Exchange will change from 1:30pm to 12:30pm. The latest time sellers will be notified of an option exercise will change from 3:00pm to 2:00pm.
Please note that the above enhancements are effective 8th May for existing Australian Electricity Calendar-Year Strip Options contracts listed on ASX Trade 24 from the Cal-2015 strip option contract onwards.
The Cal-2014 strip option contract, expiring 19th November 2013, will still require a manual exercise request to be lodged with the Exchange to exercise the option by no later than 1:30pm on any Trading Day.
These changes will have no effect on existing open interest in any ASX Electricity Futures and Options contracts.
Rulebook Restructure
In addition, ASX will update the structure of all Electricity contracts in the ASX 24 Operating Rules to better support new contracts in the future. Note that the changes detailed below have no material impact on the actual contract specifications.
- Australian Electricity – Base Load Calendar Quarter Futures, Peak Load Calendar Quarter Futures and Base Load Calendar Quarter $300 Cap Futures have been restructured.
These structural changes will have no effect on existing open interest in any ASX Electricity Futures and Options contracts.
Revised ASX 24 Operating Rules and Procedures for Electricity contracts are here.
Please direct any product related queries to the d-cyphaTrade Team on +61 2 9237 0900 or info@d-cypha.com.au or alternatively, contact the ASX via Paul Roberts, Senior Manager - Energy & Commodities on +61 2 9227 0538 or paul.roberts@asx.com.au. Queries on market access and system support for the contracts should be directed to Market Access on +61 2 9227 0372 or market.access@asx.com.au.
______________________________
A) d-cyphaTrade ASX Base Load Calendar Month Futures
Contract Unit: One (1) Megawatt (MW) of electrical energy per hour during the base load profile bought and sold in a region of the Wholesale Electricity Pool Market conducted by the Australian Energy Market Operator (AEMO), or its successor.
Contract Months: January, February, March, April, May, June, July, August, September, October, November, December up to 6 months ahead.
Commodity Code: EN (New South Wales), EV (Victoria), EQ (Queensland), ES (South Australia)
Listing Date: 8 May 2013 (the first contract month will be a June 2013)
Minimum Price Movement: $0.01 per Megawatt hour
Last Trading Day: The last Business Day of the contract month
Settlement Day: The fourth Business Day of the contract month
Trading Hours: 9:00am-4:00pm
Settlement Price: Arithmetic average of all base load half hourly spot prices over the contract period to 2dp, provided by AEMO.
Block Trade: Yes (Exchange fee + Registration Fee of $30.00 per leg per side)
EFP: Yes
Exchange Fees: $13.00 (plus GST) per side per contract
B) d-cyphaTrade ASX Financial Year Strip Options over Base Load Calendar Quarter Electricity Futures
Contract Unit: An Option over a strip of four Australian Base Load Calendar Quarter Electricity Futures Contracts.
Contract Months: June up to 4 Financial Years ahead delivering into September, December, March and June futures positions.
Commodity Code: HN (New South Wales), HV (Victoria), HQ (Queensland), HS (South Australia)
Listing Date: 8 May 2013 (the first contract month will be a June 2015)
Minimum Price Movement: $0.01
Strike Interval: $1.00
Last Trading Day: The day which is six (6) weeks prior to the day immediately preceding the commencement of the first Contract quarter of the underlying strip. If that day is not a Business Day then the Business Day following that day.
Trading Hours: 9:00am-4:00pm
Exercise Methodology On the Declaration Date, the Approved Clearing Facility shall, unless otherwise directed by a Deny Automatic Exercise Request, exercise all in-the-money Options.
Reference Price for Option Exercise: 12:00 noon using the previous Business Day's Daily Settlement Prices of the underlying Australian Base Load Electricity Futures Contracts in the strip, as determined by the Exchange.
Time for lodgement of an Exercise Request: 12:30pm
Exchange Fees: $74.00 (plus GST) per side per contract.