ASX New Zealand Electricity Futures Daily Settlement Price methodology changes consultation.
Wed 1 Oct 2025
As per Notice 1177.25.09, ASX intends to make changes to the methodology used to determine the New Zealand Electricity futures Daily Settlement Price (DSP)with regards to enhancing its robustness. ASX invites feedback from the market with regards to the uplifted parameters outlined below.
Current methodology for New Zealand Electricity futures:
The existing New Zealand Electricity futures DSP methodology follows the waterfall process outlined here. Currently, the top layer of the process defines the DSP as the last traded price, unless the last traded price is below the final bid or above the final ask, then the final bid or ask shall be the DSP.
To enhance the robustness of the DSP, ASX intends to add a Trade Volume Weighted Average Price calculation window along with an ‘orders at close’ window. This would bring the New Zealand Electricity futures in line with the methodology used for Australian Electricity futures as follows:
Overview of the changes:
For the top layer of the process:
- A Pre-Close Trade VWAP calculation window will be implemented with a duration of 10 minutes (from 1550:00 to 1600:00 New Zealand time).
- Orders at the close of market will be considered for the calculation of DSP. A minimum order hold time of 60 seconds (between 1559:00 and 1600:00 New Zealand time) will be required for an order to be eligible for inclusion in the DSP calculation. Note this will not preclude orders of shorter duration entering the market, however these orders will not be included in the DSP calculation.
- The preliminary Daily Settlement Price will not be generated at levels less competitive than eligible Outright Orders at market close.
Should you have feedback on the above proposal or wish to discuss further please reach out to commodities@asx.com.au by Friday 10 October 2025.
What do I need to do by when?
Please review the above information. If you have any feedback, please provide this to commodities@asx.com.au by 10 October 2025.
Need more information?
Issued by
Jennifer Eason, Senior Product Manager, Energy and Commodities Products
Contact information
Jennifer Eason
(02) 9227 1612
Jennifer.Eason@asx.com.au