ASX to launch deliverable Wallumbilla Natural Gas Future
Fri 20 Oct 2023
As per ASX Notice 1032.23.10 Participants are advised that ASX intends to list a deliverable Wallumbilla Natural Gas Futures contract on the ASX 24 Market in Q2 2024, subject to regulatory approval and internal/external readiness. The contract will support the changing energy generation mix with gas playing an increasingly crucial role as Australia shifts towards renewable energy generation.
The Wallumbilla Natural Gas Futures contract has been developed in conjunction with the Australian Energy Market Operator (AEMO) and is designed to support Australia’s east coast gas market by providing a transparent forward price curve out to 3 years. The contract will also help to improve liquidity in the Gas Supply Hub (GSH) and provide an additional hedging tool that allows gas market participants to efficiently manage their risk exposure.
The new contract will replace the previous cash-settled Wallumbilla Natural Gas Futures Contract that was delisted on 29 July 2022, as per ASX Notice 0792.22.07. The cash settled contract was delisted after market participants reported limited confidence in the index that was used to settle the contract. Under the new deliverable contract, Market Participants that hold a short position at the time of expiry will be required to physically deliver gas at the Wallumbilla High Pressure Trade Point at the Gas Supply Hub (GSH) operated by AEMO.
Target listing date
The target listing date is Q2 2024, subject to regulatory approval and internal/external readiness. The draft rule amendments have also been informally lodged with ASIC. ASX will continue to engage with Trading and Clearing Participants and software vendors to discuss the contract specifications, delivery process testing and change management program.
Delivery Process Testing
The Wallumbilla Natural Gas Futures Contract was made available in the ASX 24 Customer Development Environment (CDE) from the 3rd of October 2023 under the code GZ. ASX is in discussions with Clearing Participants regarding the requirements and timelines for delivery process testing. The listing of this product is dependent on Clearing Participant readiness and completion of delivery process testing, given the importance of delivery for the contract.
Data Vendor Access Codes
|ASX 24 code||GZ|
Draft Contract specifications (subject to regulatory clearance)
The Wallumbilla Natural Gas Futures contract is deliverable via Delivery Exchange for Physical (Delivery EFP), with the physical component of the Delivery EFP being a Wallumbilla (Netted) Monthly contract at the GSH operated by AEMO. The key contract specifications and high-level delivery EFP process are outlined below.
|Target go live date||Q2 2024. First expiry month to be determined closer to listing.|
|Listed on CDE||October 2023|
|Contract Unit||One hundred (100) Gigajoules (GJ) of natural gas per day over the period of one Calendar Month as determined by the Market Operator for delivery at the Delivery Point that is the Wallumbilla High Pressure Trade Point (as defined in the GSH Exchange Agreement) operated by AEMO.|
|Type of Contract||Deliverable via a Delivery EFP|
|Effect of Contract||In fulfilment of each Contract the Buyer and Seller must enter into a Delivery EFP on the terms directed by the Approved Clearing Facility|
|Contract Months||January, February, March, April, May, June, July, August, September, October, November, December, available to trade the next 36 months|
|Trading Hours||10:00am – 4:00pm AEST/AEDT|
|Manner of quoting Futures Price||Prices are quoted in A$ and cents per GJ of gas per day|
|Minimum fluctuations for quoting Futures Price||$0.01 per GJ of natural gas per day.|
|Final Trading Day||Five (5) business days prior to start of the commencement of the Settlement Month|
|Time at which trading ceases on the Final Trading Day||12:00 noon (except that Block Trades may be agreed at any time up to 3:00 pm on the Final Trading Day and that between 12:00 noon and 3:00 pm only the Block Trade minimum threshold is 1 lot)|
|Exchange for Physical (EFP)||EFP’s allowed|
|Final Time by which an Exchange for Physical transaction may be submitted for cancellation||3:30 pm on the Final Trading Day (note this is a standard Exchange for Physical)|
|Block Trades||Block trades allowed subject to threshold size of 5 lots. Where a Block Trade is agreed between 12:00 noon and 3:00 pm on the Final Trading Day, then the threshold for that Block Trade will be 1 lot.|
|Final Time by which a Block Trade may be submitted for cancellation||3:30 pm on the Final Trading Day|
|Settlement Value||The Settlement Value shall be calculated by the Approved Clearing Facility by multiplying the Daily Settlement Price on the Final Trading Day by 100 and multiplying by the number of days in the calendar month.|
|Delivery||On or by the Settlement Day:(a) Seller shall register an Exchange for Physical with the Market Operator; and(b) Buyer shall register an Exchange for Physical with the Market Operator,in accordance with the Procedures and the operating rules of the Approved Clearing FacilityThe physical transaction component of that Delivery EFP shall be a GSH Transaction for the prescribed GSH Product.|
|Final time by which Seller must enter into and report Delivery EFP transaction to the Market Operator||4:30pm on the second Business Day following the Final Trading Day|
|Final time by which Buyer must enter into and report Delivery EFP transaction to the Market Operator||5:30pm on the second Business Day following the Final Trading Day|
The Final Trading Day for the Wallumbilla Natural Gas Futures contract will be five (5) business days before the start of the settlement month. At a high level, the delivery process comprises the following steps:
1. Matching of Buyers and Sellers
2. Provision of terms for Delivery EFP provided to Clearing Participants
3. Agreement of Delivery EFP and physical creation of trade on GSH
4. Delivery EFP reported to the Market Operator (ASX)
5. Future Contract component of Delivery EFP registered with ASX Clear (Futures)
6. Close Out of Open Futures Contracts
More information on the delivery process is provided in the attached Wallumbilla Natural Gas Calendar Month Futures Fact Sheet.
What do I need to do by when?
Participants and vendors should review the draft contract specifications and consider any changes required to support a Q2 2024 listing. ASX will continue discussions with Trading and Clearing Participants and software vendors over the coming months to discuss the contract specifications and change management.
Need more information?
Natasha van der Kolff
Commodities, Business Development
(02) 9338 0000