Au Electricity Cap Futures Contract – listing of additional expiry and change to margining methodology
Mon 13 Jul 2020
As per ASX Notice 0770.20.07 on 07 August 2020, ASX will list an additional expiry in the Australian Base Load Electricity Cap Futures Contract so that Calendar Quarters will be available for trading until 30 September 2021.
The product codes to be listed are GNU1, GVU1, GQU1 and GSU1.
In addition to the above, ASX will amend the margining methodology for the Australian Electricity Base Load Cap Futures Contracts to allow for more accurate margining of this Contract. The amendments include changing the price scanning ranges from being expressed as a percentage of the contract price to being expressed as an absolute dollar value, and the explicit introduction of seasonality. Both changes will better capture the variability of price risk throughout the year.
The new margining methodology will apply to all listed Australian Electricity Base Load Cap Futures Contracts with effect from 07 August 2020.
The new margining parameters will be published shortly.
What do I need to do by when?
Participants should update their systems (as required) to take account of the additional expiry that will be listed for trading in the Australian Base Load Electricity Cap Futures Contract and the change in margining methodology for this Contract.
Data vendors should note that data feeds will include the additional expiry that will be listed for trading in the Australian Base Load Electricity Cap Futures Contract.
Need more information?
Bradley Campbell - General Manager, Energy & Commodities
+61 (02) 9227 0900