Daily Settlement Price Procedures for Month Futures Products
Wed 29 Jan 2014
Minor enhancements have been made to the Daily Settlement Price (DSP) procedures for AU and NZ electricity futures, effective 18th January 2014. The Cash Settlement Price of expired Month Futures will contribute to the arbitrage-free DSP methodology of related listed Month Futures and Quarter Futures.
This enhancement has been implemented to improve the robustness of DSPs of short dated futures, when one or two months of a listed quarter have expired.
Please refer to the Energy Market Policy for a description of the DSP methodology.
Please contact a member of the ASX Energy team if you would like more information.