Market participants are advised that the reference price for each of the Australian Electricity Futures Contracts will change so that it is determined in accordance with a formula that uses the new 5 minute spot electricity settlement price calculated by the Australian Energy Market Operator (AEMO) from 1 October 2021. This change responds to AEMO’s announcement that the 30 minute spot electricity settlement price will change to a 5 minute spot electricity settlement price on 1 October 2021.
Market participants are also advised that additional expiries will be listed for trading in the Australian Base Load Electricity Cap Future Contract so that sufficient calendar quarters are always available to trade the next four (4) calendar years and three (3) financial years, or the next three (3) calendar years and four (4) financial years. The listing of additional expiries, combined with the change to the reference price, means that in practice the current 30 minute Cap Futures Contract will change to a 5 minute Cap Futures Contract on 1 October 2021. The product codes will remain the same (GN, GV, GQ, GS) and the additional expiries will be available in the Customer Development Environments (CDE and CDE+) from 22 February 2021.
Changes to the contract specifications of the Australian Electricity Futures Contracts contained in the ASX 24 Operating Rules are available here and changes to the associated Procedures are available here. The changes to the ASX 24 Operating Rules and associated Procedures will take effect on 22 March 2021, and will introduce new provisions that allow for the change to the reference price of each of the Australian Electricity Futures Contracts on 1 October 2021.
ASX Clear (Futures) has updated the margin parameters to include the additional expiries. The updated margin parameters can be found in Appendix 1.
Appendix 2 contains indicative initial margin parameters for future expiry ASX 24 Australian Electricity Base Load Cap Futures products.
ASX24 Trading and Clearing Participants and end users wishing to trade the Australian Base Load Electricity Cap Future Contract (GN, GV, GS and GQ) should ensure that internal systems and vendors are set up to support the additional expiry listings.
General Manager, Commodities
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