Notice reference number: 0313.15.04 Notice date: 2/04/2015
What’s this about? Effective date: 7/04/2015
ASX Trade ASX 24
Trading Clearing Settlement
Operations Technology Market Data Rules Compliance Risk Other
0B Title
ASX New Zealand Natural Gas Futures: New Contracts (Supplemental Information) Description
Further to the prior ASX Notice 0187.15.13 advising the launch of ASX New Zealand Natural Gas futures this Notice contains supplemental information for market participants in relation to the new contracts:
1BI
Initial Margin Rates
ASX New Zealand Natural Gas Calendar Month Futures (EX)
Margin Type Rate
Price Scanning Range 10% Inter-Month Spread Charge
(all expiries) $3,000
ASX New Zealand Natural Gas Calendar Quarter Futures (EY)
Margin Type Rate
Price Scanning Range 10% Inter-Month Spread Charge
(all expiries) $8,500 ASX 24 Operating Rules
Amendments to the ASX 24 Operating Rules to support the new contracts are attached to this Notice. What do I need to do and by when?
2B
Instructions
Market Participants are advised to update their back office procedures and systems as appropriate based on the information provided on risk parameters in this Notice.
Need more information? Issued by
Paul Roberts – Senior Manager, Energy & Commodities Contact Details
+61 2 9227 0538 [email protected] Alternate Contact:
Chris Pugh – Manager, Energy Sales +61 9227 0421
[email protected] Disclaimer
ASX 24 Operating Rule Procedures [New Specifications – not marked up]
Procedure 2.69.4.1 New Zealand Natural Gas Futures Contract – Calendar Quarter
Subject Determinations
Contract Unit The grid reference point is the Frankley Road Hub in New Zealand.
The period is a Calendar Quarter.
Settlement Price The emsTradepoint Index is the Frankley Road Natural Gas Quarterly Index.
Manner of quoting Futures
Price New Zealand dollars (NZD) per GJ of natural gas per day Minimum fluctuations for
quoting Futures Price $0.01 per GJ of natural gas per day Time at which Settlement
Price is declared At 11:00am New Zealand time on the first Business Day following the Final Trading Day. Calculation of Settlement
Value Calculations shall be carried out to 2 decimal places. The period is a Calendar Quarter. Trading Hours 10:30 am – 4:00 pm New Zealand standard time Settlement Months March/June/September/December, such that sufficient
Quarter Months are always available for market
participants to trade the next two Calendar years and one Financial Year or one Calendar year and two Financial Years.
Final Trading Day The last Business Day of the Calendar Quarter Time at which trading ceases
on Final Trading Day 4:00pm New Zealand standard time
Settlement Day The second Business Day following the Final Trading Day Final time by which Seller’s
obligations must be satisfied In accordance with Daily Settlement Process Final time by which Buyer’s
Procedure 2.69.4.2 New Zealand Natural Gas Futures Contract - Calendar Month
Subject Determinations
Contract Unit The grid reference point is the Frankley Road Hub in New Zealand.
The period is a Calendar Month.
Settlement Price The emsTradepoint Index is the Frankley Road Natural Gas Monthly Index.
Manner of quoting Futures
Price New Zealand dollars (NZD) per GJ of natural gas per day Minimum fluctuations for
quoting Futures Price $0.01 per GJ of natural gas per day Time at which Settlement
Price is declared At 11:00 am New Zealand time on the first Business Day following the Final Trading Day. Calculation of Settlement
Value Calculations shall be carried out to 2 decimal places. The period is a Calendar Month. Trading Hours 10:30 am –4:00 pm New Zealand standard time
Settlement Months January, February, March, April, May, June, July, August, September, October, November, December, between 4 to 6 months ahead.
Final Trading Day The last Business Day of the Calendar Month Time at which trading
ceases on Final Trading Day
4:00 pm New Zealand standard time
Settlement Day The second Business Day following the Final Trading Day Final time by which Seller’s
obligations must be satisfied
In accordance with Daily Settlement Process
Final time by which Buyer’s obligations must be
satisfied
Determination of Daily Settlement Price Procedure 2500
2500.1 Futures Daily Settlement Price Procedures
(a) Immediately following the Close of a Market, an Interim Daily Settlement Price for each Futures Contract month shall be displayed on the Trading Platform. Interim Daily Settlement Prices shall be calculated by the Exchange by using any one, or a combination, of the following methods:
….
(ix) where the Contract is Renewable Energy Certificates, NZ Electricity, NZ Gas or Wallumbilla Gas as per the published Energy Market Policy.
Request for Cancellation Procedure 3200
3200.9 Cancellation Ranges Ranges for Energy Futures Products Futures Contracts
% means distance from Reference Price
NCR QCR (Lower
Limit) QCR (Upper Limit) Start of ETR Base Load Electricity 1.5% DP > 1.5% DP ≤ 15% DP > 15% DP Peak Load Electricity 1.5% DP > 1.5% DP ≤ 15% DP > 15% DP Base Load Electricity Strip 1.5% DP > 1.5% DP ≤ 15% DP > 15% DP Peak Load Electricity Strip 1.5% DP > 1.5% DP ≤ 15% DP > 15% DP Base Load Electricity Cap 1.5% DP > 1.5% DP ≤ 15% DP > 15% DP Base Load Electricity Cap
Strip 1.5% DP > 1.5% DP ≤ 15% DP > 15% DP
VIC Gas 1.5% DP > 1.5% DP ≤ 15% DP > 15% DP
VIC Gas Strip 1.5% DP > 1.5% DP ≤ 15% DP > 15% DP
NZ Gas 1.5% DP > 1.5% DP ≤ 15% DP > 15% DP
Wallumbilla Gas 1.5% DP > 1.5% DP ≤ 15% DP > 15% DP Pre- Negotiated Orders
Procedure 4401
For the purposes of Rule [4401] the following Contracts may only be pre-negotiated as follows:
CONTRACT MINIMUM PRESCRIBED TIME BETWEEN MESSAGE AND ENTRY OF ORDERS: OUTRIGHT MARKET MINIMUM PRESCRIBED TIME BETWEEN MESSAGE AND ENTRY OF ORDERS CUSTOM MARKET AFTER PRESCRIBED TIME HAS ELAPSED – TIME ALLOWED FOR ORDER EXECUTION+ MINIMUM VOLUME THRESHOLD ELECTRICITY ENERGY Australian electricity futures (including cap futures and strip products)
30 seconds 30 seconds 90 seconds 1 lot
Australian electricity options (including strip options)
New Zealand Electricity Futures (including strip products)
30 seconds 30 seconds 90 seconds 1 lot
New Zealand Electricity Strip Options
30 seconds 30 seconds 90 seconds 1 lot
Victorian Wholesale Gas Futures (including strip products)
30seconds 30 seconds 90 seconds 1 lot
Victorian Wholesale
Gas Strip Options 30 seconds 30 seconds 90 seconds 1 lot
NZ Gas 30 seconds 30 seconds 90 seconds 1 lot
Wallumbilla Gas 30 seconds 30 seconds 90 seconds 1 lot
Exchange for Physical
Procedure 4800
For the purpose of Rule [4800] EFPs may only be effected as follows: FUTURES COMPONENT OF EFP
Acceptable evidence of the future
A Futures Statement issued by an ASX Clear (Futures) Participant confirming the futures position resulting from the EFP transaction.
PHYSICAL COMPONENT OF EFP
Exchange Product Exchanged for Examples of acceptable evidence of the physical
Energy Futures and
Options Where the Over The Counter (OTC) component of an EFP is within 10% of the size (e.g. MWhs / GJ / Tonnage) or value, the following are accepted:
Australian and New Zealand Electricity: OTC Swaps, Caps and / or Options against Electricity Futures and / or Futures Options.
Australian and New Zealand Gas: OTC Swaps and / or Options, and
physical gas against Gas Futures and / or Futures Options
Energy EFP – a confirmation based on an underlying ISDA Agreement (or equivalent legally binding agreement), confirming that the physical component of the
transaction is legally binding between the two parties to the EFP.
Block Trade Orders Procedure 4820
For the purposes of Rule [4820] the Exchange has prescribed the following Derivatives Market Contracts and conditions for the Block Trade Facility:
CONTRACTS NEW ZEALAND ELECTRICITY FUTURES CONTRACT
NEW ZEALAND ELECTRICITY STRIP OPTIONS
NEW ZEALAND GAS
APPLICABLE
CONTRACTS All All All MINIMUM THRESHOLD 5 lots 5 lots 5 lots
CHANGE OF SPOT MONTH (DAYS PRIOR TO EXPIRY)
MINIMUM TRADING
INCREMENT NZ$0.01 NZ$0.01 NZ$0.01 APPLICABLE
AGREEMENT HOURS Block Trades may be agreed at any time, except during the pre-open period (10:20am to 10:30am NZST).
Block Trades may be agreed at any time, except during the pre-open period (10:20am to 10:30am NZST).
Block Trades may be agreed at any time, except during the pre-open period (10:20am to 10:30am NZST).
NOTIFICATION TO THE
EXCHANGE For Block Trades agreed during the contract trading session and up to one hour after the close, notification is required within 5 minutes of the parties reaching agreement.
For Block Trades agreed outside the trading session and later than one hour after the close, notification is required on the next Business Day between the hours of 10:00am and 10:20am NZST.
For Block Trades agreed during the contract trading session and up to one hour after the close, notification is required within 5 minutes of the parties reaching agreement.
For Block Trades agreed outside the trading session and later than one hour after the close, notification is required on the next Business Day between the hours of 10:00am and 10:20am NZST.
For Block Trades agreed during the contract trading session and up to one hour after the close, notification is required within 5 minutes of the parties reaching agreement.
For Block Trades agreed outside the trading session and later than one hour after the close, notification is required on the next Business Day between the hours of 10:00am and 10:20am NZST.
REGISTRATION TIMES For Block Trades agreed during the trading session and up to one hour after the close, the Trading Participant must complete registration within five minutes of the agreed terms being communicated to the Exchange.
For Block Trades agreed outside the trading session and later than one hour after the close, registration must occur on the next Business Day between 10:00am and 10:20am NZST.
For Block Trades agreed during the trading session and up to one hour after the close, the Trading
Participant must complete registration within five minutes of the agreed terms being communicated to the Exchange.
For Block Trades agreed outside the trading session and later than one hour after the close, registration must occur on the next Business Day between 10:00am and 10:20am NZST.
For Block Trades agreed during the trading session and up to one hour after the close, the Trading
Participant must complete registration within five minutes of the agreed terms being communicated to the Exchange.
For Block Trades agreed outside the trading session and later than one hour after the close, registration must occur on the next Business Day between 10:00am and 10:20am NZST.
METHOD OF