Notice reference number: Notice date: 2/04/2015

Transcription

1 Notice Notice reference number: 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 advising the launch of ASX New Zealand Natural Gas futures this Notice contains supplemental information for market participants in relation to the new contracts: 1BIInitial 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) ASX 24 Operating Rules $8,500 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? 2BInstructions 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 [email protected] Alternate Contact: Chris Pugh Manager, Energy Sales [email protected] Disclaimer Page 1 of 6

2 5 ASX Notice Notice ASX 24 Operating Rule Procedures [New Specifications not marked up] Procedure Subject Contract Unit Settlement Price New Zealand Natural Gas Futures Contract Calendar Quarter Determinations The grid reference point is the Frankley Road Hub in New Zealand. The period is a Calendar Quarter. The emstradepoint Index is the Frankley Road Natural Gas Quarterly Index. Manner of quoting Futures Price Minimum fluctuations for quoting Futures Price Time at which Settlement Price is declared Calculation of Settlement Value Trading Hours Settlement Months Final Trading Day Time at which trading ceases on Final Trading Day Settlement Day Final time by which Seller s obligations must be satisfied Final time by which Buyer s obligations must be satisfied New Zealand dollars (NZD) per GJ of natural gas per day $0.01 per GJ of natural gas per day At 11:00am New Zealand time on the first Business Day following the Final Trading Day. Calculations shall be carried out to 2 decimal places. The period is a Calendar Quarter. 10:30 am 4:00 pm New Zealand standard time 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. The last Business Day of the Calendar Quarter 4:00pm New Zealand standard time The second Business Day following the Final Trading Day Page 2 of 6

3 Procedure Subject Contract Unit Settlement Price New Zealand Natural Gas Futures Contract - Calendar Month Determinations The grid reference point is the Frankley Road Hub in New Zealand. The period is a Calendar Month. The emstradepoint Index is the Frankley Road Natural Gas Monthly Index. Manner of quoting Futures Price Minimum fluctuations for quoting Futures Price Time at which Settlement Price is declared Calculation of Settlement Value Trading Hours Settlement Months Final Trading Day Time at which trading ceases on Final Trading Day Settlement Day Final time by which Seller s obligations must be satisfied Final time by which Buyer s obligations must be satisfied New Zealand dollars (NZD) per GJ of natural gas per day $0.01 per GJ of natural gas per day At 11:00 am New Zealand time on the first Business Day following the Final Trading Day. Calculations shall be carried out to 2 decimal places. The period is a Calendar Month. 10:30 am 4:00 pm New Zealand standard time January, February, March, April, May, June, July, August, September, October, November, December, between 4 to 6 months ahead. The last Business Day of the Calendar Month 4:00 pm New Zealand standard time The second Business Day following the Final Trading Day Page 3 of 6

4 Determination of Daily Settlement Price Procedure 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 Cancellation Ranges Ranges for Energy Futures Products Futures Contracts NCR QCR (Lower QCR (Upper Start of ETR % means distance from Reference Price Limit) Limit) 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 1.5% DP > 1.5% DP 15% DP > 15% DP Strip 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 ELECTRICITY ENERGY Australian electricity futures (including cap futures and strip products) Australian electricity options (including strip options) 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 Page 4 of 6

5 New Zealand Electricity Futures (including strip products) New Zealand Electricity Strip Options Victorian Wholesale 30seconds 30 seconds 90 seconds 1 lot Gas Futures (including strip products) Victorian Wholesale Gas Strip Options NZ Gas Wallumbilla Gas 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 APPLICABLE CONTRACTS NEW ZEALAND ELECTRICITY FUTURES CONTRACT NEW ZEALAND ELECTRICITY STRIP OPTIONS All All All MINIMUM THRESHOLD 5 lots 5 lots 5 lots CHANGE OF SPOT MONTH (DAYS PRIOR TO EXPIRY) N/A N/A N/A NEW ZEALAND GAS Page 5 of 6

6 MINIMUM TRADING INCREMENT APPLICABLE AGREEMENT HOURS NOTIFICATION TO THE EXCHANGE REGISTRATION TIMES METHOD OF REGISTRATION NZ$0.01 NZ$0.01 NZ$0.01 Block Trades may be agreed at any time, except during the pre-open period (10:20am to 10:30am NZST). during the contract trading session and up to one hour after the close, notification is required within 5 minutes of the parties reaching agreement. and later than one hour after the close, notification is required on the next Business Day between the hours of 10:00am and 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. and later than one hour after the close, registration must occur on the next Business Day between 10:00am and 10:20am NZST. Block Trades may be agreed at any time, except during the pre-open period (10:20am to 10:30am NZST). during the contract trading session and up to one hour after the close, notification is required within 5 minutes of the parties reaching agreement. the close, notification is required on the next Business Day between the hours of 10:00am and 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. the close, registration must occur on the next Business Day between 10:00am and Electronic Electronic Electronic Block Trades may be agreed at any time, except during the pre-open period (10:20am to 10:30am NZST). during the contract trading session and up to one hour after the close, notification is required within 5 minutes of the parties reaching agreement. the close, notification is required on the next Business Day between the hours of 10:00am and 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. the close, registration must occur on the next Business Day between 10:00am and Page 6 of 6