Settlement price changes

Report notes

1. The report shows settlement price changes at selected trade dates for exchange-traded instruments, specifically New Zealand electricity futures contracts traded on the ASX platform.

2. A settlement price is determined for each contract at the end of every trading day, regardless of whether any trades for the particular contract occur. The process for determining the daily settlement price can be seen at http://www.asx.com.au/documents/products/energy-market-policy.pdf. The Authority acquires ASX data on a subscription basis and receives it following the close of trade each day. See http://www.asx.com.au/products/energy-derivatives/new-zealand-electricity.htm for a complete description of contract specification terms, including reference locations, units, commodity types, and contract durations.

3. The series filter enables a specific time span to be chosen relative to the selected trade date. Each line on the plot then shows the settlement prices for all actively-traded contracts as at each of the resulting trade dates. The report therefore allows prices changes across time to be easily observed.

4. Duration refers to the time period over which futures and options contracts are defined. Currently used durations are monthly, quarterly, or calendar-year strips. Monthly contracts are introduced at the beginning of each quarter for the two quarters ahead. Quarterly contracts for all quarters in a year are introduced on the first trading day of the fourth quarter for the quarters of the year four years ahead. Monthly and quarterly contracts may be traded from the time they are introduced until they expire. Strips contain a strip of four quarterly contracts covering one calendar year. They are introduced at the beginning of the fourth quarter for the year four years ahead, and may be traded up until the end of the first quarter in their year of expiration.

5. Commodity types are baseload and peak. Baseload commodities refer to 0.1 MW of electrical energy per hour for every hour of the contract's duration. Peak commodities only exist for quarterly durations and refer to 0.1 MW of electrical energy per hour for all hours between 7:00am and 10:00pm on each business day within the contract's duration.