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Electricity futures strip trading

Commodity Code on ASX Trade24 - DN, DQ, DS, DV (N=NSW, Q=QLD, S=SA, V=VIC)

Contracts Used - PN, PQ, PS, PV

Refers to four consecutive Peak Load Electricity contract months of a particular region, traded at an average price. A Peak Electricity strip may be traded either as a financial year (September, December, March and June contracts) or calendar year strip (March, June, September and December contracts)

Peak Load Electricity Strip Markets have their own defined market window in ASX Trade24.

The Exchange's standard for defining an electricity Strip market will be the last expiry month for that Strip market will denote the contract month to identify that Strip Market in the defined market window in ASX Trade24.

Example:

DNM6 = PNU5+PNZ5+PNH6+PNM6
DNZ6 = PNH6+PNM6+PNU6+PNZ6

The ASX Trade24 code Z specifies December denotes a calendar year and the ASX Trade24 code M specifies June denotes a financial year.

Pricing convention in the defined market window in ASX Trade24 will be the MWH weighted average price of the quarterly futures contracts in the Strip.

Pricing

The price of a calendar year strip will represent:

(Q1 price * Q1 contract size + Q2 price * Q2 contract size + Q3 price * Q3 contract size + Q4 price * Q4 contract size) / (Q1 contract size + Q2 contract size + Q3 contract size + Q4 contract size).

Where contact size relates to the MWH exposure of the relevant contract.

Commodity code on ASX Trade24 - HN, HQ, HS, HV (N=NSW, Q=QLD, S=SA, V=VIC)

Contracts used - BN, BQ, BS, BV

Refers to four consecutive base load electricity contract months of a particular region, traded at an average price. A base electricity strip may be traded either as a financial year (September, December, March and June contracts) or calendar year strip (March, June, September and December contracts)

Base load electricity strip markets have their own defined market window in ASX Trade24.

ASX's standard for defining an electricity strip market will be the last expiry month for that Strip market will denote the contract month to identify that strip market in the defined market window in ASX Trade24.

Example:

HNM6 = BNU5+BNZ5+BNH6+BNM6
HNZ6 = BNH6+BNM6+BNU6+BNZ6

The ASX Trade24 code Z (December) denotes a calendar year and the ASX Trade24 code M (June) denotes a financial year.

Pricing convention in the defined market window in ASX Trade24 will be the MWH weighted average price of the quarterly futures contracts in the Strip.

Pricing

The price of a calendar year strip will represent:

(Q1 price * Q1 contract size + Q2 price * Q2 contract size + Q3 price * Q3 contract size + Q4 price * Q4 contract size) / (Q1 contract size + Q2 contract size + Q3 contract size + Q4 contract size).

Where contact size relates to the MWH exposure of the relevant contract.

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