Peak Load Electricity Futures Strip

Commodity Code on SYCOM - 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 Sycom.

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 Sycom.

Example:

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

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

Pricing convention in the defined market window in Sycom 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.