ASX Australian Electricity Futures Daily Settlement Price methodology changes
Thu 3 Apr 2025
As per Notice 0340.25.04, following consultation with the market with regards to enhancing the robustness of the Daily Settlement Price (DSP) for Australian Electricity Futures, ASX intends to make changes to the methodology used to determine the DSP. ASX is currently developing the required functionality to support the updated methodology, and implementation is currently expected in June 2025, subject to internal and external readiness.
Overview of the changes:
In Part A (1) (as described in ASX Electricity Futures and Options Contracts DSP Methodology document):
- The Trade Pre-Close Period (VWAP calculation window) will be amended from 2 minutes to 10 minutes.
For subsequent steps of the process, as described in ASX 24 Operating Rules 2500.1(a)(ii) to (iii):
- Final bids and final asks are considered for the calculation of DSP and must be held and unchanged for 10 seconds to be eligible for inclusion in the DPS calculation. The order hold time will be increased from 10 seconds to 60 seconds to be eligible for inclusion in the DSP calculation.
Notes:
- Orders must be held and unchanged for 60 seconds in the minute prior to the close of market.
- This will not preclude orders of shorter duration entering the market; however, these orders will not be included in the DSP calculation.
Further detailed information regarding the changes to the process will be provided soon.
What do I need to do by when?
Please review the above information. If you have any feedback, please provide this to commodities@asx.com.au.
Need more information?
Issued by
Jennifer Eason, Senior Manager, ASX Energy and Commodities
Contact information
Jennifer Eason
(02) 9227 1612
Jennifer.Eason@asx.com.au