Share
- Release Date: 17/10/12 13:32
- Summary: DAIRY: NZX: Proposed change to NZX dairy futures final settlement price
- Price Sensitive: No
- Download Document 2.59KB
NZX
17/10/2012 11:32
DAIRY
REL: 1132 HRS NZX Limited
DAIRY: NZX: Proposed change to NZX dairy futures final settlement price
MEMORANDUM
To: NZX Derivatives Market Participants
From: NZX Limited
Date: 17 October 2012
Proposed change to final settlement price for NZX dairy futures contracts.
NZX would like to inform the market of a proposed change in methodology to
the final settlement price calculation for WMP Futures (NZX Derivatives
Market Contract No.1), AMF Futures (NZX Derivatives Market Contract No.2) and
SMP Futures (NZX Derivatives Market Contract No.3).
Currently final settlement price methodologies are outlined in relevant
Contract Terms and Administrative Procedures, whereby the final settlement
price is the mean of the winning GDT prices, (in specified products and
contract periods as stated in the contract specifications) from auctions
occurring during the GDT period. Currently this GDT period includes the
second GDT event in any calendar month and the first GDT event in the
following month.
NZX proposes to change the final settlement price calculation and expiry
dates so that the GDT period includes auctions in the same calendar month. At
present there are two GDT auctions in each month such that the proposed new
final settlement price will be the mean of GDT winning prices (in specified
products and contract periods as stated in the contract specifications) from
all auctions in the same calendar month.
For example, currently the final settlement price in Feb 13 WMP Futures would
be a mean of winning prices for Whole Milk Powder, Regular - NZ, Contract 2,
from 19th February 2013 (UTC/GMT) GDT auction and 5 March 2013 (UTC/GMT) GDT
auction.
If the proposed change is adopted the final settlement price in Feb 13 WMP
Futures would be a mean of winning prices for Whole Milk Powder, Regular -
NZ, Contract 2, from 5th February 2013 (UTC/GMT) auction and 19th February
2013 (UTC/GMT) auction.
Expiry dates would change accordingly such that February 13 WMP Futures would
expire prior to the GDT auction on 19th February 2013.
Subject to NZX obtaining any required approvals, NZX proposes to implement
the above changes as soon as practicable and after consulting with
derivatives market participants and end customers.
NZX's intention is to bring the proposed change into effect for contracts
with no open interest. Contracts for expiry months with existing open
interest will not be impacted.
For information or to provide feedback please contact:
Kathryn Jaggard
Head of Derivatives
[email protected]
+64 (9) 368 1242
End CA:00228547 For:NZX Type:DAIRY Time:2012-10-17 11:32:17
