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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.
