Australian Power Indices

The methodology of selecting the component futures contracts for inclusion in both the NPI and the EPI index has been determined on the basis of contract liquidity and open interest.

1. National Power Index (NPI)

The NPI is calculated as the national average price of d-cypha SFE Electricity Futures contracts covering a calendar year and will be quoted for all available calendar years listed including the prompt with a cascading expiry. It represents a single national basket of electricity futures listed across the National Electricity Market (NEM) regions of NSW, VIC, SA and QLD.

The NPI is the average base load price of electricity across NSW, VIC, SA and QLD. It includes the 4 consecutive futures quarters which make up a calendar year, in each calendar year listed on the SFE including the prompt. Each calendar year NPI therefore represents the average MWh-weighted price of 16 component quarterly futures contracts with a combined minimum energy coverage of 35,040 MWh for each year. The prompt calendar year NPI may incorporate official cash settlement prices of expired quarters and non-expired futures quarters across the year.

NPI 2009 chart

2. Eastern Power Index (EPI)

The EPI is calculated as the national average price of d-cypha SFE Electricity Futures contracts covering a calendar year across the Australian Eastern Seaboard and will be quoted for all available calendars listed including the prompt, with a cascading expiry. It represents a single national basket of the most liquid electricity futures listed across the National Electricity Market (NEM) Eastern Seaboard regions of NSW, VIC and QLD.

The EPI represents the average base load price of electricity across the 3 most liquid regions of the NEM (NSW, VIC and QLD). It includes the 4 consecutive futures quarters which make up a calendar year, in each calendar year listed on the SFE including the prompt. The EPI therefore represents the average MWh-weighted price of 12 component quarterly futures contracts with a combined minimum energy coverage of 26,280 MWh for each year. The prompt calendar year EPI may incorporate official cash settlement prices of expired quarters and non-expired futures quarters across the year.

EPI 2009 chart

METHODOLOGY

The Index prices are calculated by taking the MWh-weighted average price of the component base load futures contract prices, rounded to 2 decimal places. 16 quarterly futures prices will be used to calculate a NPI and 12 quarterly futures prices will be used to calculate an EPI.

Worked example: Australian Power Index daily price calculation for the 2nd of July 2008 using official daily SFE settlement prices of underlying futures contracts as at 2nd July 2008. Note Calendar 2008 has already partially expired therefore the prices used for the Q1 2008 and Q2 2008 components are the official cash settlement prices for that quarter (as declared by the SFE) combined with the official daily prices for the other 2 futures quarters that make up calendar 2008:-

Calculation example

Australian Power Indices National and Eastern Seaboard [download, 177Kb]
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