Notice

Introduction of pack and bundle product functionality on 90 Day NZ Bank Bill Futures

What's this about:
  • ASX 24 Market
  • Trading
  • Clearing
  • Product
  • Operations
  • Technology
  • Market Data
  • Rules
  • Compliance
  • Risk
  • Interest Rate Futures
  • OTC Cleared
  • 90 day Bank Bill Futures
  • New Zealand
  • BB
  • packs and bundles
Notice reference number: 1059.17.10
Date published: 03/10/17
Effective as of: 28/11/17
Last updated: 03/10/17

ASX will launch pack and bundle product functionality for the front 8 contracts (white and red packs and red bundle) of the 90 Day NZ Bank Bill Futures (BB) on 28th November 2017 at 5:40pm NZST/ 3:40pm AEST (Trade Date 29th November 2017).

A pack is a futures strip that enables participants to trade four successive Bank Bill Futures contract months as a single average price without the legging risk inherent in trading each Bank Bill Futures contract separately. Similarly, a Bundle will enable participants to trade all successive Bank Bill Futures contracts in the next two years.

Packs and Bundles will be available on the ASX 24 Trading Platform, with each product allocated its own ASX 24 code. There will be implied-in pricing from the underlying 90 Day NZ Bank Bill Futures (BB) into the packs and bundle. Upon execution, participants are allocated underlying Bank Bill futures.

NZ Pack and bundle products are listed in a similar manner to that of the ASX Australian 90 Day Bank Bill Futures (IR) packs and bundles (i.e. WP, RP, RB).

Key contract features (90 Day NZ Bank Bill Futures – BB)

·         Two Packs and one Bundle on the 90 Day NZ Bank Bill Futures (BB)

·         Minimum price increments of 0.01 basis points

·         The underlying Bank Bill Future legs are cleared at 0.01 basis point increments. Pack and bundle products are not cleared.

·        The last trading day will be one (1) trading day prior to the last trading day of the expiring underlying 90 Day NZ Bank Bill Futures spot contract

Product specifications are attached here[MB1] .

Trade Confirmation Messages

Trade messages will be supported via the ASX 24 Trading Platform protocols:

·        FIX order entry

·        FIX market data

·        FIX drop copy

·        ASX MDP (multicast)

The specifications for these interfaces are available in the NTP documents library.

Implied-in pricing functionality

Implied-in pricing functionality will be available, drawing prices and liquidity from the underlying Bank Bill Futures into the packs and bundle.  

Error cancellation rules

ASX will apply the cancellation ranges as outlined in ASX 24 Procedure 3200.9 on an individual leg basis for packs and bundles in the event of a cancellation request.

Exchange Fee

Per leg fee is the same as the headline fee on the 90 Day NZ Bank Bill Futures.

Commodity and Data Vendor Codes

The proposed ASX 24 Trading Platform commodity codes for the Packs and Bundles are:

Product Name

ASX 24 code

Underlying Futures Code

Underlying contract months

White Pack on 90 Day Bank Bill Futures

NW

BB

1st to 4th quarterly expiry months

Red Pack on 90 Day Bank Bill Futures

NR

BB

5th to 8th quarterly expiry months

2nd Year Bundle on 90 Day Bank Bill Futures

ZR

BB

1st to 8th quarterly expiry months

Data vendor codes will be communicated to the market prior to launch.

Initial Margins, Intra and Inter-commodity Offsets

Pack and Bundle products will not be margined. The underlying Bank Bill futures legs will be margined.

External Testing

External testing will be available in the ASX 24 Trading Platform Customer Development Environment (CDE+) from 16th October 2017 up until go live. 

What do I need to do by when?

Participants and vendors are encouraged to access the new packs and bundle product functionality via the test environment from 16th October 2017.

Need more information?

Issued by

Monique Bell, Manager, Benchmarks and Short Term Interest Rate products

Contact information


Monique Bell

+61 (02)  9227 0208
monique.bell@asx.com.au

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