Following a review of Expiry Position Limits on ASX 24 Interest Rate Futures products, the following changes will come into effect from the December 2021 expiry onwards:
· Introduction of Expiry Position Limits on the New Zealand 90 Day Bank Bill Futures (BB) contract. An Expiry Position Limit of 17,500 contracts will apply to the spot contract to protect and maintain the orderliness and functioning of the futures market during the expiry and to align with the procedures for other Interest Rate Futures contracts;
· Increase the Expiry Position Limit on the 10 Year Treasury Bond Future. The Expiry Position Limit will be raised from the current 28,500 contracts to 40,000 contracts to reflect the growth in Open Interest in this contract; and
· Reduce the Expiry Position Limit on the 20 Year Treasury Bond Future. The Expiry Position Limit will be reduced from the current 15,000 contracts to 6,500 contracts to reflect the relative size of Open Interest in this contract.
Expiry Position Limits are hard limits that apply to the spot contract only and come into effect at the end of the trading day prior to the quarterly day of expiry (T-1). Please note that for Australian products this is 4:30pm Sydney time. For the New Zealand 90 Day Bank Bill Futures this is 4:30pm New Zealand time. Expiry Position Limits are applied at a group level unless an exemption has been sought and granted by the Market Operator. A marked up copy of the procedure changes can be accessed here.
ASX 24 Participants are encouraged to familiarise themselves with changes to the Expiry Position Limits and to update internal procedures and processes to reflect these changes.
Manager Interest Rate Products