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AMO
Notice
Participants are advised that starting in March 2024, and at each quarterly expiry during 2024, ASX will not list a new back contract for the 90-Day Bank Accepted Bills product, shortening the Bank Bill curve from five years to four years. There are currently 20 quarterly contracts listed over 5 years (up to 60 months ahead), with the final 4 contracts (the fifth year) known as the ‘Gold’ contracts. The back four Bills contracts have not traded in several years and there is no open interest outstanding.
The number of contracts available will decrease following each quarterly expiry during 2024 and ASX Rules and Procedures will be updated as follows effective 1 February 2024:
Commencing February 2024:
At the expiry of the March 2024 contract up to 57 months ahead;
At the expiry of the June 2024 contract up to 54 months ahead;
At the expiry of the September 2024 contract up to 51 months ahead;
At the expiry of the December 2024 contract up to 48 months ahead.
By the end of 2024, the number of quarterly contracts listed in the Bank Bills will be 16, spanning 4 years. Listing of back contracts will resume in March 2025.
What do I need to do by when?
Participants should note and communicate to clients that no gold contracts will be available in the 90-Day Bank Accepted Bills futures product by the end of 2024.
Need more information?
Issued by
Jennifer Eason, Product Manager, Rates Products
Contact information
Jennifer Eason