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Notice
Participants are advised that ASX intends to list 90 Day Bank Accepted Bills Serial Futures on the ASX 24 market targeting Q4 2024 for product launch, subject to regulatory approval and internal/external readiness. The front two expiry months will be listed at any one time, with the first expiry months expected to be the November 2024 and January 2025 contracts.
The 90 Day Bank Accepted Bills Serial Futures contracts are designed to complement the existing Bank Bills Futures and support the evolving structure of the underlying market. The contract will provide additional liquidity points and facilitate hedging requirements between the quarterly listed contracts, allowing participants to manage their risk exposure in a more efficient and effective manner.
Target listing date
The target listing date is Q4 2024, subject to regulatory approval and internal/external readiness. ASX will continue engage with Trading and Clearing Participants and software vendors to discuss the contract specifications and the change management program.
The external ASX24 test environment is expected to be available from August 2024. A market notice will be published later in July 2024 to confirm the availability of the Customer Development Environment (CDE) and target go live date.
Draft Contract specifications (subject to regulatory clearance)
The 90 Day Bank Accepted Bills Serial Futures will apply the same Expiry Settlement Price methodology as the existing Quarterly Futures. The key contract specifications are outlined below.
Commodity Code |
IR |
Target go live date |
Q4 2024 |
List on CDE/CDE+ |
August 2024 |
Contract Unit |
A$1,000,000 face value 90-Day Bank Accepted Bills of exchange or EBAs |
Contract Months |
Serial futures are listed in non-financial quarter months (January, February, April, May, July, August, October and November) with two serial months listed at all times. |
Minimum Price Movement |
Prices are quoted in yield per cent per annum in multiples of 0.01 per cent. For quotation purposes the yield is deducted from an index of 100. The minimum fluctuation of 0.01per cent equals approximately $24 per contract, varying with the level of interest rates. |
Contract Expiry |
8.29am on the business day immediately prior to settlement day. The Expiry Settlement Price is determined at 10:30am on the final trading day. |
Settlement Method |
Cash settled. The expiry settlement price shall be calculated as 100 minus the 3 month BBSW rate published on the Last Trading Day. The 3 month BBSW rate will be rounded to 3 decimal places to the nearest 0.001 per cent, 0.0005 per cent rounded up. |
Trading Hours |
5:10pm-7:00am and 8:30am- 4:30pm (for period from 2nd Sunday in March to 1st Sunday in November) 5:10pm- 7:30am and 8:30am- 4:30pm (for period from 1st Sunday in November to 2nd Sunday in March) |
Settlement Day |
The second Friday of the delivery month. |
Expiry Position Limit |
35,000 contracts |
Spreads |
Intra-spreads only at start |
Fees |
Headline ASX24 fee $0.90 per side, Exchange For Physical fee $0.70 per side. |
What do I need to do by when?
Participants and vendors should review the draft contract specifications and consider any changes required to support a Q4 2024 listing. ASX will continue to engage Trading and Clearing Participants and software vendors to discuss the contract specifications and change management program.
Need more information?
Issued by
Jennifer Eason, Product Manager, Rates Products
Contact information
Jennifer Eason
+61 (02) 9227 1612
Jennifer.Eason@asx.com.au