The purpose of the ASX 24 Notice is to provide market participants with a status update on the transition to cash settlement for the 90 Day Bank Bill Futures contract.  As outlined in ASX Market Notice 0846.19.08, ASX intends to introduce cash settlement commencing with the September 2020 futures contract.  Market participants are advised that ASX’s implementation is on schedule to meet this date, subject to regulatory clearance.  

Regulatory Status

ASX has submitted the new Operating Rules for the cash settled contract for regulatory clearance.  ASX will publish a market notice with the Operating Rules following the receipt of formal regulatory clearance.

Contract Specifications

Key features of the cash settled 90 Day Bank Bill Futures contract are:

·         Cash settled using 3 month BBSW as the settlement rate published at 10.28am on the Last Trading Day.  The expiry settlement price shall be calculated as 100 minus the 3 month BBSW rate.  The BBSW rate will be rounded to 3 decimal places to the nearest 0.001%, 0.0005% rounded up.

·         The cash settlement price shall be published at 10.30am on the Last Trading Day (second Thursday of the expiry month.

·         The Last Trading Day is the second Thursday following the first Friday of the expiry month.

·         The contract expiry time will be 7.00am / 7.30am AEST / AEDT on the business day prior to the settlement day.

·         The settlement day is defined as the Friday following the second Thursday of the expiry month.

For further details please refer to the draft specifications attached.

Expiry Timetable

Please refer to the attached timeline for further information on the expiry timetable.

Expiry Concentration Position Limits

Subject to regulatory approval, the spot month Expiry Position Limit will be 20,000.  These limits will come into effect at 4.30pm AEST / AEDT on the day prior to expiry.  These Expiry Concentration Position Limits should be considered as hard limits applicable to all market users (with beneficial ownership applied at ‘group’ level), regardless of the particular type or style of trading activity undertaken.  For further details on Expiry Concentration Position Limits please refer to the ASX 24 Operating Rules.

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Issued by

Kristye van de Geer
Senior Manager, Interest Rate Products

Contact information

Kristye van de Geer
+61 (02)  9227 0130
kristye.vandegeer@asx.com.au

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