Participant
Technical Services
Credential Services
Listed Company
Professional Adviser
Information Provider
Information Services
AMO
Notice
ASX will be implementing a fix, effective from Monday, 24 August 2020, to resolve an issue with the calculation of OIS coupons caused by a one day lag of receipt of the RBA Overnight Cash Rate (OCR). Price Alignment Amount (PAA) will apply at the prevailing RBA OCR rate available on each business day.
This fix will result in the OCR being mapped to the correct date (with no lag). See example outlined below:
|
|
Portfolio Balances |
|
Coupon OIS Reference Reset Rate |
|
||
Date |
Overnight Cash Rate |
Opening Balance |
Closing Balance |
Cumulative Variation Margin (MtMT) |
Current |
New |
Calculation* |
1 Jul 20 |
0.14 |
$75m |
$50m |
$75m |
|
|
|
2 Jul 20 |
0.13 |
$50m |
$100m |
$50m |
0.14 |
0.13 (set on the next business day) |
$191.78 (50m*0.14%*1/365) |
*PAA = MtMT x RateT x D/365 (for definitions refer to the ASX OTC Handbook)
There are no changes Participants OTC reports as part of this implementation.
Post implementation, if necessary a final set of coupon and portfolio balance adjustments will be made.
What do I need to do by when?
To be aware of the fix and update processes accordingly.
Need more information?
Issued by
Greg Fitzpatrick || Senior Manager, Clearing Operations
Contact information
Clearing Operations
t: 1800 240 033 (+61 2 8298 8479) | e: clearing@asx.com.au | f: +61 2 9256 0456