Notice

S&P/ASX 200 Gross Total Return Index Futures (AT) - Changes to ASX 24 Procedures with respect to Anomalous Order Threshold/No Cancellation Ranges

What's this about:
  • ASX 24 Market
  • Equity Derivatives
  • Futures
  • Clearing
  • Trading
  • Product
  • Operations
  • Technology
  • Compliance
  • Rules
  • AOT
  • NCR
  • GTR
  • Gross Total Return
Notice reference number: 0033.20.01
Date published: 10/01/20
Effective as of: 10/01/20
Last updated: 10/01/20

With immediate effect there will be a change to the Anomalous Order Threshold / No Cancellation Range (AOT/NCR) table in the ASX 24 Procedures (specifically 3200.10) on the S&P/ASX 200 Gross Total Return (AT) Futures for the 5th and 6th contracts. The changes are shown below in bold & underlined. The purpose of the change is to have a suitable AOT/NCR framework in place for the contract in the event of an error if liquidity were to build in the distant months.

S&P/ASX 200 Gross Total Return Index Futures – Anomalous Order Threshold/No Cancellation Range changes – Procedure 3200.10

Futures Contracts

Spot

AOT/NCR

Spot+1

AOT/NCR

Spot+2

AOT/NCR

Spot+3

AOT/NCR

Spot+4

AOT/NCR

Spot+5

AOT/NCR

Spot+6

AOT/NCR

Spot+7

AOT/NCR

SPI 200 0.50% 0.50% 0.50% 0.50% 0.90% 0.90% 1.00% 1.00%
Adjustment Factor Basis Points 25 25 25 25 45 45 50 50
Mini SPI 200 1.00% 1.00% 1.00% 1.00% - - - -
Adjustment Factor Basis Points 25 25 25 25 - - - -
S&P/ASX 200 Gross Total Return Index Futures Contract 0.50% 0.50% 0.50% 0.50% 0.90% 0.90% - -
Adjustment Factor Basis Points 25 25 25 25 45 45 - -

 

What do I need to do by when?

Participants and vendors should take note of the change and update any applicable systems if required.

Need more information?

Issued by

Gregory Pill – Head of Equity Derivative Products

Contact information

Gregory Pill
+61 (02)  9227 0696
greg.pill@asx.com.au