Participant
Technical Services
Credential Services
Listed Company
Professional Adviser
Information Provider
Information Services
AMO
Notice
Attached are the expiry prices, including the underlying quotes received to determine the expiry prices, for the March 2021 3 Year (YTH1), 5 Year (VTH1), 10 Year (XTH1) and 20 Year (LTH1) bond futures contracts.
Indicative Session Price Calculation
The 3 indicative session prices are calculated using the arithmetic mean of the quotations provided at the following session times: 9:45am, 10:30am and 11:15am.
For each session ASX will calculate the Indicative Session Prices as the average of the best bid and best offer available in the market for each bond in the bond basket. ASX will only use outright yields in its calculation, EFP prices will not be used.
If the best bid and best offer create an inverse or choice market, those yields will be discarded and the next best bid and best offer will be used to calculate the Indicative Session Price.
The arithmetic mean is truncated to 5 decimal places and rounded to the nearest 0.002 for 3 Years, 0.0025 for 5 Years, 0.001 for 10 Years and 0.0025 for 20 Years.
The indicative session price is then calculated by subtracting the rounded value from 100.
Final Settlement Price.
The final settlement price is the arithmetic mean from all indicative session quotations.
The arithmetic mean is truncated to 5 decimal places and rounded to the nearest 0.002 for 3 Years, 0.0025 for 5 Years, 0.001 for 10 Years and 0.0025 for 20 Years.
The final settlement price is then calculated by subtracting the rounded value from 100.
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