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Notice
On 21 March 2022, ASX released a consultation outlining proposed changes to the ASX Clear (Futures) OTC Rules and Handbook (OTC Rules and Handbook) to:
- Implement benchmark fallback rate provisions in relation to the OTC interest rate derivatives products cleared by ASX; and
- Introduce OTC product enhancements to support the Actual/Actual ICMA Day Count Convention for the clearing of Assets Swaps and the IMM AUD roll convention, the industry convention to enable swaps to roll on ASX’s bank bill futures dates.
This consultation closed on 29 April 2022.
ASX is pleased to confirm its proposed changes to the OTC Rules and Handbook which will have an effective date of 27 June 2022. The changes are summarised below:
Fallback rate provisions under the 2021 ISDA Definitions
ASX has amended the OTC Rules and Handbook to implement the fallback rate provisions for the BBSW and BKBM benchmark rates set out in the 2021 ISDA Definitions to both new and legacy trades effective 27 June 2022. As a result, all OTC Open Contracts (whether cleared by ASX prior to, on or after 27 June 2022) will be treated as if they incorporated the relevant fallback provisions contained within the 2021 ISDA Definitions. That means (subject to the OTC Rules or any specific actions determined by ASX in its absolute discretion), ASX will apply any Permanent Cessation Fallback under the 2021 ISDA Definitions to an OTC Open Contract affected by an Index Cessation Event or Administrator/Benchmark Event.
OTC product enhancements
To support the activity of its customers, ASX has amended its OTC trade eligibility criteria to support additional market conventions as follows:
- The Actual/Actual.ICMA day count convention to support clearing of Assets Swaps.
- IMM AUD roll convention, the industry convention to enable swaps to roll on ASX’s bank bill futures dates.
A copy of the changes to the ASX Clear (Futures) OTC Rules and Handbook is available here.
A reconciliation guide produced to support reconciliation of the additional market conventions is available here.
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Issued by
Allan McGregor, Senior Manager, Rates
Contact information
Allan McGregor
+61 (02) 9227 0814
Allan.McGregor@asx.com.au