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Notice
Further to market notice 0614.24.05, participants are advised that ASX has now received regulatory clearance from ASIC for the new Equity Futures contracts over the S&P/ASX 200 Ex 100 Total Return (TR) Index. Participants and users are advised that the contracts will be available for trading on Monday 15 July 2024. The commodity code for the new Futures contract will be AS.
The new S&P/ASX 200 Ex 100 TR Futures (AS) contracts require amendments to the ASX 24 Operating rules. Please refer to the following link to see a marked-up version of the changes.
The proposed margin rates (subject to change) for the new AS futures will be:
- Price Scanning Range (PSR): 8.2%
- Inter-Commodity Concession (ICC): AP = 75%; AS = 75%
Note: A separate clearing notice will be released closer to go-live advising the absolute value of the PSR (initial) margin rate.
ASX Fees for the new AS Future:
- Headline exchange trading fee: $0.90 +gst per contract
- Exchange for Physical: $0.70 +gst per contract
- Mandatory settlement: $0.90 +gst per contract
The vendor codes for the new futures will be:
- Bloomberg: XJSA
- Refinitiv: <0#YAS:>
- IRESS: ASmy
Contract specifications
| S&P/ASX 200 TR Index Futures | |
| Trading platform | ASX 24 (NTP) |
| Underlying Index | XJS (S&P/ASX 200 Ex-S&P/ASX 100 Total Return index) |
| Contract unit | Valued at A$25 per index point (e.g. A$75,000 at 3,000 index points) |
| Contract months | First six quarter months. |
| Commodity code | AS |
| Contract divisor | 1 |
| Listing date | 15 July 2024 |
| Minimum price movement | Ordinary trading: 1 index point (A$25) During the roll: 0.1 index point (A$2.50) |
| Last trading day | All trading in expiring contracts ceases at 12.00pm on the third Thursday of the settlement month. Non-expiring contracts will continue to trade as per the stated trading hours. [1] |
| Cash settlement price | The Special Opening Quotation of the underlying S&P/ASX 200 Ex 100 Total Return Index on the Last Trading Day. The Special Opening Quotation is calculated using the first traded price of each component stock in the S&P/ASX 200 Ex 100 Index on the Last Trading Day, irrespective of when those stocks first trade in the ASX trading day. This means that the first traded price of each component stock may occur at any time between ASX market open and ASX market close (including the Closing Single Price Auction) on the Last Trading Day. |
| Trading hours | 9.50am - 4.30pm [1] |
| Settlement day | The first business day after expiry, ASX Clear (Futures) publishes the final settlement price of the contract. On the second business day after expiry, ASX Clear (Futures) settles cash flows as a result of the settlement price. |
| Headline fee | $0.90 plus GST per contact side |
| Block trade size | 20 contracts (reported to 0.1pt) – all expiry months |
| Position limit |
None |
| Daily price limit | None |
| Exchange for physical | Yes |
| CFTC approved | No |
[1] Unless otherwise indicated, all times are Sydney times.
What do I need to do by when?
Trading and Clearing participants looking to trade the new contracts should make sure they are ready for a 15 July 2024 listing. It is advised that you liaise with your data, trading or clearing vendor to confirm system readiness.
For participants and vendors wanting to test the new contract please reach out to
your ASX Technical Account Manager (TAM).
Need more information?
Issued by
Gregory Pill – Head of Equity Derivative Products
Contact information
Product
Gregory Pill
+61 (02) 9227 0696
greg.pill@asx.com.au
Distribution
Rob Nash
+61 (02) 9227 0032
rob.nash@asx.com.au