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Notice
Participants are advised that ASX intends to list new Equity Futures contract over the S&P/ASX 200 Ex-S&P/ASX 100 Total Return (TR) Index, which has an index code of XJS. The commodity code for the new Futures contract will be AS.
The new S&P/ASX 200 Ex 100 TR Futures (AS) contracts are expected to strengthen ASX’s current suite of Equity Futures contracts with more efficient risk management to stocks within the small-mid cap segment of the market. This will allow greater trading opportunities for existing clients whilst servicing the needs of new customers. Spread functionality will be available between the new S&P/ASX 200 Ex 100 TR Future and the existing S&P/ASX 200 GTR (AT) future and SPI200 (AP) futures. In addition, intra-spreads across monthly expiries will also be available.
Target listing date
The first day of trading is planned to occur on Monday 15 July 2024 on ASX 24, subject to regulatory clearance. The S&P/ASX 200 Ex-S&P/ASX 100 TR Futures (AS) contracts will have a first expiry date of Thursday 19 September 2024. The draft rule amendments have been informally lodged with ASIC. ASX is planning to formally lodge the rule amendments by 14 June 2024. ASX will continue to engage with Trading and Clearing Participants and software vendors to discuss readiness of the new futures contracts.
The external ASX24 test environment (CDE-) is now available for participant testing of the new AS futures contract.
ASX will release a further notice closer to go-live outlining the applicable contract margin rates and vendor codes for the new contract.
Draft 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 – subject to regulatory clearance |
Minimum price movement |
Ordinary trading: 1 index point (A$25) During the roll: 0.1 index point (A$25) |
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 S&P/ASX 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 S&P/ASX 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 - 4.30pm1 |
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 |
1Unless otherwise indicated, all times are Sydney times.
What do I need to do by when?
Participants and vendors should review the draft contract specifications and consider any changes required to support a 15 July 2024 listing. ASX will continue discussions with Trading and Clearing Participants and software vendors over the coming weeks to discuss the contract specifications.
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