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Notice
ASX-Bloomberg AusBond Index Futures
ASX is targeting the launch of two new interest rate futures products designed to provide an exchange-listed future to track the Bloomberg AusBond Composite Bond (BACM0) and Credit (BACR0) Indices. The purpose of this notice is to inform market participants and vendors about the key contract specifications and the anticipated launch timeline, with go-live targeted for mid-2026 (subject to final internal, regulatory approvals and industry readiness).
Target Go-Live Timeline
With a target go-live of mid-2026, it is anticipated that September 2026 and December 2026 contract months will be made available on launch of the products.
Contract Specifications and Pricing
Futures Contracts |
Composite Bond Index Futures |
Credit Index Futures |
Underlying Index |
Bloomberg AusBond Composite Bond Index (BACM0) |
Bloomberg Ausbond Credit Index (BACR0) |
Commodity Code |
CM |
CR |
Trading Platform |
ASX 24 |
|
Target Go-live |
Mid-2026 |
|
Contract Unit |
Valued at $10 per index point of the underlying index (approximately $100k notional) |
|
Contract Valuation |
Fixed Tick x Price |
|
Minimum Price Movement |
1 index point |
|
Contract Months |
March / June / September / December, up to 2 quarter months ahead. |
|
Last Trading Day |
The 15th day of the contract month (or the next succeeding business day where the 15th day is not a business day). Trading ceases at 12:00pm. Contract expiry aligned with ASX Treasury Bond Futures Contracts. |
|
Expiry Settlement Price |
Note: The standard Daily Settlement Price methodology will be applied on the Last Trading Day to form the DSP for that day. The Expiry Settlement Price will be published at 12pm on the first business day following the Last Trading Day. This will have an index value to 2 decimal places, i.e. 1/100th of an Index Point. The Expiry Settlement Price will be the index value published by Bloomberg, at 17:00 Sydney Time on the Last Trading Day. Securities in the Index are priced by the Bloomberg Valuated Service (BVAL) using T+2 mid prices from the BVAL Sydney 17:00 Snapshot. |
|
Settlement Method |
Cash-settlement, payable on the second business day following Last Trading Day. |
|
Trading Hours |
8:30am - 4:30pm Sydney Time (Day Session); 5:10pm - 7:00am (Night Session) |
|
Block Trade Threshold |
10 |
|
Spreads |
Available between CM and CR. |
|
Exchange for Physical (EFP) |
Available against underlying indices |
|
Margin Offsets |
Available against Treasury Bond Futures |
|
Fees |
Headline ASX24 fee $0.90 per side, Exchange for Physical fee $0.70 per side. |
|
What do I need to do by when?
Participants and vendors are encouraged to review the proposed contract specifications for the ASX-Bloomberg AusBond Index Futures, which ASX intends to adopt for the upcoming product launch.
Please contact ASX if you have any questions or concerns regarding the proposed contract specifications.
Need more information?
Issued by
Nita Kong, Product Manager, Rates
Contact information
Rates Product
rates@asx.com.au or nita.kong@asx.com
or
Investor Support
+61 (02) 9338 0000
www.asx.com/contact