ASX 24 OPERATING RULE AMENDMENTS (AMENDMENTS NOT MARKED UP)
SCHEDULE 1 – ASX 24 INDIVIDUAL CONTRACT SPECIFICATIONS
2.40.7 Mini SPI 200 Index Futures Contracts
Item
1.1
Heading
Contract Unit
Individual Contract Specifications
A sum of money equal to an S&P/ASX Index, as referred to in these Individual Contract Specifications,
multiplied by five Australian dollars.
1.2
Type of Contract
Cash settled.
2
Contract Value
The price agreed to by the parties at the time of making the Futures Contract and multiplied by five and
expressed as Australian dollars.
3
Settlement Price
The numerical value of the index quoted by the Approved Clearing Facility for the relevant Settlement Day to be
the special opening quotation of the S&P/ASX 200 Index provided by Standard & Poors Australia Pty Limited or
its duly authorised agent by notice in Writing to the Exchange by, unless otherwise agreed by all parties, 12.00
noon on the Business Day following the Final Trading Day.
Explanatory Note:
Except where a component stock has not traded on the Final Trading Day (in which case the previous traded
price is used) the special opening quotation is based on the first traded price of each component stock in the
S&P/ASX 200 Index, determined on the Final Trading Day in the Settlement Month. It is calculated to one
decimal place.
4
Settlement Value
The numerical value of the index quoted by the Approved Clearing Facility for that Settlement Day (to one
decimal place) multiplied by five and expressed as Australian dollars.
5
Exclusion of
Subject to the right of the Exchange under Rule [3100] to direct that Contracts be settled at a price other than
Liability
that determined in accordance with the Individual Contract Specifications, the Exchange and the Approved
Clearing Facility shall be entitled to regard the numerical value provided by Standard & Poors Australia Pty
Limited or its duly authorised agent as being conclusive evidence of the special opening quotation.
In the event of Standard & Poors Australia Pty Limited failing to provide such quotation or providing a quotation
that is numerically inaccurate, no party shall make any claim whatsoever against Standard & Poors Australia Pty
Limited, its duly authorised agents, The Approved Clearing Facility or the Exchange, and the provisions of Rule
[3100] shall apply.
6
Inability for
If a situation is developing or has developed which is capable of preventing the declaration of the Settlement
declaration of
Price in accordance with these Individual Contract Specifications, or if a situation within the meaning of Rule
Settlement Price
[3100] is developing or has developed, then the provisions of that Rule [3100] shall apply and any provision of
the Rules which cannot be complied with until the price has been declared shall be complied with as soon as
possible after it has been declared.
ASX 24 OPERATING RULE PROCEDURE AMENDMENTS
SCHEDULE 1 (AMENDMENTS NOT MARKED UP)
Procedure 2.40.7 Mini SPI 200 Index Futures Contracts
Subject
Determinations
Manner of quoting Futures Price
Whole or fractions of index points
Minimum fluctuations for quoting
•
•
Futures Price
Whole index points
Multiples of 0.1 of an index point for Block Trading
Time at which Settlement Price is
ASX Clear (Futures) will normally declare the Settlement Price by 12.00
declared
noon on the Business Day following the Final Trading Day
Trading Hours
5.10pm – 7.00am and 9.50am – 4.30pm (during US daylight saving time)
5:10pm – 8.00am and 9:50am – 4.30pm (during US non daylight saving
time)
Settlement Months
March, June, September, December, up to 2 Quarter Months ahead and
the nearest two non-quarterly expiry months.
Final Trading Day
The third Thursday of the Settlement Month
Time at which trading ceases on
12.00 noon
Final Trading Day
Settlement Day
The second Business Day following the Final Trading Day in a Settlement
Month
Final time by which Seller’s
12.00 noon on the Settlement Day
obligations must be satisfied
Final time by which Buyer’s
10.30 am on the Settlement Day
obligations must be satisfied
2/7
OTHER CONSEQUENTIAL ASX 24 PROCEDURE AMENDMENTS (MARKED UP)
Procedure 2500
2500.1
Futures Daily Settlement Price Procedures
(a) Immediately following the Close of a Market, an Interim Daily Settlement Price for each Futures Contract month
shall be displayed on the Trading Platform. Interim Daily Settlement Prices shall be calculated by the Exchange
by using any one, or a combination, of the following methods:
…….
(x) where the contract is a Mini SPI, the Daily Settlement Price of the SPI 200 will be the Daily Settlement Price.
3200.10 Reference Price, Anomalous Order Threshold, Regulatory Halts and Cancellation Ranges for Futures
Contracts subject to the ASIC Competition MIRs
Reference Price for futures contracts subject to the ASIC Competition Market Integrity Rules (ASIC
Competition MIRs)
For the
●
SPI 200,
•
Mini SPI 200,
●
S&P/ASX 200 Resources Index, and
●
S&P/ASX 200 Financials-x-A-REIT Index Futures Contracts
●
S&P/ASX 200 A-REIT Index Futures Contracts
there will be one VWAP Reference Price for each Contract dynamically updated every 30 seconds.
Pursuant to an ASIC waiver from ASIC Competition MIR 2.2.2(1) the ETR Reference Price is the same as
the dynamic Anomalous Order Threshold (AOT)/NCR Reference Price.
The AOT/NCR percentage or adjustment factor for each Contract is:
Futures Contracts
Spot AOT/ Spot +1
NCR
SPI 200
Adjustment Factor
Basis Points
Spot +2
Spot +3
Spot +4
Spot +5
Spot +6
Spot +7
AOT/ NCR AOT/ NCR AOT/ NCR AOT/ NCR AOT/ NCR AOT/ NCR AOT/ NCR
0.50%
0.50%
0.50%
0.50%
0.90%
0.90%
25
25
25
25
45
45
1.00%
50
1.00%
50
3/7
Mini SPI 200
Adjustment Factor Basis
Points
0.50%
0.50%
0.50%
0.50%
-
-
-
-
25
25
25
25
-
-
-
-
0.50%
0.50%
0.50%
0.50%
-
-
-
-
25
25
25
25
-
-
-
-
0.50%
0.50%
0.50%
0.50%
-
-
-
-
25
25
25
25
-
-
-
-
0.50%
0.50%
0.50%
0.50%
-
-
-
-
25
25
25
25
-
-
-
-
S&P/ASX 200
Resources Index
Futures Contracts
Adjustment Factor
S&P/ASX 200
Financials –x-A-REIT
Index Futures
Contracts
Adjustment Factor
S&P/ASX 200 A-REIT
Index Futures
Contracts
Adjustment Factor
Ranges for Equity Index Futures Products subject to the ASIC Competition MIRs
Futures Contracts
NCR/AOT
QCR (Lower Limit) QCR (Upper Limit)
Start of ETR
SPI 200
See table above
>0.5%
< 5%
5%
Mini SPI 200
See table above
>0.5%
< 5%
5%
See table above
>0.5%
< 5%
5%
See table above
>0.5%
< 5%
5%
See table above
>0.5%
< 5%
5%
S&P/ASX 200 Resources Index
Futures Contracts
S&P/ASX 200 Financials –x-A-REIT
Index Futures Contracts
S&P/ASX 200 A-REIT Index Futures
Contracts
Introduced 26/05/14 Amended 27/10/14
4/7
Pre- Negotiated Orders
Procedure 4401
For the purposes of Rule [4401] the following Contracts may only be pre-negotiated as follows:
CONTRACT
MINIMUM PRESCRIBED
MINIMUM PRESCRIBED
AFTER PRESCRIBED
MINIMUM
TIME BETWEEN
TIME BETWEEN MESSAGE
TIME HAS ELAPSED –
VOLUME
MESSAGE AND ENTRY
AND ENTRY OF ORDERS
TIME ALLOWED FOR
THRESHOLD
OF ORDERS:
CUSTOM MARKET
ORDER EXECUTION+
OUTRIGHT MARKET
EQUITY
SPI 200 Futures
N/A
30 seconds*
90 seconds
1 lot
SPI 200 Options
10 seconds
30 seconds
90 seconds
1 lot
N/A
30 seconds
90 seconds
1 lot
N/A
30 seconds
90 seconds
1 lot
N/A
30 seconds
90 seconds
1 lot
N/A
30 seconds*
90 seconds
1 lot
(quarterly)
S&P/ASX 200 Resources
Index Futures Contract
S&P/ASX 200 Financial-xA-REIT Index Futures
Contract
S&P/ASX 200 Financial-xA-REIT Index Futures
Contract
Mini SPI 200 Futures
*
Can only be pre-negotiated under Rule [4401] as part of a strategy in the Custom Market involving prescribed
contracts, for example, a SPI 200 Futures / SPI 200 Options strategy or a 90 Day Bank Bill Futures / 90 Day Bank Bill
Options strategy.
5/7
Exchange For Physical
Procedure 4800
SPI 200® Index Futures,
−
Basket of ASX traded stocks in one or
more companies where the cash value of
the basket of stocks and the notional
value of the SPI Futures fall within 10% of
each other.
−
Basket EFP – a statement or extract
listing each stock forming the basket
and indicating that the basket was
transferred between the parties to the
EFP.
−
S&P/ASX 200 Index Options Contract
(XJO options) that are of Special Size and
transacted in accordance with the
following sections of Part B of ASX
Operating Rule Procedure (ASXORP)
4810:
− Section 1;
− Section 2 or Section 3;
− Section 6;
− Section 7; and
− Section 8.
−
XJO EFP – an ETO statement from the
Client confirming settlement of the XJO
Option between the parties to the EFP.
Mini SPI, and Options on
Futures
Trading Participants relying on this
scenario must be able to demonstrate that
the EFP transaction entered in to has the
effect of equal and opposite either as buy
and sell transaction and/or offsetting
deltas.
Where the Trading Participant has
aggregated clients on one side of the
physical transaction in accordance with
Part B, Section 6 of ASXORP 4810, they
are reminded that to create a bona fide
EFP, the SPI futures Contract must be
traded on behalf of the same parties that
is opposite in effect to the physical XJO
transaction.
Trading Participants are required to
register such transactions as a single EFP
transaction in the electronic registration
system, inserting “SPLIT” in to the “Client”
name field; and detailing the physical slip
number, the name of each client and their
allocation of the EFP in the “Comments”
field.
−
OTC Options Market Transactions (as
defined in the ASX Clear Operating Rules)
in S&P/ASX 200 index options.
6/7
Block Trade Orders
Procedure 4820
CONTRACTS
SPI 200 FUTURES
CONTRACT
MINI SPI 200
FUTURES
CONTRACT
S&P/ASX 200
Resources
Index Futures
Contract
S&P/ASX 200
Financial-x-AREIT Index
Futures Contract
S&P/ASX 200
A-REIT Index
Futures
Contract
S&P/ASX 200
VIX Futures
Contract
APPLICABLE
CONTRACTS
Closest quarterly
(March, June,
September, December)
contract to expiry
200 lots
Closest quarterly
(March, June,
September, December)
contract to expiry
1000 lots
Closest two
quarterly
contracts to expiry
Closest two
quarterly contracts
to expiry
Closest two
monthly contracts
to expiry
40 lots
20 lots
Closest two
quarterly
contracts to
expiry
20 lots*
Block Trades may be
agreed during the
contract’s day or night
session and up to 10
minutes after the close
of trading for that
applicable session.
Block Trades may be
agreed during the
contract’s day or night
session and up to 10
minutes after the close
of trading for that
applicable session.
Block Trades may
be agreed during
the contract’s day
session and up to
10 minutes after
the close of
trading for that
applicable
session.
Block Trades may
be agreed during
the contract’s day
session and up to
10 minutes after the
close of trading for
that applicable
session.
Block Trades may
be agreed during
the contract’s day
session and up to
10 minutes after
the close of
trading for that
applicable
session.
NOTIFICATION TO
THE EXCHANGE
Within 5 minutes of the
agreement between the
parties.
Within 5 minutes of the
agreement between the
parties.
Within 5 minutes of
the agreement
between the parties.
REGISTRATION
TIME
For Block Trades agreed
during the contract’s day
session the Trading
Participant must
complete registration
within five minutes of the
agreed terms being
communicated to the
Exchange. Block
Trades agreed during
the contract’s night
session registration
must occur on the next
Business Day between
8:30am and 9:30am
AEST.
For Block Trades agreed
during the contract’s day
session the Trading
Participant must
complete registration
within five minutes of the
agreed terms being
communicated to the
Exchange. Block
Trades agreed during
the contract’s night
session registration
must occur on the next
Business Day between
8:30am and 9:30am
AEST.
Within 5 minutes
of the agreement
between the
parties.
For Block Trades
agreed during the
contract’s day
session the
Trading
Participant must
complete
registration within
five minutes of the
agreed terms
being
communicated to
the Exchange.
Block Trades
may be agreed
during the
contract’s day
session and up to
10 minutes after
the close of
trading for that
applicable
session.
Within 5 minutes
of the agreement
between the
parties.
For Block Trades
agreed during the
contract’s day
session the
Trading
Participant must
complete
registration within
five minutes of
the agreed terms
being
communicated to
the Exchange.
CHANGE OF
5
5
N/A
N/A
N/A
N/A
0.1
0.1
0.1
0.1
0.1
0.01
Electronic
Electronic
Electronic
Electronic
Electronic
Electronic
MINIMUM
THRESHOLD
APPLICABLE
AGREEMENT
HOURS
For Block Trades
agreed during the
contract’s day
session the Trading
Participant must
complete
registration within
five minutes of the
agreed terms being
communicated to
the Exchange.
50 lots
Within 5 minutes
of the agreement
between the
parties.
For Block Trades
agreed during the
contract’s day
session the
Trading
Participant must
complete
registration within
five minutes of the
agreed terms
being
communicated to
the Exchange.
QUARTERLY
MONTH (TRADING
DAYS PRIOR TO
EXPIRY) 1
MINIMUM
TRADING
INCREMENT
METHOD OF
REGISTRATION
* For December 2014 expiry, the Minimum Threshold is 1 lot.
Amended 29/10/12, 14/10/13, 21/10/13, 28/10/13, 14/08/14, 27/10/14, 24/11/14
1
Includes expiry day
7/7