ASX 24 NOTICE NO.
177/13
Date of Issue:
Effective Date:
14 October 2013
11 December 2013
90 Day Bank Accepted Bill Futures – Expiry Settlement Price Change
Following a review of the expiry settlement price procedures for the 90 Day Bank Bill Futures contract, market participants
are advised of a change in the time when ASX Clear (Futures) will determine the Expiry Settlement Price. Participants are
reminded that the 90 Day Bank Accepted Bill Futures expire at 12.00pm on the business day immediately prior to the
settlement day which falls on the second Friday of the settlement month. The expiry settlement price is currently determined
by calculating the midpoint of the bid and offer of the expiring futures contract at 12.00pm.
Commencing from the December 2013 expiry, ASX Clear (Futures) will determine the Expiry Settlement Price at
10.00:00am (AEST) on the final trading day.
Participants are advised that all other aspects of the expiry settlement price determination will remain unchanged. The Expiry
Settlement Price is calculated as the midpoint of the bid ask rounded up.
The expiring contract will continue to remain open until 12.00pm on the last trading day. The net down time will also remain
unchanged.
Rationale
Following discussions and subsequent feedback received from market participants, the ASX has concluded that changing the
time at which the expiry settlement price is determined will lead to a more efficient price discovery process for the 90 Day
Bank Bill Futures contract.
By changing the determination time from 12.00pm to 10.00am, the ASX will align the expiring futures contract more closely
with the physical Bank Bill market and the determination time of the daily 3 month BBSW rate setting.
Moving the determination to an earlier time will also have the added advantage of avoiding potential market moving
announcements at 11.30am which could create greater divergence between the physical market and futures at the time of
expiry.
As the contract will remain open until 12.00pm, participants will still have the opportunity to unwind any held positions.
Rules
To reflect the above change, the ASX will include an additional determination in Procedure 2.22.1 of the ASX 24 Operating
Rules – Procedure Appendices:
Time at which Settlement Price is
determined on the Final Trading
Day
10:00 am
This document provides general information only. This document is not investment or financial product advice. While the information contained in this publication has been prepared
with all due care and skill by ASX Limited, the users of the publication must obtain their own independent advice and conduct their own investigations and assessment regarding the
information. Australian Securities Exchange (ASX) is a member of the ASX group of companies .This document is made available on the understanding that ASX Limited (ABN 98 008
624 691) and its related bodies corporate and their respective directors, employees, agents, servants and boards accept no responsibility for any person acting on or relying on any opinion,
advice or information and disclaim all liability for any loss howsoever caused (including by reason of negligence) and for any errors, omissions, defects or misstatements (whether
negligent or otherwise) contained in the publication. The information in this document is subject to change. This document is not a substitute for the relevant ASX 24 Operating Rules and
in the case of inconsistency, the ASX 24 Operating Rules prevail.
For further information please contact Kristye van de Geer, Manager, Interest Rate Markets on +612 9227 0130 or
kristye.vandegeer@asx.com.au
Rohan Delilkhan
General Manager, Derivatives and OTC Markets
ASX Limited
20 Bridge Street
Sydney NSW 2000
Australia
This document provides general information only. This document is not investment or financial product advice. While the information contained in this publication has been prepared
with all due care and skill by ASX Limited, the users of the publication must obtain their own independent advice and conduct their own investigations and assessment regarding the
information. Australian Securities Exchange (ASX) is a member of the ASX group of companies .This document is made available on the understanding that ASX Limited (ABN 98 008
624 691) and its related bodies corporate and their respective directors, employees, agents, servants and boards accept no responsibility for any person acting on or relying on any opinion,
advice or information and disclaim all liability for any loss howsoever caused (including by reason of negligence) and for any errors, omissions, defects or misstatements (whether
negligent or otherwise) contained in the publication. The information in this document is subject to change. This document is not a substitute for the relevant ASX 24 Operating Rules and
in the case of inconsistency, the ASX 24 Operating Rules prevail.