Notice Notice reference number: 1183.14.10 Notice date: 21/10/2014 What’s this about? Effective date: 17/11/2014 ASX Trade ASX 24 Trading Clearing Settlement Operations Technology Market Data Rules Compliance Risk Other Introduction of ASX Pack and Bundle Products on 90 Day Bank Bill Futures Market participants are advised that ASX intends to launch Pack and Bundle product functionality applicable to the 90 th Day Bank Bill Futures (ASX 24 code: IR) with an indicative launch date of 17 November 2014. A Pack product is a futures strip that enables participants to trade four successive Bank Bill Futures contract months as a single average price without legging risk inherent with trading each Bank Bill Futures contract separately. Similarly, a Bundle will enable participants to trade all successive Bank Bill contracts in the next two or three years. Packs and Bundles will be available on the ASX 24 trading platform, ASX Trade24, with each product allocated with its own ASX 24 code with no pricing interaction with the underlying Bank Bill Futures contract. Participants will be allocated underlying IR futures contracts upon execution of a Pack or Bundle contract. Participants should be aware of new functionality available to communicate allocated leg prices upon execution of a Pack or Bundle product. Please see below section regarding “Trade Confirmation Messages” for more information. Market participants should note that Packs and Bundles are listed in a similar manner to that of the ASX Australian Electricity Strip products (i.e. HN, HQ, HV, HS). Key contract features (90 Day Bank Bill Futures – IR) Three Packs and two Bundles on the 90 Day Bank Bill Futures contract (IR) Minimum price increments of 0.005 basis points Pack and Bundle products are not cleared Underlying Bank Bill Future legs will be cleared at 0.005 basis point increments The last trading day will be one (1) trading day prior to the last trading day of the expiring underlying 90 Day Bank Bill Futures spot contract Contract specifications are attached here. Trade Confirmation Messages Once a Pack or Bundle product has been executed, counterparties to the trade will receive ASX Trade24 user text messages confirming allocated leg prices. These text messages will be disseminated over the ASX Trade24 order gateway. More information regarding the technical aspects of the trade confirmation messages can be found in section 2.10 of the ASX Trade24 – Developer’s Guide – Markets & Functionalities. Appointment of Official Market Makers ASX is in discussion with potential Market Makers for Packs and Bundles on 90 Day Bank Bill Futures. More information on market making price support will be provided prior to launch. Exchange Fee More information regarding exchange fee will be provided prior to launch. Page 1 of 3 (continued) ASX Notice Notice Commodity and Data Vendor Codes The proposed ASX Trade24 commodity codes for the Packs and Bundles are: Product Name ASX 24 code Underlying Futures code Underlying contract months White Pack on 90 Day Bank Bill Futures WP IR 1 to 4 quarterly expiry months Red Pack on 90 Day Bank Bill RP Futures IR 5 to 8 quarterly expiry months Green Pack on 90 Day Bank Bill Futures GP IR 9 to 12 quarterly expiry months nd RB IR 1 to 8 quarterly expiry months rd GB IR 1 to 12 quarterly expiry months 2 Year Bundle on 90 Day Bank Bill Futures 3 Year Bundle on 90 Day Bank Bill Futures st th th th th st st th th th Data vendor codes will be communicated to the market prior to launch. Inter-commodity spreads Three inter-commodity spreads will be available at launch relative to the 3 Year Treasury Bond Futures contract: Leg 1 Leg 2 ASX 24 Codes Ratios White Pack on 90 Day Bank Bill Futures 3 Year Treasury Bond Futures WP – YT 16 – 5 Year Bundle on 90 Day Bank Bill Futures 3 Year Treasury Bond Futures RB – YT 32 – 5 3 Year Bundle on 90 Day Bank Bill Futures 3 Year Treasury Bond Futures GB – YT 48 – 5 nd 2 rd Ratio’s are calculated and communicated in a similar manner to existing inter-commodity spreads. Initial Margins, Intra and Inter-commodity Offsets Pack and Bundle products will not be margined, therefore there will be no margining implications. The underlying Bank Bill futures legs will attract initial margin charges. External Testing External testing is currently available and will be up until Go live. What do I need to do and by when? This notice is to provide participants with notice of the launch of the new Pack and Bundle products on ASX Trade24. With a launch date of 17 November 2014, external testing is currently available. More information will be provided in subsequent notices. Page 2 of 3 ASX Notice Notice (continued) Need more information? For any product related queries please contact: Kristye van de Geer, Manager Interest Rate Markets [email protected] +61 2 9227 0130 or; Lazo Vrankovic, Assistant Product Manager, Derivatives [email protected] +61 2 9227 0117 Disclaimer 5 Page 3 of 3
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