Participants are advised that ASX has published a summary of the feedback received during the recent consultation on the 90 Day Bank Bill Futures.  The paper also outlines the changes that ASX intends to implement.

The consultation paper was initiated in response to requests from market participants to change the expiry settlement method of the Bank Bill Futures contract. The proposed change to the contract was to cash settle the contract against 3 month BBSW in order to broaden market participation and reduce settlement risk at expiry.  A number of other changes were proposed as part of the consultation, including serial Bank Bill Futures, reduced tick increments, order size changes and Good Till Cancelled functionality on combination orders.

ASX plans to implement the following changes in a phased approach, subject to regulatory clearance:

• Change the settlement method of the existing Bank Bill Futures (IR) from deliverable to cash settled using 3 month BBSW as the settlement price.
• Existing Bank Bill Futures contracts that have more than one year of duration before expiry will be cash settled at expiry (expected to be September 2020 onwards). Contracts with a shorter duration (less than one year) will remain physically settled at expiry.
• Set position limits on the front cash-settled Bank Bill Futures contract into expiry.
• List two serial Bank Bill Futures. Serial futures are quarterly expiring contracts listed on the non-financial months. Financial months are defined as March, June, September and December.
• Reduce the minimum price increment on the front two financial quarter months and serial Bank Bill Futures contracts from 1 bps to 0.5 bps.

ASX will further investigate the implementation approach and timing of Good Till Cancelled (GTC) functionality for the Bank Bill Futures spread market.

Phase 1 will consist of the move to cash settlement and the setting of Expiry Position Limits.

For a copy of the summary paper and further information on the implementation schedule for phase 1 please refer to the Bank Bill Consultation - Response to consultation feedback.

ASX would like to thank all those who responded to the consultation and appreciates the time and effort spent in coordinating each response.

What do I need to do by when?

Participants should review the implementation schedule for the move the cash settlement and identify internal processes and documentation that may need to be changed.

Need more information?

Issued by

Kristye van de Geer
Senior Manager, Interest Rate Products

Contact information

Kristye van de Geer
+61 (02)  9227 0130
kristye.vandegeer@asx.com.au

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