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Notice
Market participants are advised that ASX will increase the current minimum block trade thresholds for the 90 Day Bank Bill Futures product effective from 3rd of December 2019.
The block trade facility is an off market trading mechanism enabling professional market users to arrange and transact orders of significant size in specific contract. The facility intends to minimise price impact and time delays that may occur when transacting orders of large size in the central market.
Following a review of existing block trade thresholds under current market conditions it was determined that an increase in some block trade thresholds was warranted. This change reflects the increased liquidity seen in the evening session for the 90 Day Bank Bill Futures product on the ASX 24 trading platform. ASX only allows block trades for the 90 Day Bank Bill Futures during the evening session.
The following table sets out the threshold changes.
Contract |
Applicable Months |
Current threshold |
New threshold |
Change |
90 Day Bank Bill Futures (IR) |
Spot + 1 |
1,500 |
2,000 |
Increase |
|
Spot + 2 |
1,000 |
2,000 |
Increase |
|
Spot +3 |
1,000 |
2,000 |
Increase |
|
Spot +4 |
1,000 |
2,000 |
Increase |
|
Spot +5 |
1,000 |
1,000 |
No change |
|
Spot+6 |
500 |
1,000 |
Increase |
|
>= Spot +7 |
500 |
500 |
No change |
All other interest rate block trade thresholds remain unchanged.
What do I need to do by when?
Participants should advise customers of the changes to the block trade threshold for the 90 Day Bank Bill Futures
Need more information?
Issued by
Luke Flory
Manager, Interest Rate Products
Contact information
Luke Flory
Manager, Interest Rate Products.
+61 (02) 9227 0577
luke.flory@asx.com.au