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Notice
Indicative Prices
Attached are the indicative settlement quotes for the September 2020 Expiry of the 3 Year, 10 Year and 20 Year Bond contracts:
· YTU0 9:45 quotes
· YTU0 10:30 quotes
· YTU0 11:15 quotes
· XTU0 9:45 quotes
· XTU0 10:30 quotes
· XTU0 11:15 quotes
· LTU0 9:45 quotes
· LTU0 10:30 quotes
· LTU0 11:15 quotes
The 3 indicative prices are calculated using the arithmetic mean of the quotations provided at the following times: 9:45am, 10:30am and 11:15am.
For each session ASX will calculate the Indicative Session Prices as the average of the best bid and best offer available in the market for each bond in the bond basket. ASX will only use outright yields to calculate the expiry settlement price, EFP prices will not be used.
If the best bid and best offer create an inverse or choice market, those yields will be discarded and the next best bid and best offer will be used to calculate the Indicative Session Price.
The arithmetic mean is truncated to 5 decimal places and rounded to the nearest 0.002 for 3 Years, 0.001 for 10 Years and 0.0025 for 20 Years.
The indicative futures price is then calculated by subtracting the rounded value from 100.
Final Settlement Price.
The final settlement price is the arithmetic mean from the 3 quotation periods.
The arithmetic mean is truncated to 5 decimal places and rounded to the nearest 0.002 for 3 Years, 0.001 for 10 Years and 0.0025 for 20 Years.
The final settlement price is then calculated by subtracting the rounded value from 100.
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Issued by
Greg Fitzpatrick || Senior Manager, Clearing Operations
Contact information
Clearing Operations
t: 1800 240 033 (+61 2 8298 8479) | e: clearing@asx.com.au | f: +61 2 9256 0456