Bond derivatives

• YT

• YT

• Commonwealth Government Treasury Bonds
• Face value: A$100,000
• Coupon rate: 6% pa
• Term: 3 years

• Face value: A$100,000
• Coupon rate: 6% pa
• Term: 3 years

• American

• March/June/September/December up to two quarter months ahead

• Put and call options available on futures contracts up to two quarter months ahead

• Quoted in multiples of 0.002% between 5:10pm on the 8th of the expiry month (or next business day) to 4:30pm on the day of the expiry, otherwise quoted in multiples of 0.010%
• One hundred minus annual percentage yield quoted to three decimal places
• Minimum fluctuation of 0.010% = approx. A$30 per contract (varying with levels of interest rates)

• Quoted in yield per cent per annum in multiples of 0.005%

• Set at intervals of 0.10% per annum yield
• New option exercise prices created automatically as the underlying futures contracts price moves

• For each bond in the bond basket, ASX will take the best bid and best offer available in the market by reference to live market prices taken from bond trading venues as determined by the Exchange. 
• The average of the best bid and best offer for each bond will be calculated at 9:00am, 9:45am, 10:30am and 11:15am. 
• An indicative session price, calculated as an arithmetic mean, will be published after each session. 
• Expiry settlement price = average of the best bids and offers from all sessions, rounded to the nearest tradable increment and subtracted from 100. 
• Expiry settlement price will be published by 12 noon on the Last Trading Day.

• Business day following last permitted day of trading

• May be exercised on any business day up to and including the day of expiry resulting in the holder receiving a futures position at the option strike price.
• In-the-money options are automatically exercised at expiry unless abandoned.
• Buyers may exercise or abandon positions held by lodging a notice of manual exercise or abandonment with ASX Clear (Futures) prior to contract expiry.
• Price is taken from the underlying futures market at 12:30pm and obtained by taking the midpoint between futures bid and ask quotations rounded up.

• 12:30pm on the business day prior to the last day of trading in the underlying futures contract.

• 5:10pm - 7:00am; and
• 8:30am - 4:30pm

• 5:10pm - 7:30am; and
• 8:30am - 4:30pm

• 5:10pm - 7:00am; and
• 8:30am - 4:30pm

• 5:10pm - 7:30am; and
• 8:30am - 4:30pm

• US Commodity Futures Trading Commissions (CFTC)
  
• UK Financial Conduct Authority (FCA)
• Monetary Authority of Singapore (MAS)
• Hong Kong Securities and Futures Commission (SFC Hong Kong)

• VT

• Commonwealth Government Treasury Bonds
• Face value: A$100,000
• Coupon rate: 2% pa
• Term: 5 years

• March/June/September/December up to two quarter months ahead

• Quoted in multiples of 0.0025% between 5:10pm on the 8th of the expiry month (or next business day) to 4:30pm on the day of the expiry, otherwise quoted in multiples of 0.005%
• One hundred minus annual percentage yield quoted to four decimal places
• Minimum fluctuation of 0.005% = approx. A$26 per contract (varying with levels of interest rates)

• For each bond in the bond basket, ASX will take the best bid and best offer available in the market by reference to live market prices taken from bond trading venues as determined by the Exchange. 
• The average of the best bid and best offer for each bond will be calculated at 9:00am, 9:45am, 10:30am and 11:15am. 
• An indicative session price, calculated as an arithmetic mean, will be published after each session. 
• Expiry settlement price = average of the best bids and offers from all sessions, rounded to the nearest tradable increment and subtracted from 100. 
• Expiry settlement price will be published by 12 noon on the Last Trading Day.

Settlement day

• Business day following last permitted day of trading

• 5:10pm - 7:00am; and
• 8:30am - 4:30pm

• 5:10pm - 7:30am; and
• 8:30am - 4:30pm

• LT

• Commonwealth Government Treasury Bonds
• Face value: A$65,000
• Coupon rate: 4% pa
• Term: 20 years

• March/June/September/December up to two quarter months ahead

• Multiples of 0.0025% between 5:12pm on the 8th of the expiry month (or the next business day) to 4:30pm on the day of the expiry
• Otherwise, quoted in multiples of 0.005%
• Yield is deducted from an index of 100
• Minimum fluctuation of 0.0050% = approx. A$50 per contract (varying with level of interest rates)

• For each bond in the bond basket, ASX will take the best bid and best offer available in the market by reference to live market prices taken from bond trading venues as determined by the Exchange. 
• Average of the best bid and best offer for each bond will be calculated at 9:00am, 9:45am, 10:30am and 11:15am. 
• Indicative session price, calculated as an arithmetic mean, will be published after each session. 
• Expiry settlement price will be the average of the best bids and offers from all sessions rounded to the nearest tradable increment and subtracted from 100. 
• Expiry settlement price will be published by 12:00pm on the Last Trading Day.

• The business day following the last permitted day of trading
• Last trading day is the fifteenth day of the contract month (or the next succeeding business day where the fifteenth day is not a business day)
• Trading ceases at 12:00 noon

• 5:12pm - 7:00am; and
  
• 8:32am - 4:30pm

• 5:12pm - 7:30am; and
  
• 8:32am - 4:30pm

• US Commodity Futures Trading Commission (CFTC)
• UK Financial Conduct Authority (FCA)
• Monetary Authority of Singapore (MAS)
• Hong Kong Securities and Futures Commission (SFC Hong Kong)