Short-term derivatives

Product overview

Offering cost-effective exposure to Australian interest rates. ASX interest rate derivatives can be used to manage risk, trade on expectations of future interest rate moves and volatility.

Like any investment, futures and options on futures have risks you need to understand before trading. You should obtain independent advice from a professional adviser before making a decision.

Contract specifications

Australian 90 day bank accepted bill futures

Commodity code	IR
Contract unit	A$1,000,000 face value 90 day bank accepted bills of exchange or EBAs
Contract months	March/June/September/December up to 20 quarter months or five years ahead
Minimum price movement	Quoted in yield per cent per annum in multiples of 0.01%. One hundred minus annual percentage yield quoted to two decimal places. Minimum fluctuation of 0.01% = approx. AU$24 per contract (varying with level of interest rates)
Contract expiry	8:29am on the business day immediately prior to settlement day Expiry Settlement Price is determined at 10:30am on the final trading day
Settlement	Settlement method Cash settled. The expiry settlement price shall be calculated as 100 minus the 3 month BBSW rate published on the Last Trading Day. The BBSW rate will be rounded to 3 decimal places to the nearest 0.001%, 0.0005% rounded up. Settlement day Settlement day is the second Friday of the delivery month
Trading hours	5:08pm – 7:00am and 8:28am – 4:30pm² (For period from second Sunday in March to first Sunday in November) 5:08pm – 7:30am and 8:28am – 4:30pm² (For period from first Sunday in November to second Sunday in March)
Regulatory approvals	Approved for trading by: 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).
Expiry Position Limits	20,000 contracts (applies to spot month net open positions at the close of trading on the day before expiry T-1)

Australian 90 day bank accepted bill options

Commodity code	IR
Contract unit	One A$1,000,000 face value 90 day bank accepted bills futures contract for a specified contract month on ASX 24.
Option type	American
Contract months	Put and Call options available on futures contracts up to six quarter months ahead.
Minimum price movement	Quoted in yield per cent per annum in multiples of 0.005%
Exercise prices	Intervals of 0.125% per annum yield New option exercise prices created automatically as the underlying futures contract price moves
Contract expiry	At 12:30pm on the Friday one week prior to the settlement day for the underlying futures contract.
Settlement	Settlement method Options may be exercised on any business day up to and including the day of expiry In-the-money options are automatically exercised at expiry unless abandoned Upon exercise, the holder will receive a futures position at the option strike price Buyers may exercise or abandon positions held by lodging a notice of manual exercise or abandonment with ASX Clear (Futures) prior to contract expiry Settlement price is taken from the underlying futures market at 12:30pm Obtained by taking the midpoint between the futures bid and ask quotations rounded up.
Trading hours	Period from second Sunday in March to first Sunday in November 5:08pm - 7:00am; and 8:28am - 4:30pm Period from first Sunday in November to second Sunday in March 5:08pm - 7:30am; and 8:28am-4:30pm
Regulatory approvals	Approved for trading by: 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).

Trading hours: Australian Eastern Standard Time / Australian Eastern Daylight Time

New Zealand 90 day bank accepted bill futures

Commodity code	BB
Contract unit	NZ1,000,000 face value 90 day bank accepted bill of exchange, or a transferable or negotiable security issued by a bank with a term to maturity of 90 days
Contract months	March/June/September/December up to 12 quarter months or three years ahead
Minimum price movement	One hundred minus annual percentage yield quoted to two decimal places Minimum fluctuation of 0.01 = approx. NZ$24 per contract (varying with level of interest rates)
Contract expiry	12:00 noon on the first Wednesday after the ninth day of relevant Settlement Month.
Settlement	Settlement method Cash settlement with the parties making payment to or receiving from the Clearing House (whichever is applicable) the amount of the difference between the Contract Value and the Mandatory Settlement Value no later than 2:00pm on the Mandatory Settlement Day. Mandatory Settlement Price is determined as 100 minus the three month FRA settlement rate (rounded to two decimal places) published on the Final Trading Day by Reuters New Zealand (approx. 10:45am) Settlement day Settlement day is the business day following the Last Trading Day.
Trading hours	5:40pm - 7:00am; and 8:30am - 4:30pm
Regulatory approvals	Approved for trading by: 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).
Expiry Position Limits	17,500 contracts (applies to spot month net open positions at the close of trading on the day before expiry).

New Zealand 90 day bank accepted bill options

Contract unit	A 90 day NZ bank bill futures contract
Option type	American
Contract months	Put and call options available on contracts up to four quarter months ahead
Commodity code	BB
Minimum price increment	Quoted in yield per cent per annum in multiples of 0.01%
Premium quotes	Yield per cent per annum multiplied by 100
Premium value	where: e = 100 - Exercise Price P = premium expressed as a yield per cent per annum multiplied by 100. The calculation within the square brackets will be carried out to 2 decimal places. All other calculations will be carried out to 8 decimal places. The premium value will be rounded to the nearest cent. 0.5 of 1 cent will be rounded up.
Expiration date	The first Wednesday after the ninth day of the relevant Settlement Month. Trading will cease at the 12 noon on the Expiration Date.1
Mandatory settlement day	The business day following the Expiration Date
Trading hours	5:40pm - 7:00am and 8:30am - 4:30pm
Exercise of options	Notice may be given to the Clearing House on any business day on which the Contract is traded. Notice must be received by the Clearing House prior to 5:30pm
Assignment	For options exercised prior to expiry, the seller will be notified by the Clearing House no later than 45 minutes prior to commencement of the next business day’s trading. For options exercised at expiry, the seller will be notified by the Clearing House no later than 9:00am on the business day following the Expiration Date.
Regulatory approvals	Approved for trading by: 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).

Trading hours: New Zealand time

Packs and Bundles on 90 day Australian bank bill futures

A Pack is a strip of four successive Bank Bill Futures that allows users to trade segments of the yield curve in a single transaction, without the legging risk of trading each Bank Bill Futures contract separately.

A Bundle is a strip of successive Bank Bill Futures products covering more than four successive futures contracts. The first contract in a Bundle is the 1st quarterly contract in the respective Bank Bill Futures contracts.

	Packs	Bundles
Commodity codes	WP: White Pack on 90 Day Bank Bill Futures RP: Red Pack on 90 Day Bank Bill Futures GP: Green Pack on 90 Day Bank Bill Futures	RB: 2nd Year Bundle on 90 Day Bank Bill Futures GB: 3rd Year Bundle on 90 Day Bank Bill Futures
Contract unit	Each underlying leg of a Pack product or Bundle product translates to a 90 day bank bill futures contract.
Contract months	One listed quarterly March/June/September/December product for each respective Pack or Bundle
Underlying Futures months	WP: First four consecutive listed underlying 90 Day Bank Bill Futures (IR) contracts commencing from Spot up to Spot + 3. RP: Four consecutive listed underlying 90 Day Bank Bill Futures (IR) contracts commencing from Spot + 4 up to Spot + 7. GP: Four consecutive listed underlying 90 Day Bank Bill Futures (IR) contracts commencing from Spot + 8 tup to Spot + 11.	RB: First eight consecutive listed underlying 90 Day Bank Bill Futures (IR) contracts commencing from Spot up to Spot + 7 GB: First twelve consecutive listed underlying 90 Day Bank Bill Futures (IR) contracts commencing from Spot up to Spot + 11
Minimum price movement	Quoted in yield per cent per annum in multiples of 0.005%
Last trading day	One trading day before the last day of trading of the underlying Bank Bill futures contract
Trading hours	Period from second Sunday in March to first Sunday in November 5:08pm - 7:00am; and 8:28am - 4:30pm Period from first Sunday in November to second Sunday in March 5:08pm - 7:30am; and 8:28am - 4:30pm
Clearing	Individual underlying 90 Day Bank Bill Futures legs are calculated and allocated into ASX Clear (Futures) once a Pack or Bundle is executed on ASX 24 NTP. Underlying legs will be cleared at 0.005% increments.
Leg Price Allocation	For pack and bundle orders the previous daily settlement prices (DSP) of the underlying futures market contract will be used as a starting point and adjusted by a price adjustment factor to achieve an interim Pack or Bundle price which approximates the price of the executed underlying futures contracts. Price adjustments will be made via a consistent proportional price movement from DSPs with the exception that the underlying futures market contract with the longest dated expiry will be further adjusted up or down in increments of 0.005 to the extent that such adjustment will achieve an accurate final Pack or Bundle price. Where a pack or bundle order is executed against implied price and volume, the allocated legs will be determined by the underlying Bank Bill futures.

Trading hours: Australian Eastern Standard Time / Australian Eastern Daylight Time

Leg allocation

The matching engine determines underlying bank bill futures leg prices in one of two ways, depending on how the order is executed:

Trade type	Pack to Pack or Bundle to Bundle trade	Executed against implied price and volume
Pricing determination	The previous Daily Settlement Price (DSP) of the underlying futures contract, adjusted for an implied Pack or Bundle price equal to the price of the executed underlying futures contracts	The underlying Bank Bill futures

Packs and Bundles on 90 day New Zealand bank bill futures

A Pack is a strip of four successive Bank Bill Futures that allows users to trade segments of the yield curve in a single transaction, without the legging risk of trading each Bank Bill Futures contract separately.

A Bundle is a strip of successive Bank Bill Futures products covering more than four successive futures contracts. The first contract in a Bundle is the 1st quarterly contract in the respective Bank Bill Futures contracts.

Commodity codes	NW: White Pack on 89 Day Bank Bill Futures NR: Red Pack on 90 Day Bank Bill Futures ZR: 2nd year Bundle on 90 Day Bank Bill Futures
Contract unit	Each underlying leg of a Pack or Bundle product translates a 90 Day New Zealand Bank Bill Futures contract
Contract months	One listed quarterly March/June/September/December product for each respective Pack or Bundle
Underlying Futures months	NW: First four consecutive listed underlying 90 Day Bank Bill Futures (BB) contracts commencing from Spot up to Spot + 3. NR: Four consecutive listed underlying 90 Day Bank Bill Futures (BB) contracts commencing from Spot + 4 up to Spot + 7. ZR: First eight consecutive listed underlying 90 Day Bank Bill Futures (BB) contracts commencing from Spot up to Spot + 7.
Minimum price movement	Prices are quoted in yield per cent per annum in multiples of 0.01%
Last trading day	One trading day prior to the last day of trading of the underlying Bank Bill futures contract All trading ceases at the end of trading on the prior day's day session
Trading hours	5:40pm - 7:00pm; and 8:30am - 4:30pm
Clearing	Individual underlying 90 Day Bank Bill Futures legs are calculated and allocated once a Pack or Bundle is executed on ASX 24 Trading Platform. Underlying legs will be cleared at 0.01% increments
Leg Price Allocation	For pack and bundle orders the previous official daily settlement prices (“ODSP”) of the underlying futures market contract will be used as a starting point and adjusted by a price adjustment factor to achieve an interim pack or bundle price which approximates the price of the executed underlying futures contracts. Price adjustments will be made via a consistent proportional price movement from ODSPs; with the exceptions that; the underlying futures market contract with the longest dated expiry will be further adjusted up or down in increments of 0.01 to the extent that such adjustment will achieve an accurate final Pack or Bundle price. Where a pack or bundle order is executed against implied price and volume, the allocated legs will be determined by the underlying Bank Bill futures.

Trading hours: New Zealand time

Market essentials

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Hedge against overnight cash rate fluctuations, manage cash exposures and access trading opportunities.

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PACKS AND BUNDLES (AUS/NZ)

Packs and Bundles on Australian and New Zealand 90 day bank bill futures are an efficient exchange-based alternative to over-the-counter swaps, enabling hedging activity for FRA and Swap traders.

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ASX 24 Data Vendor Codes

Data Vendor Codes for interest rate derivatives.

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90 DAY BANK BILL FUTURES AND OPTIONS (AUS)

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90 day bank bill butterflies

An exchange defined combination (EDC) that enables buying or selling of a three-leg butterfly in a single transaction.

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Market Notices

ASX market notices are used to communicate subject matter important to ASX's markets and clearing and settlement facilities.

90 DAY Bank Bill Futures and options (NZ)

The key indicator for New Zealand interest rates and New Zealand's most actively traded listed derivatives product.

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Pricing guide

Identification of which ASX 24 interest rate contracts have a variable tick system and details on how to determine contract values, profit and loss on positions, and variation margins.

PDF - 1MB

ASX Packs and bundles – Step Leg Allocation process

Information about Pack and bundles on 90 Day Bank Accepted Bill futures.

PDF - 635KB

Contract specifications

Complete contract specifications for ASX 24 products.

PDF - 1MB

market resources

Trading hours, calendars and fees for ASX trading, settlement and clearing products, and services.

Trade type	Butterfly to Butterfly trade	Executed against implied price and volume
Pricing determined by	The anchor price is the last traded price for the leg of the strategy that traded most recently, provided the price is within the accepted Spread. If there is no last trade price for any of the legs, then the anchor leg and its price will be based on the AOT Reference Price, Adjusted Closing Price, or Prior Settlement Price within the accepted spread.	The underlying Bank Bill futures price

Short-term derivatives

Product overview

30 day interbank cash rate futures

Australian and New Zealand 90 day bank accepted bill futures and options

Packs and bundles on 90 day Australian and New Zealand bank bill futures

90 day bank bill butterflies

Contract specifications

30 day interbank cash rate futures

90 day futures and options (AUS)

90 day futures and options (NZ)

Packs and bundles (AUS)

Packs and bundles (NZ)

Butterflies

Market essentials

30 DAY INTERBANK CASH RATE FUTURES

PACKS AND BUNDLES (AUS/NZ)

ASX 24 Data Vendor Codes

90 DAY BANK BILL FUTURES AND OPTIONS (AUS)

90 day bank bill butterflies

Market Notices

90 DAY Bank Bill Futures and options (NZ)

Pricing guide

ASX Packs and bundles – Step Leg Allocation process

Contract specifications

market resources