ASX Packs and Bundles Strip Leg allocation process Lazo Vrankovic November 2014
What are Packs and Bundles? (slide 3) Leg Price allocation – AU Packs (slide 8) Leg Price allocation – AU Bundles (slide 22)
What are Packs and Bundles? (slide 3) Leg Price allocation – AU Packs (slide 8) Leg Price allocation – AU Bundles (slide 22)
Packs and Bundles • Packs and Bundles on 90 Day Bank Bill Futures provide users with the ability to trade multiple periods of short term interest rate exposure in a single transaction • Participants are able to trade segments of the yield curve • Provide end users with products that enable trading of 1, 2 or 3 year OTC interest rate swap exposure • Each product represents a strip of underlying Bank Bill Futures • Another avenue to gain access to the most actively traded short term interest rate derivatives product in the Asian region
Australian Packs and Bundles 2 nd Year 3 rd Year White Green Red Pack Pack Pack Bundle Bundle (RPZ5) (WPZ4) (GPZ6) (RBZ4) (GBZ4) Dec-14 Dec-14 Dec-14 Mar-15 Mar-15 Mar-15 Jun15 Jun-15 Jun-15 Sep-15 Sep-15 Sep-15 Dec-15 Dec-15 Dec-15 Mar-16 Mar-16 Mar-16 Jun-16 Jun-16 Jun-16 Sep-16 Sep-16 Sep-16 Dec-16 Dec-16 Mar-17 Mar-17 Jun-17 Jun-17 Sep-17 Sep-17 Please refer to the contract specifications for further details on Packs and Bundles
Leg Price Allocation Individual leg prices will be calculated by the following methodology: (1) Take the previous days official daily settlement prices (“ODSPs”) of the underlying futures as a starting point (2) Calculate adjustment factor using the following expression: (Traded price – average price using ODSP) / average price using ODSP, rounded to 6 decimal places. (3) Adjust each bank bill futures leg by the adjustment factor calculated in (2) (4) Round each futures leg to the nearest 0.005 (5) Ensure the average of the allocated legs equals the traded Pack or Bundle price (6) If not, adjust the final leg price by increments of 0.005 until (5) is satisfied (7) Participants are notified of leg prices by a user text message through ASX Trade24 order gateway (8) Allocated legs are cleared through Genium Clearing To verify leg prices, participants can also refer to the ASX Packs and Bundles calculator available from the ASX website.
What are Packs and Bundles? (slide 3) Leg Price allocation – AU Packs (slide 8) Leg Price allocation – AU Bundles (slide 22)
Leg Price Allocation – AU Packs – White Pack IR contract months Previous Days closing price (1) Take the previous days official daily Q4 2014 97.330 settlement prices (“ODSPs”) of the Q1 2015 97.310 underlying futures as a starting point Q2 2015 97.280 Q3 2015 97.240 Q4 2015 97.190 Q1 2016 97.110 Q2 2016 97.020 Q3 2016 96.940 Q4 2016 96.860 Q1 2017 96.760 Q2 2017 96.670 Q3 2017 96.580
Leg Price Allocation – AU Packs – White Pack IR contract months Previous Days closing price (2) Calculate adjustment factor using the Q4 2014 97.330 following expression: (Traded price – Q1 2015 97.310 average price using ODSP) / average Q2 2015 97.280 price using ODSP Q3 2015 97.240 Q4 2015 97.190 Let’s assume that a WPZ4 is executed at Q1 2016 97.110 97.285 Q2 2016 97.020 Q3 2016 96.940 Adj. factor = (97.285 – 97.290) / 97.290 Q4 2016 96.860 = -0.000051 Q1 2017 96.760 Q2 2017 96.670 Q3 2017 96.580
Leg Price Allocation – AU Packs – White Pack IR contract Previous Allocated (3) Adjust each bill futures leg by the months Days closing futures price price adjustment factor calculated in (2) Q4 2014 97.330 97.325 Q1 2015 97.310 97.305 Leg prices are calculated as 97.330 + Q2 2015 97.280 97.275 (97.330 x -0.000051) = 97.325 (Leg 1) Q3 2015 97.240 97.235 Q4 2015 97.190 Leg prices are calculated to the closest Q1 2016 97.110 0.005, so there is no need for rounding Q2 2016 97.020 Q3 2016 96.940 Q4 2016 96.860 Q1 2017 96.760 Q2 2017 96.670 Q3 2017 96.580
Leg Price Allocation – AU Packs – White Pack IR contract Previous Allocated (5) Ensure the average of the allocated months Days closing futures price price legs equals the traded Pack or Bundle Q4 2014 97.330 97.325 price Q1 2015 97.310 97.305 Q2 2015 97.280 97.275 Average of allocated legs = (97.325 + Q3 2015 97.240 97.235 97.305 + 97.275 + 97.235) / 4 Q4 2015 97.190 = 97.285 Q1 2016 97.110 Q2 2016 97.020 This corresponds with the traded WPZ4 Q3 2016 96.940 price of 97.285 Q4 2016 96.860 Q1 2017 96.760 No need for any further adjustment Q2 2017 96.670 Q3 2017 96.580
Leg Price Allocation – AU Packs – Red Pack IR contract months Previous Days closing price (1) Take the previous days official daily Q4 2014 97.330 settlement prices (“ODSPs”) of the Q1 2015 97.310 underlying futures as a starting point Q2 2015 97.280 Q3 2015 97.240 Q4 2015 97.190 Q1 2016 97.110 Q2 2016 97.020 Q3 2016 96.940 Q4 2016 96.860 Q1 2017 96.760 Q2 2017 96.670 Q3 2017 96.580
Leg Price Allocation – AU Packs – Red Pack IR contract months Previous Days closing price (2) Calculate adjustment factor using the Q4 2014 97.330 following expression: (Traded price – Q1 2015 97.310 average price using ODSP) / average Q2 2015 97.280 price using ODSP Q3 2015 97.240 Q4 2015 97.190 Let’s assume that a RPZ5 is executed at Q1 2016 97.110 97.060 Q2 2016 97.020 Q3 2016 96.940 Adj. factor = (97.060 – 97.065) / 97.065 Q4 2016 96.860 = -0.000052 Q1 2017 96.760 Q2 2017 96.670 Q3 2017 96.580
Leg Price Allocation – AU Packs – Red Pack IR contract Previous Allocated (3) Adjust each bill futures leg by the months Days closing futures price price adjustment factor calculated in (2) Q4 2014 97.330 Q1 2015 97.310 Leg prices are calculated as 97.190 + Q2 2015 97.280 (97.190 x -0.000052) = 97.185 (Leg 1) Q3 2015 97.240 Q4 2015 97.190 97.185 Leg prices are calculated to the closest Q1 2016 97.110 97.105 0.005, so there is no need for rounding Q2 2016 97.020 97.015 Q3 2016 96.940 96.935 Q4 2016 96.860 Q1 2017 96.760 Q2 2017 96.670 Q3 2017 96.580
Leg Price Allocation – AU Packs – Red Pack IR contract Previous Allocated (5) Ensure the average of the allocated months Days closing futures price price legs equals the traded Pack or Bundle Q4 2014 97.330 price Q1 2015 97.310 Q2 2015 97.280 Average of allocated legs = (97.185 + Q3 2015 97.240 97.105 + 97.015 + 96.935) / 4 Q4 2015 97.190 97.185 = 97.060 Q1 2016 97.110 97.105 Q2 2016 97.020 97.015 This corresponds with the traded RPZ5 Q3 2016 96.940 96.935 price of 97.060 Q4 2016 96.860 Q1 2017 96.760 No need for any further adjustment Q2 2017 96.670 Q3 2017 96.580
Leg Price Allocation – AU Packs – Green Pack IR contract months Previous Days closing price (1) Take the previous days official daily Q4 2014 97.330 settlement prices (“ODSPs”) of the Q1 2015 97.310 underlying futures as a starting point Q2 2015 97.280 Q3 2015 97.240 Q4 2015 97.190 Q1 2016 97.110 Q2 2016 97.020 Q3 2016 96.940 Q4 2016 96.860 Q1 2017 96.760 Q2 2017 96.670 Q3 2017 96.580
Leg Price Allocation – AU Packs – Green Pack IR contract months Previous Days closing price (2) Calculate adjustment factor using the Q4 2014 97.330 following expression: (Traded price – Q1 2015 97.310 average price using ODSP) / average Q2 2015 97.280 price using ODSP Q3 2015 97.240 Q4 2015 97.190 Let’s assume that a GPZ6 is executed at Q1 2016 97.110 96.725 Q2 2016 97.020 Q3 2016 96.940 Adj. factor = (96.725 – 96.7175) / 96.7175 Q4 2016 96.860 = 0.000078 Q1 2017 96.760 Q2 2017 96.670 Q3 2017 96.580
Leg Price Allocation – AU Packs – Green Pack IR contract Previous Allocated (3) Adjust each bill futures leg by the months Days closing futures price price adjustment factor calculated in (2) Q4 2014 97.330 Q1 2015 97.310 Leg prices are calculated as 96.860 + Q2 2015 97.280 (96.860 x 0.000078) = 96.870 (Leg 1) Q3 2015 97.240 Q4 2015 97.190 Q1 2016 97.110 Q2 2016 97.020 Q3 2016 96.940 Q4 2016 96.860 96.870 Q1 2017 96.760 96.770 Q2 2017 96.670 96.680 Q3 2017 96.580 96.590
Leg Price Allocation – AU Packs – Green Pack IR contract Previous Allocated Final (4) Round each futures leg to months Days closing futures price allocated price futures price the nearest 0.005 Q4 2014 97.330 Q1 2015 97.310 Q2 2015 97.280 Q3 2015 97.240 Q4 2015 97.190 Q1 2016 97.110 Q2 2016 97.020 Q3 2016 96.940 Q4 2016 96.860 96.870 96.870 Q1 2017 96.760 96.770 96.770 Q2 2017 96.670 96.680 96.680 Q3 2017 96.580 96.590 96.590
Leg Price Allocation – AU Packs – Green Pack IR contract Previous Allocated (5) Ensure the average of the allocated months Days closing futures price price legs equals the traded Pack or Bundle Q4 2014 97.330 price Q1 2015 97.310 Q2 2015 97.280 Average of allocated legs = (96.870 + Q3 2015 97.240 96.770 + 96.680 + 96.590) / 4 Q4 2015 97.190 = 96.7275 Q1 2016 97.110 Q2 2016 97.020 This does not correspond with the traded Q3 2016 96.940 GBZ4 price of 96.725 Q4 2016 96.860 96.870 Q1 2017 96.760 96.770 A further adjustment is needed. Q2 2017 96.670 96.680 Q3 2017 96.580 96.580
Recommend
More recommend
