ASX Market Information Bulletin 41/12

Transcription

1 ASX Market Information Bulletin 41/1 Date: 1 November 01 Key Topics 1. Update to Australian Government Bonds (referred to in previous bulletins as Commonwealth Government Bonds or CGBs) on ASX. Updates relating to ReferencePoint Derivatix product changes [including the discontinuation of the intraday theoretical prices files]. 3. Introduction of an expanded version of the new ReferencePoint Derivatix file MarginPrice.csv. Authorised by Edwina Glinoga Reading List Market Participants Information Vendors Upcoming Events Date Event Bulletin No. 9 Jan 013 Removal of SP & SQ messages from 0/1, 06/1, ReferencePoint Master List E01 and E0 files. 08/1, /1, TBA Introduction of new trade condition code OC (subject to regulatory clearance) to allow for off-market crossings of the equity leg in the contingent Over the Counter (OTC) deal. TBA Introduction of three (3) new CHESS Exception Indicator values to flag Unsponsored Depositary Receipts (UDRs) to be quoted on ASX. 35/1 08/1 4/1, 3/1 3 Nov 01 Changes to ReferencePoint Derivatix product. 5/1, 40/1 3 Nov 01 Introduction of an expanded version of the 40/1 new ReferencePoint Derivatix MarginPrice file 8 Jan 013 Dissemination of ReferencePoint Master List 31/1, 3/1 and Contained Corporate Action In this fixed Bulletin length format files via VPN and ASXNet to be discontinued. Mar 013 Introduction of Exchange-traded Australian 37/1, 40/1 (subject to regulatory Government Bonds (formerly referred to as approval) Commonwealth Government Bonds or CGBs). ASX Contact Market Access MarketAccess@asx.com.au ASX Limited ABN Exchange Centre 0 Bridge Street Sydney NSW 000 PO Box H4 Australia Square NSW No responsibility is accepted for any inaccuracies contained in the matter published. Contained In this Bulletin CATEGORY ITEM PAGE INFORMATION ITEM INFORMATION ITEM DATA ITEM Update to Exchange-traded Australian Government Bonds (referred to in previous bulletins as Commonwealth Government Bonds or CGBs). Updates relating to changes to ReferencePoint Derivatix product (including the discontinuation of the intraday theoretical prices files). Introduction of an expanded version of the ReferencePoint Derivatix MarginPrices file. ASX Market Information Bulletin INFORMATION SOLUTIONS FROM THE SOURCE Page 1 of 5

2 Update to Exchange-traded Australian Government Bonds (referred to in previous bulletins as Commonwealth Government Bonds or CGBs) Subscribers to ASX Market Information products were advised in Market Information Bulletin 37/1 of the proposed quotation, trading and clearing & settlement on ASX of Exchange-traded Australian Government Bonds or AGBs (referred to in previous bulletins as Commonwealth Government Bonds or CGBs) for implementation in November 01. There has been a change to the implementation date, now expected to be in March 013, pending regulatory approval. ASX Market Information also advises ReferencePoint Corporate Action users of the introduction of a new value CG in the Corporate Action Type data field, to be implemented in May 013, to indicate interest payments for securities where the Ex-Date is one business day after the Record Date. Exact implementation date will be confirmed in a later Bulletin. Refer to Appendix 1 for the updated Corporate Action Type Code values. NOTE: Information relating to the Corporate Action Type Code data field value CG has been superseded. Refer to ASX Market Information Bulletin 14/13 released on 09 April 013. Updates relating to changes in ReferencePoint Derivatix product (including the discontinuation of the intraday theoretical files) Subscribers to ReferencePoint Derivatix are advised that the effective date for the changes relating to the product advised in ASX Market Information Bulletin 5/1 has been confirmed as follows: Margin Parameters (MAR.CSV) and Theoretical Prices (THEO.CSV) to be discontinued effective 3 November 01. The last files will be disseminated on November 01. New file MarginPrices.csv available from 3 November 01 SPAN file available from 3 November 01 Subscribers are also advised of the updated file name of the SPAN file as follows: Download as: Span.zip Expands to: ASXCLEndOfDayRiskParameterFileYYMMDD.spn Other changes: With the introduction of the SPAN file, the following intraday Theoretical Prices files will be discontinued effective November 01. THP1_01.ZIP THP_01.ZIP THP3_01.ZIP THP4_01.ZIP THP5_01.ZIP Introduction of an expanded MarginPrices file effective 3 November 01 refer to the section of this bulletin titled Introduction of an expanded version of the new ReferencePoint Derivatix file MarginPrice. Users are advised that files availability will change from currently 6:30 pm to 7:30 pm MarginPrices and end of day XML SPAN test files will be made available to subscribers from 05 November 01. Test files can be requested by ing Market Access on MarketAccess@asx.com.au. ASX Market Information Bulletin INFORMATION SOLUTIONS FROM THE SOURCE Page of 5

3 Introduction of an expanded version of the new ReferencePoint Derivatix file MarginsPrice ReferencePoint Derivatix subscribers are advised that an expanded version of the new file MarginPrice.csv will also be made available effective 3 November 01. The expanded file version titled MarginPricesExpanded.csv will contain the 4 data fields available in the MarginPrices.csv file plus 18 additional data fields. The MarginPrices.csv file will be discontinued effective 04 March 013, in favour of the expanded file. The following are the additional data fields provided in the Expanded file: Business Date Unique ASX code identifying an instrument series ASX product Option Type Delivery Month Expiry Month Strike Price with implied decimals Strike Price with explicit decimals Version Number (>0 for Corporate Actions) SPAN Symbol SPAN Period End Indicator Settlement Price with implied decimals Settlement Price with explicit decimals Volatility with implied decimals Volatility with explicit decimals Currency SPAN Currency Underlying Multiplier Exercise Style American/European Product Type Product Type of Underlying ASX Market Information Bulletin INFORMATION SOLUTIONS FROM THE SOURCE Page 3 of 5

4 MarginPricesExpanded.csv Field Name Full Name/Description Column BusDate Date of the file A ASXCode ASX Code of the instrument B DerivProd ASX product C OptType Option Type D DelMonth Delivery Month E ExpDate Expiry Month F Strike Strike Price with implied decimals G StrikeText Strike Price with explicit decimals H Version Version Number (>0 for Corporate Actions) I SPAN_Symbol SPAN Symbol J SPAN_PE_Ind SPAN Period End Indicator K SettlementPrice Settlement Price with implied decimals L SettlementPriceText Settlement Price with explicit decimals M Volatility Volatility with implied decimals N VolatilityText Volatility with explicit decimals O Currency Currency P SPAN_Currency SPAN Currency Q Underlying Underlying R Multiplier Multiplier S ExerStyle Exercise Style American/European T DerivProdType Product Type U UnderProdType Product Type of Underlying V Notes: Rows that are shaded in orange are data fields contained in the MarginPrices.csv file. MarginPricesExpanded.csv test file will be made available to subscribers from 05 November 01. Test files can be requested by ing Market Access on MarketAccess@asx.com.au. If you have any queries regarding this Bulletin, please contact Market Access via at MarketAccess@asx.com.au or phone on ( from outside Australia). ASX Market Information Bulletin INFORMATION SOLUTIONS FROM THE SOURCE Page 4 of 5

5 Appendix 1 Updated Corporate Action Type Code Corporate Action Type Code Bytes Format Description Alphabetic Identifies the type of Corporate Action. Valid Values AO = Attaching Option BB = Equal Access Buy back BN = Bonus Issue CC = Name/Class change (ASX Code change) CG = Interest - Ex-Date after Record Date CL = Call CN = Final date Convertible Note conversion CR = Capital / Premium return DV = Dividend IN = Interest (Fixed interest, convertible note payments) - Ex Date before Record Date NR = Non-Renounceable Issue OP = Final date Option conversion PR = Priority Issue (Non Pro-Rata) RC = Reconstruction (Split, Consolidation or Instalment Warrant Rollover/Reset) RR = Renounceable Issue SP = Share Purchase Plan XR = Ex Right of Exercise ASX Market Information Bulletin INFORMATION SOLUTIONS FROM THE SOURCE Page 5 of 5