90 Day Australian Bank Bill

Posted By Steve On Thursday, October 15th, 2009 With 0 Comments
Exchange Sydney Futures Exchange
Type Interest Rate
Underlying A$1,000,000 face value 90-Day Bank Accepted Bills of exchange or EBAs.
Currency Australian Dollar (AUD)
Contract Size A$1,000,000 (Notional principal amount)
Tick Size One hundred minus annual percentage yield quoted to two decimal places. (The minimum fluctuation of 0.01%).
Tick Value Approximately $24 per contract (varying with the level of interest rates)
Pre-Open 1
Trading Session 1 08:28 – 16:30
Pre-Open T+1
Trading Session T+1 17:08 – 07:00
Pre-Open T+1
Trading Session T+1 (No DST) 17:08 – 07:30
Last Trading Day 12.00 noon on the business day immediately prior to settlement day
Final Settlement Day The second Friday of the delivery month
Final Settlement Price
Settlement Type One bank accepted bill or EBA or bank negotiable certificate of deposit or ECDissued by an approved bank of face value A$1,000,000 maturing 85-95 days from settlement day, and classified as ‘early’ month papers. ‘Early’ month paper matures on business days between the 1st and 15th of the month.
Contract Months 20 quarterly months (5 years) of March / June / September / December
First Trading Day  
Position Limit  
Initial Margin (outright)  
Maintenance Margin (outright)  
Clearinghouse Margin (outright)  
Listed Spread Yes
Initial Margin (spread)  
Maintenance Margin (spread)  
Clearinghouse Margin (spread)  
Daily Price Limit  
Options Yes
Exchange Symbol IR
Reuters Symbol  
Bloomberg Symbol  
ISIN Symbol  

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