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ASX Managing Director, Richard Humphry said: "Separating the calculation of the SPI contract settlement price from the equities market close is a key consideration in this package. We commend the Sydney Futures Exchange (SFE) and the Australian Securities and Investments Commission (ASIC) for their constructive approach to this difficult and complex matter."
In support of this initiative, ASX also announces an interim measure to replace the Closing Single Price Auction (CSPA) with a random closing time for the end of September quarter equities trading.
For subsequent periods, ASX will determine an appropriate end-of-quarter closing mechanism after further industry consultation as to the best long-term framework and in light of the experience of the September close. ASX will be issuing a discussion paper on this subject later this month.
ASX believes these initiatives constitute a comprehensive package of measures to reduce the potential for excessive volatility during end-of-quarter trading and will help ensure a fair and orderly market.
After extensive consultations with industry participants and with the markets regulator, ASIC, it has been decided that specific arrangements for the close of the September quarter should be applied as part of the progressive enhancement of market closing procedures already underway at ASX.
As an interim measure, to operate only on 28 September 2001, ASX has decided to replace the CSPA with a random closing time for the equities market. This initiative, in conjunction with the measures adopted by the SFE, will assist in the provision of a fair and orderly market.
The current CSPA arrangements for the daily 4:05 pm close will remain in place at all times other than 28 September 2001. The CSPA, introduced in February 1997, has become the standard mechanism used by a significant and increasing number of international markets to address the need to effectively manage end-of-day demand.
"ASX believes that it is important for the market providers, in consultation with the participants and with the market regulator, to achieve a solution that addresses not just the immediate problems highlighted by 29 June trading, but also ensures the ongoing efficiency and fairness of Australia's capital markets," Mr Humphry said.
Full details of the arrangements to apply on 28 September 2001 are being released in a separate bulletin to the market.
