Cash Market Conventions

Updated: Aug 5

As would be expected, each market has rules and conventions, and the Cash Market is no different. In Australia, the market is guided by the Australia Financial Markets Authority ("AFMA"), and they have established and published a range of guidelines and conventions. The Cash Markets is available here.

We have extracted some some salient aspects we thought might be of interest to you would be.."

Sourced from AFMA, Cash Conventions, Effective January 2020.

".....There are four distinct ESA trading sessions that occur each day:

1) The Morning Settlement Session (7:30am – 8:45am) settles the prior day’s low value settlements (LVSS) together with any Direct Entry (DE) payments which did not settle on the prior day and are resubmitted on a net deferred basis. This session is open to banks holding an ESA with the RBA.

2) The Daily Settlement Session (9:15am-4:30pm) is open to all RITS clients (irrespective of whether the client holds an ESA or not) for settlement of transactions via the RTGS feeder systems.

3) The Settlement Close Session (4:30pm-5:15pm) is used by banks to clear payments queued in the RTGS system both on behalf of the ESA holder and their clients. Only RITS transactions are permitted in this session. 3.1. An Interim Session is conducted between 5:15pm-5:20pm.

4) The Evening Settlement Session commences immediately following the Interim Session (5:20pm) and concludes at 10:00pm. **Note**: The SWIFT settlement cut-off is at 6:05pm AEST and 8:05pm AEDT. The SWIFT and Austraclear close is at 6:30pm AEST and 8:30pm AEDT "

Products 2.1.

At Call Funds Except as prescribed in Section 2.3 Cash Transactions between ESA holders, at call funds can be recalled, repaid or renegotiated during morning money market trading (until 11am) without the need for prior notice. For repaid/recalled funds, transactions must be matched and input into the preferred settlements stream by 12:30pm Sydney time.

2.2. Term Funds Cash transactions dealt to a fixed maturity date, with interest paid at maturity

3.18. Pricing Formulae Simple interest formula – The general form for calculating the simple interest amount is: 𝐼𝐼 = 𝑃𝑃 × 𝑟𝑟 × 𝑡𝑡 I = amount of interest P = principle amount or present value r = rate of interest per annum t = time in years