Reminder - Availability of XT-YT Inter-spread in the custom market during the bond roll period

As advised in notice 0920.15.08 the XT-YT Inter-spread functionality will not be available during the Bond Roll period. This is due to a technical issue that is isolated to the XT-YT Inter-spread during this period. 

During this roll period customers may submit their XT-YT Inter-spread orders in the custom market. ASX will impose trading conditions that will need to be met by Trading Participants throughout the roll period:

• ASX Trading Operations will calculate the XT-YT ratio at the beginning of each trading session. The ratio will be to the lowest common denominator as per existing custom market procedures, e.g. 5-16 or 10-33.

• ASX Trading Operations will set the basis price for the three year (YT) leg at the beginning of each trading session. The YT price that is set will be the previous trading day’s settlement price for the night session and the last traded price of the night session for the following day session.

• The XT-YT ratio and YT basis price will be disseminated 15 minutes prior to the pre-open of each trading session. The information will be published by market message over ASX Trade 24 message facility and sent to the existing Ratio Update email distribution group.

• Orders that do not meet the prescribed ratio and YT basis price will be required to be cancelled by the Trading Participant. 

Trading Participants that choose to transact XT-YT Inter-spread orders via the custom market must comply with all of the requirements of this facility. In particular please note: 

• Should a Trading Participant enter an order which creates an identical strategy and net price to an existing strategy, the orders or trades resulting from such orders may be cancelled by the Exchange

• Where a bid and offer has been established in the Custom Market, a trade may only be executed between that bid and offer.  A trade may not be executed where it is lower than the best bid or higher than the best offer.  Orders that are subsequently entered and trades resulting from such orders shall be cancelled by the Exchange

• Custom Market allows for strategy orders consisting of multiple legs to be executed in a single transaction.  Upon execution the resulting legs are considered as separate trades for clearing and trade management purposes.

• In the event of a cancellation request each trade will be individually assessed on the basis of price regardless of whether the trade was part of any strategy or contingency trade or combination trade subject to the specified exception in ASX 24 Operating Rule Procedure 3200.5 paragraph (e).

Custom market orders behave in the same manner as orders in the outright market. An increase in order quantity will result in a loss of queue position while a decrease in order quantity will not impact queue position. Orders will execute in time priority.

What do I need to do by when?

Please refer to ASX 24 Operating Rule and Procedure 4403 for further guidance on transacting custom market orders.

Please also contact Trading Operations should you wish to be added to the Ratio Update email distribution group.

Need more information?

Issued by

Ben Jackson – General Manager, Market Operations

Contact information

Trading Operations
1300 655 560, +612 9256 0677
tradingoperations@asx.com.au

Disclaimer