Notice

3 and 10 Year Bond Roll Tick Increment Procedure and extension of cessation date of existing PTRM no-action relief for client-facing Trading Participants

What's this about:
  • ASX 24 Market
  • Commodities
  • Equity Derivatives
  • Futures
  • Rates
  • Interest Rate Futures
  • Trading
  • Operations
  • Technology
  • Compliance
  • Risk
  • Rules
  • Bond Roll tick increments
  • September 2020
  • Procedures
  • PTRM
  • message rejects
  • order rejects
  • order management
  • no action relief
  • Show more
Notice reference number: 0878.20.08
Date published: 03/08/20
Effective as of: 03/08/20
Last updated: 03/08/20

This Market Notice provides an update on:

  • 3 and 10 Year Bond Roll tick increment changes and
  • extension of the cessation date of the existing class no action for certain Trading Participants pertaining to the Conditions of Licence for Market Operator Software contained in the ASX 24 Operating Rules and Procedures to limit the number PTRM message rejects.

Bond Roll Tick Increments

As outlined in ASX 24 Market Notice 0693.20.06, the following changes will be made to the tick increments during the bond roll period for the 3 and 10 Year Bond Futures:

Commencing with the September 2020 expiry, the following tick increments will be applied to the outright and roll (calendar spreads) for the 3 and 10 Year Bond Futures contract. Times are in AEST.

3 Year Bond Futures

Multiples of 0.002 per cent during the period 17:10 on 8th of the expiry month, or the next business day if the 8th is not a business day, to 16:30 on the day of expiry.  All the other times the minimum price increment will be 0.005 per cent.

10 Year Bond Futures

Multiples of 0.001 per cent during the period 17:10 on 8th of the expiry month, or the next business day if the 8th is not a business day, to 16:30 on the day of expiry.  All the other times the minimum price increment will be 0.005 per cent.

ASX 24 Operating Rules Procedures

Market Participants are advised that the amendments to the relevant ASX 24 Operating Rules Procedures have received regulatory clearance.  The amended procedures relate to the tick increments for the 3 and 10 Year Bond Futures contracts during the Roll period.  Amendments to the One Session Options (Intra-day and Overnight) Procedures have also been approved.  The amended procedures relate to the rounding rules of the Futures Reference Price used to determine which One Session Options are In-The-Money at expiry.

The amended Operating Rules are attached.

PTRM No-action Relief for Client-facing Trading Participants

On 24 July 2019, ASX published Notice 0738.19.07 setting out new Conditions of Licence for Market Operator Software contained in the ASX 24 Operating Rules and Procedures to limit the number PTRM message rejects that can occur, (the “Procedure”), effective 2 September 2019.  Further guidance was issued subsequently in Notice 0894.19.08 and Notice 0923.19.09.

The intention of the Procedure and subsequent guidance was to address behaviour where PTRM was being used as an order management tool, with excess messages rejected by PTRM functionality, rather than for risk management. Not all Participants had demonstrated this use of PTRM.  ASX’s actions in these reforms was to ensure that PTRM is used only for its intended purpose, as promptly as possible.

At the time ASX noted feedback regarding some short term issues in complying with the Procedure, and took steps to phase in the approach for certain Participants.  In addition, ASX granted a class no action to provide relief from the obligation to comply with the Procedure for any Trading Participant that is permitted to trade on behalf of Clients, as those terms are defined in the ASX 24 Operating Rules.  The class no action would be effective until the outcome of the bond roll consultation process was determined.  Responses received to the Bond Roll Consultation from some Trading Participants indicated that, in the absence of the no-action relief, technical development to deliver real-time monitoring for compliance with the Procedure would be required and that those Trading Participants continue to rely on the class no action.  No breaches of the class no action for persistent inappropriate usage of PTRM have been observed.

Client-facing Trading Participants - No Action Relief Cessation Date Extended

In light of responses received during the bond roll consultation ASX hereby extends the no-action relief for a period of 1 year, while ASX assesses whether it is appropriate to provide ongoing relief in the ASX 24 Operating Rules.  It remains a condition of granting the class no action that it may be withdrawn for an individual participant where ASX observes persistent inappropriate usage of PTRM.

What do I need to do by when?

This notice is for information only.

Need more information?

Issued by

Kristye van de Geer
Senior Manager, Interest Rate Products

Contact information

Kristye van de Geer
+61 (02)  9227 0130
kristye.vandegeer@asx.com.au

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