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Notice
ASX has published a consultation paper on the minimum price increment (‘tick’ size) of ASX’s 3 Year Treasury Bond futures. Currently, ASX sets the minimum price increment at 0.010% or 1 basis point, except for the 5 business days leading up to the contract expiry when the minimum price increment is reduced to 0.002%.
Background
– The minimum tick increment was increased from 0.5bp to 1bp for outright trades in October 2022 following the removal of the RBA’s Yield Curve Control (YCC) measures and deterioration in order book volume over multiple months in 3 Year Treasury Bond futures.
– The minimum tick increment was widened in response to changing market conditions noting that the impact of the wider tick increment would be monitored to determine whether the narrower tick could be re-introduced without being detrimental to overall liquidity and tradability of the contract.
Consultation Paper
– Includes data to demonstrate the evolution liquidity in ASX 3 Year Treasury Bond futures and uses 10 Year Treasury Bond future to control for changing market conditions.
– Contains a list of questions to prompt feedback on the minimum tick increment for 3 Year Treasury Bond futures, focusing on topics such as order book dynamics and market quality indicators.
The consultation paper is available here.
What do I need to do by when?
ASX invites written submissions to this consultation paper by Friday, 8 November 2024.