ASX 24 Trading Participants and vendors are advised that in response to participant requests, the CDE+ schedule for the bond futures delinking has been adjusted to provide additional testing opportunities.  As published in Market Notice 1369.24.11 ASX will implement the changes to the bond futures contracts on 10 March 2025 (for the March 2025 roll).

The changes are to:

1.  Delink the Bond Futures contracts outright market from the calendar spread market during the week of the roll.

2. Keep the tick increments in the outright contracts during the roll period at the non-roll (wider) increments, while supporting the narrower tick increments during the roll period in the calendar spreads (roll) market only.

Following the request of some market participants who would like additional testing opportunities for the delinking, the CDE+ test schedule has been amended.

CDE+ Test Schedule

The following tick increments will be applied to Bond Futures contracts and related spread markets on the dates as set out below.  The key adjustments to the previous schedule are:

1.     Increasing the frequency of the delinking and tick increment changes for the 3 and 10 Year Bond Futures contracts

2.     Keeping the 5 Year Bond Futures contract in the roll period state, that is, delinked with different tick increments for the roll and outright legs

3.     Keeping the 20 Year Bond Futures contract in the non-roll period state, that is, linked with same tick increments for the roll and outright legs

These changes will apply from Trade Date Wednesday 29 January 2025.

Adjusted Testing Schedule – delinking and tick increments

3 Year Bond Futures contract:

5 Year Bond Futures contract:

10 Year Bond Futures contract:

20 Year Bond Futures contract:

Please refer to the ASX Bond Futures Delinking Factsheet for further information on the proposed changes to the bond futures market structure, including examples of the prices that will be tradeable. The factsheet also contains information on the rounding rules for the determination of the Futures Reference Price for the One Session Options and further information on order purging and off market trades.

What do I need to do by when?

Trading Participants and vendors can test the changes to the bond futures and roll market structure in the CDE+ environment until 3 March 2025.

ASX will be asking Participants and vendors to confirm their readiness for this change by 14 February 2025

Need more information?

Issued by

Kristye van de Geer, Senior Product Manager, ASX 24

Contact information

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

Disclaimer