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Notice
5 Year Treasury Bond Future technical update
ASX recently announced its intention to launch a new 5 Year Treasury Bond Futures contract on the ASX24 market. The purpose of this notice is to provide market participants and vendors with an update on technical aspects of the listing.
Target listing date
The target listing date for the new 5 Year Treasury Bond Future on the ASX24 market is the 30th November 2020, subject to final regulatory approval.
Notification of underlying bond baskets
The first expiry month will be the March 2021 contract. Both the March 2021 and June 2021 contracts will be listed at the same time.
The bond baskets underpinning the March and June 2021 contracts will be announced via a market notice in late October 2020.
Test environment availability
The 5 Year Treasury Bond Future will be available in the Customer Development Environment (CDE) from the 15th September 2020 - 10th November 2020 under the contract code VT. Spreads against the 3 and 10 Year contracts will be available for testing.
Data vendor access codes
|
Generic code |
March 2021 code |
June 2021 code |
ASX 24 code |
VT |
VTH1 |
VTM1 |
Bloomberg |
VTAA <Comdty> |
VTAH1 <Comdty> |
VTAM1 <Comdty> |
Refinitiv |
YYTmy[1] |
YYTH1 |
YYTM1 |
[1] m= month code y= year code. The March 21 contract would therefore be YYTH1.
Contract specifications and pricing
Commodity Code |
VT |
Target go live date |
30th November 2020 |
List on CDE/CDE+ |
15th September 2020 |
Contract Unit |
Australian Government Treasury Bonds with a face value of A$100,000, a coupon rate of 2% per annum, and a term to maturity of five years. |
Contract Months |
March/June/September/December up to two quarter months ahead. |
Minimum Price Movement |
Prices are quoted in yield per cent per annum in multiplies of 0.005 per cent except during the period of the roll. During the roll (5:10pm on the 8th of the expiry month, or next business day if the 8th is not a business day, to 4:30pm on the day of expiry) prices are quoted in multiples of 0.0025 per cent. For quotation purposes the yield is deducted from an index of 100. The minimum fluctuation of 0.005 per cent equals approximately $25.66 per contract, varying with the level of interest rates. |
Contract Expiry |
The 15th day of the contract month (or the next succeeding business day where the 15th day is not a business day). Trading ceases at 12:00pm. |
Settlement Method |
For each bond in the bond basket, ASX will take the best bid and best offer available in the market by reference to live market prices taken from bond trading venues as determined by the Exchange. The average of the best bid and best offer for each bond will be calculated at 9:45am, 10:30am and 11:15am. An indicative session price, calculated as an arithmetic mean, will be published after each session. The Expiry Settlement Price will be the average of the best bids and offers from all sessions rounded to the nearest tradable increment and subtracted from 100. Expiry settlement price will be published by 12:00pm on the Last Trading Day. |
Trading Hours |
5:10pm-7:00am and 8:30am- 4:30pm (for period from 2nd Sunday in March to 1st Sunday in November) 5:10pm- 7:30am and 8:30am- 4:30pm (for period from 1st Sunday in November to 2nd Sunday in March) |
Last Trading Day |
The fifteenth day of the contract month (or the next succeeding business day where the fifteenth day is not a business day). Trading ceases as 12:00 noon. |
Settlement Day |
The business day following the last permitted day of trading. |
Block trade threshold[2] |
1000 (night session only) |
Expiry Position Limit |
TBC |
Spreads |
3’s/5’s and 5’s/10’s spread. |
Fees |
Headline ASX24 fee $0.90 per side, Exchange For Physical fee $0.70 per side. |
The pricing formula and examples can be found in the Interest Rate Derivatives Pricing Guide (pages 11-13).
[2] This applies to the spot month only. Change of spot month occurs 5 trading days prior to expiry (including expiry day).
What do I need to do by when?
ASX24 Trading Participants wishing to trade the 5 Year Treasury Bond Future should log in to the Customer Development Environment to begin testing as soon as possible.
End users wishing to trade the 5 Year Treasury Bond Future should ensure that relevant systems and vendors are set up to support the new listing.
Need more information?
Issued by
Monique Bell, Manager Interest Rate Products.