Participants are advised that ASX has published a summary of the feedback received during the recent consultation on the 3 and 10 Year Treasury Bond Futures Roll.  ASX requested feedback from market participants on proposals to improve the efficient functioning of the Roll for a broad range of users.

ASX also included information on the recent rule changes governing the Pre-Trade Risk Management (PTRM) system and sought feedback on those rules and the uses of PTRM.  Although not included as a proposal, ASX also provided market users with an opportunity to comment on the potential use of block trades in the Roll.

The response to consultation paper details the changes that ASX intends to implement, which are outlined below.

ASX plans to implement the following changes for the June 2020 Roll, subject to regulatory clearance:

• Reduce the minimum price increment on the 3 Year Bond Futures outright futures and calendar spread market from 0.5 to 0.2 basis points during the week of the Roll.
• Reduce the minimum price increment on the 10 Year Bond Futures outright futures and calendar spread market from 0.25 to 0.1 basis points during the week of the Roll.

The change to the minimum tick increment will be effective for period commencing at the start of the night trading session on the 8th (trade date 9th) of the expiry month up to and including the last trading day.

The tick increment reduction is applied to both the spot and next month contract months as well as the calendar spread market.

Further information on the tick reduction including price examples, management of off-tick orders and rounding rules will be published in March 2020.

For a copy of the summary paper and further information on the implementation schedule please refer to the Bond Roll Consultation - Response to consultation feedback.

ASX would like to thank all those who responded to the consultation and appreciates the time and effort spent in coordinating each response.

What do I need to do by when?

Participants and vendors should consider and identify any changes required to support to reduced tick increments in preparation for the June 2020 Roll.

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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