ASX is providing this update in relation to the trading activity following the Reserve Bank of Australia (RBA) rate statement at 2:30pm on Thursday 19 March 2020.

Prior to the statement, the June Ten Year Bond Future was trading at 98.49 (a yield of 1.51 per cent).  Immediately after the 2:30pm announcement, the Ten Year Bond Futures price initially traded up 9 points to trade at 98.58 at 2:30:37pm. Shortly after, trading in the Ten Year Bond Future then moved down 109.5 points to 97.485 over a two minute period.

ASX Trading Operations received a request at 2:49pm from one Trading Participant to consider cancelling a number of trades in the Ten Year Bond Future and one in the Three Year Bond Future. The trade cancellation request was received within the required timeframes specified for trade cancellations in section 3 ASX 24 Operating Rules and was therefore considered for cancellation.  A message was disseminated to the market via the ASX24 trading platform ‘message facility’ at 3:00pm notifying that a cancellation had been requested and was being reviewed.

ASX determined the Reference Price for the contract and assessed that the trades had not transacted in the Extreme Trade Range (ETR) as Trading occurred at most price levels with no significant gapping.  The ETR for Three and Ten Year Bond future contracts is 50.0 basis points.  As such the market was informed that all trades stood.

The Reference Price used to consider trade cancellations is taken at a point in time when the particular transaction occurred, using various criteria.  In this case, the valid last trade price preceding the entry of the asserted error trade, the valid bid or ask available in the market and the market conditions immediately before and after the transaction(s) were considered.

ASX examined all of the trade activity during the period following the RBA rate announcement. It was determined that trading was fair, orderly and transparent.  Further information on the meaning of fair, orderly and transparent can be found in Guidance Note 10.

ASX continues to closely monitor the market and in accordance with the rules may take any action it considers necessary to ensure that the market for one or more products is fair, orderly and transparent, including but not limited to:

-              suspending or halting trading in one or more products for any period of time.

-              cancelling or amending any transaction.

ASX currently has an automated Anomalous Order Threshold (AOT) mechanism in the S&P / ASX Index futures including the SPI 200.  ASX will consult with the market on the extension of Anomalous Order Thresholds for other products in due course.

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Issued by

Ben Jackson
General Manager
Market, Clearing & Settlement Operations

Contact information

Trading Operations
+62 (02) 9256 0677, 1300 655 560
tradingoperations@asx.com.au 

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