ASX 24 Participants are advised that ASX plans to make a change to the 3 Year Bond Futures contract minimum price increment to improve market quality and liquidity in response to current market conditions.  ASX will be holding a customer forum on Tuesday 23 August 2022 to engage with market participants on the change to the 3 Year Bond Futures minimum price increment.

The following change, subject to regulatory clearance, will be implemented as soon as practicable and is targeting mid-October 2022.  The implementation date will be advised via a market notice to be published in late August 2022.  ASX will be engaging with ASX 24 Trading Participants and vendors to confirm the implementation date. 

Rationale for the change

The re-introduction of the minimum price increment to 0.010% follows a review of market liquidity in current market conditions, as measured by top of book bid and offer volume, market depth and traded volume.  Since November 2021, there has been a noticeable decline in top of book and depth liquidity as a result of macro and global market influences.  Reduced on-screen liquidity may impact the ability to efficiently enter and exit futures contract exposure and may result in price slippage.

In 2009, ASX previously widened the minimum price increment in the 3 Year Bond Futures in response to the impact the Global Financial Crisis had on futures market liquidity.  At that time the wider minimum price increment did result in improved on-screen liquidity as measured by top of book and visible depth.

ASX will undertake ongoing monitoring of the market to ensure the right balance of liquidity and efficiency.

Bond Roll Tick Increments

At this stage ASX does not plan to make any changes to the bond roll tick increments.  The functioning and effectiveness of the bond roll will continue to be monitored.

CDE and CDE+ Availability

To support customer testing of the minimum price change, the minimum price increment for the 3 Year Bond Futures will be set to 0.010% in CDE and CDE+.  Further details will be provided in the second Market Notice to be published in late August 2022.

August 2022 Customer Forum

ASX will be hosting a customer forum on Tuesday 23 August 2022 at 12.30pm to provide further information on market liquidity insights.  The customer forum will also present an opportunity for ASX 24 Participants and end users to raise any questions or comments on the upcoming change.  Participants and vendors can register interest in attending the customer forum by emailing FIsales@asx.com.au.

What do I need to do by when?

ASX 24 Participants and vendors should consider and identify any changes required to support the change to the minimum price increment for the 3 Year Bond Futures contract.

Need more information?

Issued by

Kristye van de Geer,
Senior Manager, Interest Rate Products

Contact information

Kristye van de Geer

+61 (02)  9227 0130 or 0437 767 008
kristye.vandegeer@asx.com.au

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