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Notice
Market participants and vendors are advised that the proposed changes to the Bond Futures contracts during the week of the roll will be made available in the Customer Development Environment (CDE+) from 25 November 2024 at 5.10pm.
The changes to the Bond Futures contracts will be implemented for the March 2025 roll, subject to regulatory clearance and customer readiness.
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.
The tick increment schedules are listed in the table:
Contract |
Prescribed time – Implied Pricing Disabled |
Prescribed time – Implied Pricing Enabled |
Minimum price increment of the Intra-commodity spread when implied pricing disabled |
Minimum price increment of outright contracts |
3 Year Bond Futures |
5.10pm 8th of the expiry month |
5.10pm 15th of the expiry month or next business day is the 15th is not a business day |
0.002 |
0.010 |
5 Year Bond Futures |
5.10pm 8th of the expiry month |
5.10pm 15th of the expiry month or next business day is the 15th is not a business day |
0.0025 |
0.0050 |
10 Year Bond Futures |
5.12pm 8th of the expiry month |
5.12pm 15th of the expiry month or next business day is the 15th is not a business day |
0.0010 |
0.0050 |
20 Year Bond Futures |
5.12pm 8th of the expiry month |
5.12pm 15th of the expiry month or next business day is the 15th is not a business day |
0.0025 |
0.0050 |
At all other times the minimum price increment for the calendar spreads and outright contracts are the same.
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.
3 Year Bond Futures contract:
Trade Date |
Calendar Date and Time |
Delinked spread and outright contracts |
3 Year Futures calendar spread Tick Increment |
3 Year Futures and Outright Tick Increment |
26 November 2024 |
25 November 2024 17:10 |
Yes |
0.002 |
0.010 |
21 January2025 |
20 January 2025 17:10 |
No |
0.010 |
0.010 |
29 January 2025 |
28 January 2025 17.10 |
Yes |
0.002 |
0.010 |
4 February 2025 |
3 February 2025 17.10 |
No |
0.010 |
0.010 |
11 February 2025 |
10 February 2025 17.10 |
Yes |
0.002 |
0.010 |
18 February 2025 |
17 February 2025 17.10 |
No |
0.010 |
0.010 |
5 Year Bond Futures contract:
Trade Date |
Calendar Date and Time |
Delinked spread and outright contracts |
5 Year Futures calendar spread Tick Increment |
5 Year Futures and Outright Tick Increment |
26 November 2024 |
25 November 2024 17:10 |
Yes |
0.0025 |
0.0050 |
21 January2025 |
20 January 2025 17:10 |
No |
0.0050 |
0.0050 |
29 January 2025 |
28 January 2025 17.10 |
Yes |
0.0025 |
0.0050 |
4 February 2025 |
3 February 2025 17.10 |
No |
0.0050 |
0.0050 |
11 February 2025 |
10 February 2025 17.10 |
Yes |
0.0025 |
0.0050 |
18 February 2025 |
17 February 2025 17.10 |
No |
0.0050 |
0.0050 |
10 Year Bond Futures contract:
Trade Date |
Calendar Date and Time |
Delinked spread and outright contracts |
10 Year Futures calendar spread Tick Increment |
10 Year Futures and Outright Tick Increment |
26 November 2024 |
25 November 2024 17:12 |
Yes |
0.0010 |
0.0050 |
21 January2025 |
20 January 2025 17:12 |
No |
0.0050 |
0.0050 |
29 January 2025 |
28 January 2025 17.12 |
Yes |
0.0010 |
0.0050 |
4 February 2025 |
3 February 2025 17.12 |
No |
0.0050 |
0.0050 |
11 February 2025 |
10 February 2025 17.12 |
Yes |
0.0010 |
0.0050 |
18 February 2025 |
17 February 2025 17.12 |
No |
0.0050 |
0.0050 |
20 Year Bond Futures contract:
Trade Date |
Calendar Date and Time |
Delinked spread and outright contracts |
20 Year Futures calendar spread Tick Increment |
20 Year Futures and Outright Tick Increment |
26 November 2024 |
25 November 2024 17:12 |
Yes |
0.0025 |
0.0050 |
21 January2025 |
20 January 2025 17:12 |
No |
0.0050 |
0.0050 |
29 January 2025 |
28 January 2025 17.12 |
Yes |
0.0025 |
0.0050 |
4 February 2025 |
3 February 2025 17.12 |
No |
0.0050 |
0.0050 |
11 February 2025 |
10 February 2025 17.12 |
Yes |
0.0025 |
0.0050 |
18 February 2025 |
17 February 2025 17.12 |
No |
0.0050 |
0.0050 |
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 stricture from 25 November 2024 in the CDE+ environment at the commencement of the night session.
The CDE+ environment will be unavailable for customer testing during the maintenance period between 09:00 - 16:30, Monday 25 November.
Need more information?
Issued by
Kristye van de Geer
Senior Product Manager, ASX 24
Contact information
For business queries please contact Jennifer Eason
Jennifer.eason@asx.com.au
+612 8298 1612 or +612 432 225 163
For technical queries please contact the Customer Technical Support team:
cts@asx.com.au
1800 663 053 from within Australia
+61 2 9227 0372 from international locations
For trading or operational queries please contact the Trading Operations team:
tradingoperations@asx.com.au
1300 655 561 from within Australia
+612 9256 0677 from international locations