ASX 24 Participants are advised that ASX has received regulatory clearance for the 3 Year Treasury Bond Futures minimum price increment change.

As announced in Notice 0281.25.03, ASX will re-establish the minimum price increment (‘tick’ size) for the 3 Year Treasury Bond Futures contract at 0.005% or 0.5 basis points, from 0.01% or 1 basis point. ASX is targeting an effective date for the change to be 5pm AEST on 18 July 2025 (for Trade Date 21 July 2025), subject to participant readiness.

The ASX 24 Operating Rules Procedures (amendments marked up) can be found here.

Inter-Commodity Spreads

When the 3 Year Bond Futures minimum price increment is set to 0.005%, the minimum price increments for the inter-commodity spreads will be as follows:

·       90 Day Bank Bill and 3 Year Bond Future inter-commodity spread (IRYT) will trade at a minimum increment of 0.005%

·       3 and 5 Year Bond Future inter-commodity spread (YTVT) will trade at a minimum increment of 0.005%

·       3 and 10 Year Bond Future inter-commodity spread (YTXT) will trade at a minimum increment of 0.005%

Intra-Commodity Spreads

When the 3 Year Bond Futures minimum price increment is set to 0.005%, the minimum price increment for the 3 Year Bond Future intra-commodity (Calendar) spreads will also be 0.005%, except during the Bond Roll period.

Bond Roll Period Pricing

Bond Roll Tick Increments

ASX will not make any changes to the Bond Roll tick increments, i.e. the calendar spread market will remain delinked from the Bond Futures outright market, as per Notice 0186.25.02. Please refer to the Bond Futures Delink supporting documentation for more information.

During the Bond Roll Period, the minimum price increment for the Intra-Commodity Spreads for the 3 Year Treasury Bond Futures is different to the minimum price increment of the outright futures (at 0.002 and 0.005, respectively). As such, the leg prices of intra-commodity spreads may price at a finer tick increment, whilst maintaining the net spread price. The combination of the two minimum price increments may result in a leg with a price multiple of 0.001 that is neither at the 0.002 or 0.005 increment. Please refer to the 3 Year Tick Change Tradeable Pricing fact sheet below for further information and price examples.

Auction Algorithm and Open Price Determination

During the 5-day Roll period, the trading platform is configured to allow trades in the outright bond futures to execute at the finer ‘roll’ tick. This is primarily to allow for leg executions resulting from calendar spreads to be priced at the finer tick increment. With this configuration, the finer tick increment is eligible and considered by the opening auction algorithm. It is therefore possible that the auction equilibrium price can result in an auction trade price (open price) being printed at a finer tick increment than is allowable for order entry in the outright market. For the 3 Year Treasury Bond Future, this means that the auction trade price may be printed at a price multiple of 0.001 during the Bond Roll.

ASX Trade Accept

The minimum price increment permitted for EFP and Block Trades in the 3 Year Treasury Bond Futures contract will be the same as the increment in the ASX 24 market.

One Session Option Settlement

Where the underlying futures contract minimum price increment is set to 0.005%, the weighted average of trade prices shall be calculated to 4 decimal places and rounded 3 decimal places; if the 3rd and 4th decimal places are 2 and 5 or 7 and 5 respectively, the weighted average shall be rounded to the next highest multiple of 0.005 per cent per annum.

Serial and Quarterly Option Settlement Price

The expiry settlement price for the serial and quarterly options will be the mid-point of the 3 Year Futures bid and offer taken at 12.30pm on the expiry day, rounded up to the nearest 0.005%.

Error Resolution Policy

There is no change to the NCR, QCR and ETR basis point ranges with the increase in the minimum price increment to 0.005%.

More Information

Contract specifications can be here.

Further pricing information can be found in the 3 Year Tick Change Tradeable Pricing fact sheet here.

What do I need to do by when?

Participants should remind their customers of the change to the minimum price increment for the 3 Year Treasury Bond Futures contract. Participants and Vendors are reminded that the change is available for testing as per Notice 0479.25.05 and to ensure any processes and/or systems take into consideration the tick increment change. This change will be effective from 5pm AEST, 18 July 2025 (for Trade Date 21 July 2025).

Need more information?

Issued by

Natasha van der Kolff, Product Manager, Rates

Contact information

Natasha van der Kolff
natasha.vanderkolff@asx.com.au

or

Investor Support
+61 (02) 9338 0000
www.asx.com.au/contact

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