Notice

ASX 3 and 10 Year Bond Roll Tick Change Reminder

What's this about:
  • ASX 24 Market
  • Rates
  • Interest Rate Futures
  • Trading
  • Clearing
  • Product
  • Operations
  • Technology
  • September 2020 bond roll
  • tick changes
  • CDE environment
  • impact assessment
  • Show more
Notice reference number: 0693.20.06
Date published: 30/06/20
Effective as of: 06/07/20
Last updated: 30/06/20

Market participants and vendors are advised that the bond roll tick changes, which will commence with the September 2020 roll, will be available on the Customer Development Environments (CDE and CDE+) from Monday 6 July until 3 August 2020.

Bond Roll Tick Increments

Commencing with the September 2020 expiry, the following tick increments will be applied to the outright and roll (calendar spreads) for the 3 and 10 Year Bond Futures contract. Times are in AEST.

3 Year Bond Futures

Multiples of 0.002 per cent during the period 17:10 on 8th of the expiry month, or the next business day if the 8th is not a business day, to 16:30 on the day of expiry.  All the other times the minimum price increment will be 0.005 per cent.

10 Year Bond Futures

Multiples of 0.001 per cent during the period 17:10 on 8th of the expiry month, or the next business day if the 8th is not a business day, to 16:30 on the day of expiry.  All the other times the minimum price increment will be 0.005 per cent.

CDE and CDE+ Test Schedule

The following tick increments will be applied to the 3 and 10 Year Bond Futures contracts and related spread markets on the dates as set out below.

Trade Date

Calendar Date and Time
(AEST)

3 Year Roll and Outright Tick Increment

10 Year Roll and Outright Tick Increment

7 July 2020

6 July 17:10

0.002

0.001

21 July 2020

20 July 17:10

0.005

0.005

23 July 2020

22 July 17:10

0.002

0.001

28 July 2020

27 July 17:10

0.005

0.005

30 July 2020

29 July 17:10

0.002

0.001

4 August 2020

3 August 17:10

0.005

0.005


Please refer to the ASX 3 and 10 Year Bond Roll Factsheet for further information on the bond roll tick changes, including examples of the prices that will be tradeable when the narrower new tick increments are applied.  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 when the tick increments are changed.

What do I need to do by when?

Trading Participants and vendors can test the new bond roll tick changes from Monday 6 July at the commencement of the night session.

Need more information?

Issued by

Kristye van de Geer
Senior Manager, Interest Rate Products

Contact information

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

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