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Notice
Effective for the December 2021 Bond Futures Expiry onwards, ASX Clear (Futures) will expand the sample of bid and offer data used in the calculation and determination of the 3, 5, 10 and 20 Year Treasury Bond Futures Expiry Settlement Price. A number of changes have been made to the methodology to improve the robustness of the Settlement Price. These changes include:
· Introducing an additional bid offer quotation Session at 9:00:00am;
· Widening the duration of each Session from +/- 5 seconds to +/- 60 seconds; and
· Increasing the number of sample quotations within a Session to be used in the calculation of the Expiry Settlement Price.
The effect of these changes will be that quotes are taken for each bond line at 3 Intervals across 4 periods or Sessions. The Sessions and Intervals are as follows:
- Session 1: 8:59:00, 9:00:00 and 9:01:00 (3 Intervals)
- Session 2: 9:44:00, 9:45:00 and 9:46:00 (3 Intervals)
- Session 3: 10:29:00, 10:30:00 and 10:31:00 (3 Intervals)
- Session 4: 11:14:00, 11:15:00 and 11:16:00 (3 Intervals)
An NBBO rate for each bond line within a Session is then calculated by taking an average of the NBBO rate at each Interval, resulting in increased sample quotations contributing to the calculation of the Expiry Settlement Price.
Further detail on the calculation is available in the ASX Treasury Bond Futures Expiry Settlement Price Methodology document.
A marked up version of the ASX 24 Procedure changes can be found below:
Change to location of historical bond baskets list from the ASX 24 Operating Rules Procedures to www.asx.com.au
The 3, 5, 10 and 20 Year ASX Treasury Bond Futures baskets are determined and announced prior to the contract month being listed on ASX 24 for trading. Each basket is made up of a minimum of three Treasury Bond lines per basket. The historical bond baskets are currently published on www.asx.com.au and in the ASX 24 Procedures. Going forward the historical bond baskets will only be updated in the ASX 24 Treasury Bond Futures historical Bond Basket series document on the website.
What do I need to do by when?
ASX 24 Participants are encouraged to familiarise themselves with changes to the methodology ahead of the December 2021 expiry.
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Issued by
Monique Bell
Manager Interest Rate Products