On Feb. 11, 2025, ASX amended ASX 24 procedures to align with the functional changes being delivered in ASX 24 service release 4 for the bond futures contracts.
Changes include delinking the bond futures (3, 5, 10 and 20 year) contracts outright market from the calendar spread market during the week of the roll period.
The roll period, for the purpose of the tick increment changes, is defined as the 8th of the expiry month (trade date 9th to the 15th of expiry month), or next business day.
Plus, maintains current tick sizes (wider increments) in the outright markets during the roll period, while applying narrower tick increments to the calendar spreads.
The amendments will be effective from Mar. 10, 2025.
On Jul. 23, ASX published survey on proposed changes to contracts.
ASX published a survey on proposed changes to Treasury bond futures contracts during the roll period based on feedback from customers and intermediaries.
Follows ASX Jun. 2020 announced 5 year treasury bond future on ASX24, see #80512.
Proposal
Delinks outright markets of bond futures contracts from calendar spread market.
Maintains current tick sizes (wider increments) in the outright markets during the roll period, while applying narrower tick increments to the calendar spreads.
The contracts affected include the 3, 5, 10, and 20 year Treasury bond futures.
Target financial services segments including banks (markets division and balance sheet management), asset managers, government agencies, hedge funds.
In addition, proprietary trading firms, liquidity providers, ASX 24 participants (clearing, trading), software vendors, inter-dealer brokers, as well as industry bodies.
Consultation End
Consultation period closes Aug. 16, 2024.
Feb. 2025 Bond Futures Delinking Procedures
On Feb. 11, 2025, ASX amended ASX 24 procedures to align with the functional changes being delivered in ASX 24 service release 4 for the bond futures contracts.
Changes include delinking the bond futures (3, 5, 10 and 20 year) contracts outright market from the calendar spread market during the week of the roll period.
The roll period, for the purpose of the tick increment changes, is defined as the 8th of the expiry month (trade date 9th to the 15th of expiry month), or next business day.
Plus, maintains current tick sizes (wider increments) in the outright markets during the roll period, while applying narrower tick increments to the calendar spreads.
The amendments will be effective from Mar. 10, 2025.
Regulators
ASX
Entity Types
B/D; Bank; Inv Co
Reference
Nt 0122.25.02, 2/11/2025; PR 0828.24.07, Suv 7/23/2024
Functions
Compliance; Operations; Trading
Countries
Australia
Category
State
N/A
Products
Banking; Clearing; Fixed Income; Fund Mgt; Futures; Hedge Funds
