Notice
Notice reference number: 0537.14.05
Notice date: 23/05/2014
What’s this about?
Effective date: 8/12/2014
 ASX Trade
 ASX 24
 Trading
 Clearing

Settlement
 Operations
 Technology

Market Data
 Rules
 Compliance

Risk

Other
Title
ASX 10 Year Bond Futures – Introduction of quarter tick trading during the quarterly roll
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Description
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Following extensive market consultation and analysis on improving the 10 Year Treasury Bond Futures bond roll, ASX
will be introducing quarter tick increments (0.0025%) over 10 Year Treasury Bond Futures roll periods. Outside of bond
roll periods, the minimum tick increment will revert to a half tick for the 10 Year Treasury Bond Futures.
The 3 Year Treasury Bond Futures tick increment structure will remain unchanged – i.e. continuing to move from full tick
to a half tick increment over the roll period.
The narrower tick increment for the 10 Year Treasury Bond Futures will be available for the roll period to facilitate
customer position migration at a lower transaction cost. ASX believes that reducing the cost of crossing the spread will
improve the roll market structure and reduce order proliferation.
ASX is targeting the December 2014 roll as the first roll period to trade at the quarter tick.
Futures price trading at 0.0025% increments requires a change to the decimal price format on the ASX 24 trading
system and relevant downstream applications from 3 to 4 decimal places.
ASX will be working closely with the Participants and vendors to ensure market readiness in time for the December 2014
roll.
Further detail will be made available in June 2014 on:

Action required from Participants and vendors to support the four decimal place price structure; and

The implementation approach and test bed availability.
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What do I need to do and by when?
Instructions
Participants and vendors are requested to consider and identify what actions they need to undertake to support quarter
tick trading.
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ASX Notice Notice
(continued)
Need more information?
Issued by
Kristye van de Geer
Manager, Interest Rate Markets
Contact Details
Email: [email protected]
Phone: +612 9227 0130
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Disclaimer
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