Asx bond futures roll oqtkbnk

Asx bond futures roll

20.02.2021

Brecht32979

We provide a comprehensive explanation of the method used to price, and evaluate efficiency of the 3 and 10 Year. Australian Treasury Bond Futures contracts, The purpose of the ASX Treasury Bond Futures Roll (“the Roll”) is to facilitate the timely and efficient movement of existing futures exposure from the front contract to the next futures contract, allowing position holders to maintain ASX has published a consultation paper on potential changes to the contract specifications and order management functionality for the 3 and 10 Year Bond Futures Roll. The purpose of the consultation is to identify opportunities to improve the efficient functioning of the Bond Roll for a broad range of market users. For both the 3 and 10 Year Treasury Bond Futures contracts, both the roll and outright markets trade at the minimum tick increment. To support a Centre Point Block order type, the minimum price increment would need to be narrower than that traded in the central limit order book.

15 Aug 2019 Market snapshot at 7:50am (AEST):. ASX SPI futures -0.4pc at 6,351, ASX 200 ( Thursday's close) -2.9pc at 6,408; AUD: 67.74 US cents,

ASX will reduce the 3 Year Bond Futures roll from 0.5 basis points to 0.2 basis points for the five days prior to the expiry of the lead futures contract. For the 10 Year Bond Futures roll, ASX will reduce the minimum tick increment from 0.5 basis points to 0.1 basis points for the five days prior to the expiry of the lead futures contract. The upcoming June expiry for the ASX 24 Bond Futures (Bond Roll) will be the first since the go-live of the New Trading Platform (NTP). ASX would like to raise awareness around two important changes due to the introduction of NTP. Order purge on expiry. ASX introduced the narrower price increment during the quarterly roll period from March 2006, before full implementation in December 2006. The move to half-tick trading followed extensive market consultation on optimising the efficiency of the bond futures contract for risk management. In 2009,

AFMA welcomes the review by ASX of the Bond Futures Roll market structures. We see opportunities for improvements that will support the integrity and growth of the market and create savings for investors. AFMA also supported the changes to the Bills contracts, and encourages ASX to continue

ASX ond Roll onsultation News ASX Bond Roll Consultation ASX 24 is consulting on potential changes to the Bond Futures Roll. AFMA has long supported a review of the settings around the Bond Roll. Key potential changes considered in the consultation include: • Potential tick changes (reductions) during the rolls; AFMA welcomes the review by ASX of the Bond Futures Roll market structures. We see opportunities for improvements that will support the integrity and growth of the market and create savings for investors. AFMA also supported the changes to the Bills contracts, and encourages ASX to continue

ASX will be listing a new AUD 20 Year Government Bond Futures contract with an increased face value of $65,000 under the contract code, LT. This contract replaces the existing 20 Year Bond Futures XX contract. No new XX contracts will be listed beyond the current December 2018 expiry (XXZ8).

ASX has published a consultation paper on potential changes to the contract specifications and order management functionality for the 3 and 10 Year Bond Futures Roll. The purpose of the consultation is to identify opportunities to improve the efficient functioning of the Bond Roll for a broad range of market users. For both the 3 and 10 Year Treasury Bond Futures contracts, both the roll and outright markets trade at the minimum tick increment. To support a Centre Point Block order type, the minimum price increment would need to be narrower than that traded in the central limit order book. The consultation paper and discussions on potential changes to the bond roll structure seek to address both the ASX’s and participants’ mutual objectives of ensuring liquidity and efficiency in the roll process. The aim of this paper is to examine potential changes to the market structure of the 3 and 10 Year Treasury Bond Futures roll. ASX will reduce the 3 Year Bond Futures roll from 0.5 basis points to 0.2 basis points for the five days prior to the expiry of the lead futures contract. For the 10 Year Bond Futures roll, ASX will reduce the minimum tick increment from 0.5 basis points to 0.1 basis points for the five days prior to the expiry of the lead futures contract. The upcoming June expiry for the ASX 24 Bond Futures (Bond Roll) will be the first since the go-live of the New Trading Platform (NTP). ASX would like to raise awareness around two important changes due to the introduction of NTP. Order purge on expiry. ASX introduced the narrower price increment during the quarterly roll period from March 2006, before full implementation in December 2006. The move to half-tick trading followed extensive market consultation on optimising the efficiency of the bond futures contract for risk management. In 2009, Trading ASX Bond Futures and Options Trading in ASX’s 3 and 10 Year Treasury Bond Futures and Options is conducted ‘On market’ via ASX 24’s electronic platform ASX 24 NTP and ‘Off market’ through ‘Exchange for Physicals’ transactions and the Block Trade Facility (night sessions only).

Treasury bond futures are a key financial product in Australia, with turnover in Treasury bond futures contracts significantly larger than turnover in the market for commonwealth government securities (cgs). Treasury bond futures contracts provide a wide variety of market participants

aims to provide an after-fee return above an Index over rolling three-year periods. Diversification & defence – Australian bonds have historically tended to rise in TREASURY BOND FUTURES EXP 15/06/2020, Index Futures, AUD, 57