ASIC Market Supervision Update Issue 27

Previous issues

Best execution transitional period

Participants will be aware that ASIC has previously stated that the best execution transitional period under ASIC Market Integrity Rule 3.1.1, which was to end on 31 October 2012, will be extended to 1 March 2013. This transitional period allowed participants to transmit orders solely to ASX TradeMatch, and without needing to access other markets. ASIC has this week granted Class Rule Waiver [CW 12/1520] giving effect to the extension of the transitional period. The Class Waiver waives part of the obligation to comply with rules 3.1.1and 3.2.3(2) of the ASIC Market Integrity Rules (Competition in Exchange Markets) 2011 until 1 March 2013.

 

Index arbitrage orders

Ahead of the serial expiry of the S&P/ASX 200 index futures contracts on 15 November 2012, ASIC would like to remind market participants of ASX Guidance Note 32 Bulk Authorisation of Index Arbitrage Orders (Guidance Note).

The Guidance Note provides participants with guidance in relation to the entry of index arbitrage orders, in particular to orders entered to exit or unwind an index arbitrage hedge position during the pre-open on expiry, and any other time when opening or altering an index arbitrage hedge position with orders to be executed at the open. The Guidance Note applies to all index arbitrage orders entered in the pre-open on any trading day, not just at expiry.

If a participant has a sizeable index arbitrage position, guidance is provided (Guideline 2) on how early such an order should be placed. This provides the rest of the market with adequate time to adjust accordingly. Guideline 3 in the Guidance Note further states that in relation to the price of entry of index arbitrage orders, participants are able to amend the price with a view to trading the order. Any price amendment made however, should be made within the principles of the operation of a fair, orderly and transparent market.

Guideline 4 states that if a participant materially amends the volume of an existing order, this will be considered as a 'new' order. As a new order, it would be subject to the verification, price and time guidelines contained in the Guidance Note. This includes amending order volume down significantly.

ASIC also reminds participants that while filters may be adjusted on expiry date to handle the volumes associated with the bigger baskets, this should be done in accordance with the Guidance Note, and at all times within the principles of a fair and orderly transparent market.

 

Contact ASIC

Market participants should contact ASIC for market integrity issues and ASX for operational issues. Contact ASIC’s Market and Participant Supervision group on 1300 029 454 and you will have these voice menu options:

  • Option 1 for real time market matters
  • Option 2 for other market related matters
  • Option 3 for Participant enquiries or matters
  • Option 4 for Market wide announcements.

Or you can reach the Market and Participant Team by email market.participants@asic.gov.au, or through your relationship manager.

 

For more information 

Please see www.asic.gov.au/market-supervision.

Last updated: 30/03/2021 09:35