Sydney Futures Exchange: Half Basis Point Trading In 3 Year Treasury Bond Futures Contract And Removal Of “At-best” (F5) Functionality During June 2006 Roll Period

From 5.00pm on Thursday 8 June 2006 (Trade Date 9 June 2006) half basis point trading will be permitted in the 3 Year Treasury Bond Futures contract in the lead up to the June expiry. During this time half basis point trading will be permitted in the spot and next month 3 Year Bond Futures contracts as well through intra- and inter-commodity spreads and in permitted strategies in the Custom Market.

The minimum price increment will revert back to 1 basis point from 5.00pm on Thursday 15 June 2006 (Trade Date 16 June 2006).

Removal of “At-best” Functionality

SFE will also switch off the “At-best” functionality for both the spot and next month 3 and 10 Year Treasury Bond Futures contracts for the June roll period. The “At-best” functionality will not be available for the outright, intra-and inter-commodity (YT-IR and XT-YT spreads) markets from 5.00pm on Thursday 8 June 2006 to 5.00pm on Thursday 15 June 2006.

The decision to turn off the “At-best” functionality during the June roll period is consistent with SFE’s obligation to ensure an orderly and efficient quarterly roll process by taking steps to reduce the incidence of order duplication.

The “At-best” functionality will continue to be available on the 3 and 10 Year Treasury Bond Options contracts, including the One Session Options.

Following the June 2006 roll period, SFE will review the impact of removing the “At-best” functionality and advise market participants of any further actions that are consistent with SFE’s ongoing obligation as a licensed market operator. SFE will also announce the exact date of the permanent introduction of half basis point trading in the 3 Year Treasury Bond Futures contract.

For further information refer to SFE Notice 131/05 (Improvements to the Bond Roll and Half Basis Point Pricing in 3 Year Treasury Bond Futures)