ASX Rates Highlights Q1 - January to March 2025
OTC, Futures, Benchmarks, Collateral and Austraclear insights and statistics
ASX provide key trading observations during the period January to March 2025 and the latest rate derivative market updates. View the key updates and the full chart pack below.
Trading volumes increased in Q1 2025, primarily driven by volume in 90 Day Bank Bill Futures, 3 year and 10 year Bond Futures contracts. The RBA - as widely anticipated by the market - cut interest rates in February 2025, the first change since November 2023.
The March 2025 Bond Roll was the first Roll Period where the Bond Futures (3, 5, 10, and 20 year) contracts outright market was delinked from the roll calendar spread. As a result of the change, significant improvements in top of book liquidity and depth were recorded in the outright market during the period.
Outright market top of book liquidity improvements throughout the roll period:
With the roll completed we also saw significant outright market top of book liquidity improvements on the Final Trading Day (day session):
The improved liquidity and tradability of the outright market during the roll period contributed to substantial improvements in market activity during the roll period.
After the yield curve flattening to 4bps at the end of 2024, we saw the long anticipated 25bps rate cut in February 2025 with the spread between the 1-month and 6-month tenors growing back to 20 basis points over the first quarter of 2025.
Average daily eligible volumes slightly increased to 2.01bln per day in Q1, while the tenor formation using the transaction-based layer was unchanged at an average of 3.3 tenors. The volume of 6-month tenor transactions continued to dominate at 34.1% of the total eligible volume.
SOFIA Overnight Repo Reference rate
From June 2024, ASX has been publishing the beta version 2 of the SOFIA Overnight Repo Reference rate with both the VWAP and a volume-weighted median based calculation methodologies. Further detail and additional data can be found on the ASX Benchmarks website here.
| Product | Contracts taken to cash settlement (Mar '25) |
| 90 Day (IR) | 189,539 |
| 3 Year (YT) | 51,289 |
| 5 Year (VT) | 846 |
| 10 Year (XT) | 35,504 |
| 20 Year (LT) | 167 |
| NZ 90-Day (BB) | 46,508 |
ASX OTC Clearing volumes for Q1 2025 were A$1.825trn notional value, up 2% on PCP. Open Interest as at the end of March 2025, was $4.62trn, up 18% on March 2024.
During the quarter, banks and clients appeared to take advantage of the lower total cost of clearing available at ASX with an average 50% reduction in Initial Margin requirements, achieved by customers through usage of ASX's fully automated cross-product margin optimisation service. Learn more
ASX Collateral average balance for Q1 2025 remained steady at $29bn, however, there has been an uptick of activity in the second half of the quarter following RBA's rate cut. Q1 2025 ended with a balance of $34bn. The quarter saw the average surplus ES balances at $215bn, aligned to the previous quarter, however, Q1 2025 saw downturn of balances within the quarter. ES surplus balances peaked at $238bn in mid Jan but ended the quarter at $184bn. The RBA OMO activity saw a similar pattern. The quarter averaged $25bn (down from $28bn in Q4 2024) but saw a minimum of $23bn in mid Jan and ended the quarter at $28bn.
The full chart pack includes ASX Interest Rate Derivatives volume by session, roll volume, volume vs open interest, calendar year overview, OTC activity, ASX Collateral balances and Austraclear's outstanding bond amounts.
ASX will re-establish the minimum price increment (‘tick’ size) for the 3 Year Treasury Bond Futures contract at 0.005% or 0.5 basis point from 0.01% or 1 basis point. The effective date will be 5.10pm on 18 July 2025 (Trade Date 21 July 2025), subject to participant readiness and regulatory clearance. Read more in the market notice here.
The Bond Futures delink commenced with the March 2025 Bond Roll, where the Bond Futures (3, 5, 10, and 20 year) contracts outright market was delinked from the calendar spread market during the Roll Period. This change is expected to support greater outright market liquidity during the roll period while maintaining the highly efficient roll mechanism for users. Read more into the market notice here.
ASX will be hosting the second ASX 24 Markets Working Group on 29 May 2025. The working group is open to ASX 24 Trading and Clearing Participants, software and data vendors. If you have not received an invitation and would like to attend, please email futures@asx.com.au to join the working group.
ASX looks forward to hosting the FIA Forum in Sydney on 4 June 2025. Welcoming industry experts to discuss trends in trading and clearing, product development, regulatory compliance and industry operations. Register here.
Email: Rates@asx.com.au
www.asx.com.au/bond-derivatives
Domestic: telephone 131 279
International: telephone +61 2 9338 0000
Disclaimer: Information provided is for educational purposes and does not constitute financial product advice. You should obtain independent advice from an Australian financial services licensee before making any financial decisions. Although ASX Limited ABN 98 008 624 691 and its related bodies corporate (“ASX”) has made every effort to ensure the accuracy of the information as at the date of publication, ASX does not give any warranty or representation as to the accuracy, reliability or completeness of the information. To the extent permitted by law, ASX and its employees, officers and contractors shall not be liable for any loss or damage arising in any way (including by way of negligence) from or in connection with any information provided or omitted or from any one acting or refraining to act in reliance on this information.
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