ASX Benchmarks
Over the last quarter of 2024 we saw the yield curve flattening as the market started to price multiple rate cuts anticipated in 2025. The spread between the 1-month and 6-month tenors fell to 17 basis points at the end of Q4 2024.
Average daily eligible volumes decreased to 1.95bln per day in Q4, while the tenor formation using the transaction-based layer was an average of 3.3 tenors out of 6. The volume of 6-month tenor transactions continued to dominate at 39.6% of the total eligible volume.
SOFIA Overnight Repo Reference rate. From June 2024, ASX began publishing beta version 2 of the SOFIA Overnight Repo Reference rate with the both VWAP and a volume-weighted median based calculation methodologies. Further detail and additional data can be found on the ASX Benchmarks website here.