ASX Rates Highlights Q4 - October to December 2024
OTC, Futures, Benchmarks, Collateral and Austraclear insights and statistics
ASX provide key trading observations during the period October to December 2024 and the latest rate derivative market updates. View the key updates and the full chart pack below.
Trading volumes were stable across the curve coming into the end of the calendar year. Over 10m Bank Accepted Bill futures were traded in Q4, not far behind the 10.7m traded during the previous bumper quarter with the US election and global data prints continuing to fuel volumes. 3 and 10 Year Treasury Bond futures volumes were down 7% respectively compared to prior calendar period following the record volumes generated by volatility during Q3.
Roll volumes were up 3% across the Treasury Bond futures contracts with the 3 Year contract particularly strong at 1.03m contracts.
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.
| Product | Contracts taken to cash settlement (Dec '24) |
| 90 Day (IR) | 208,627 |
| 3 Year (YT) | 49,815 |
| 5 Year (VT) | 103 |
| 10 Year (XT) | 47,114 |
| 20 Year (LT) | 168 |
| NZ 90-Day (BB) | 42,775 |
ASX OTC Clearing volumes for Q4 2024 were A$1.4trn notional value up 16% on PCP. Open Interest as at the end of December 2024, was $4.16trn ending the calendar year up 30% vs PCP.
During the quarter, banks and clients took 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. To learn more about margin optimisation, see here.
ASX Collateral average balance for Q4 2024 remained steady at $29bn following the OMO market stabilising post the TFF unwind. The quarter saw the surplus ES balances hovering around the $213bn and RBA OMO activity for the quarter averaging $28bn (up from $24bn in Q3) with ASX Collateral market share maintaining 42.75% (at $12bn). 2200+ lines of collateral is currently being managed daily on ASX Collateral with 33% being non-government securities and 59% having a value of $5mn or less.
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.
Now live!
ASX 90 Day Bank Accepted Bills Futures are now listed on ASX 24.
ASX has published a market notice confirming the bond futures delinking is targeted to go live for the March 2025 bond roll. The changes to the bond futures (delinking and different tick increments) is now available in the CDE+ for customer testing. Further detail on the testing schedule and a fact sheet on the change to the bond futures contracts during the roll week can be found here.
ASX is establishing a new forum for ASX customers to receive updates on the ASX 24 trading platform service releases and the platform replacement initiative. The working group is open to ASX 24 Trading and Clearing Participants, software and data vendors. The first working group will be held on 5 February 2025. If you have not received an invitation and would like to attend, please email futures@asx.com.au to join the working group.
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.
© Copyright ASX Operations Pty Limited ABN 42 004 523 782. All rights reserved 2025.
ASX acknowledges the Traditional Owners of Country throughout Australia. We pay our respects to Elders past and present.
Artwork by: Lee Anne Hall, My Country, My People
