ASX Rates Highlights Q2 – April to July 2023

ASX Short-Term Interest Rate Derivatives Market Development

Following the RBA review and recommendation to move from 11 to 8 monetary policy meetings per year, ASX is engaging the market on its existing short-term listed product offering and to identify possible alternative product designs. We've released a consultation paper and short survey via Market Notice. ASX welcomes feedback from all market participants.

Fallback provisions for Australian and New Zealand 90 Day Bank Bill Futures

Fallback provisions are now effective for ASX AU and NZ 90 Day Bank Bill Futures contracts, which detail the approach ASX would take in the event of a permanent cessation of the benchmarks used to cash settle the contracts at expiry.  These provisions have been implemented following consultation with the market and are in line with global benchmark reform and best practice guidance issued by regulators worldwide to proactively include fallback language in all contractual arrangements. Read the Market Notice detailing the changes.

June Interest Rate Futures Expiries

• 3 Year Roll activity was down 11% in June (781k) vs March (886k)
• 10 Year Roll activity was down 12% in June (1.33m) vs March (1.52m)
• 58k 3 Year contracts and 62k 10 Year contracts were taken to cash settlement
• 2,905 5 Year and 915 20 Year contracts were taken to cash settlement
• 130k AU 90 Day Bank Bill Futures were taken to cash settlement
• 54k NZ 90 Day Bank Bill Futures were taken to cash settlement

ASX records strong OTC Clearing Volumes in Q2 2023

ASX OTC Clearing volumes for Q2 2023 were A$2.14trn notional value, up 46% vs PCP following higher level of short term interest rate swap activity. Open Interest was A$4.54trn notional value up 3% vs PCP.

During the quarter, market participants took advantage of the lower total cost of clearing available at ASX, with 54% quarter on quarter growth in OTC Clearing activity of interest rate swaps with a 3 year+ term to maturity contributing to an average 58% reduction in Initial Margin requirements through usage of ASX's fully automated cross-product margin optimisation service.

Benchmarks consultation: Reducing the interbank delivery window and amendments to the term "Publication"

In response to user feedback, ASX is consulting the market on a proposal to reduce the interbank delivery window for BBSW for the purpose of aligning NBBO rates and transaction based rates and amendments to the term "Publication". Read the ASX Benchmarks consultation paper.

ASX Interest Rate Derivatives Chart Pack

The full chart pack includes ASX Interest Rate Derivatives volumes pcp, roll volumes, volume vs open interest pcp, 3 year treasury bond future top of book volume and OTC activity.