ASX Rates Highlights Q2 - April to June 2024
OTC, Futures, Benchmarks and Collateral insights Q2 2024
ASX provide key trading observations during the period April to June 2024 and the latest rate derivative market updates. View the key updates and the full chart pack below.
Heightened economic uncertainty is driving strong volumes in ASX's Interest Rates Products. During Q2 2024 short-end futures were active with 30-Day Cash Rate Futures up 70% and 90 Day Bank Accepted Bills Futures up by one third on previous quarter. The longer end of the curve also showed positive momentum with 10 and 20 Year Treasury Bond Futures up 23% and 24% on previous quarter respectively.
The June Roll saw solid volumes with 2.5m calendar spread contracts traded in total (up 7% on previous roll) driven by higher open interest leading into the roll period.
Higher economic uncertainty in Q2 2024 has seen the spread between the 1-month and 6-month tenors push out from 20 basis points at the end of Q1 to 43 basis points as at the end of Q2 2024.
Average daily eligible volumes increased to 2.35bn per day in Q2, supporting an increase in tenor formation using the transaction-based layer to an average of 3.52 tenors out of 6 up from just over 3 in Q1 2024.
SOFIA Overnight Repo Reference rate: In June 2024, ASX began publishing beta version 2 of the SOFIA Overnight Repo Reference rate with a volume-weighted median based calculation methodology. Further detail and additional data can be found on the ASX Benchmarks website here.
| Product | Contracts taken to cash settlement (June 2024) |
| 90 Day (IR) | 199,972 |
| 3 Year (YT) | 110,765 |
| 5 Year (VT) | 269 |
| 10 Year (XT) | 78,166 |
| 20 Year (LT) | 522 |
| NZ 90-Day (BB) | 35,405 |
ASX OTC Clearing volumes for Q2 2024 were A$1.4trn notional value down 21% on the prior quarter. Open Interest was A$4.09trn up 5% on the prior quarter.
During the quarter, banks and clients took advantage of the lower total cost of clearing available at ASX, with an average 55% reduction in Initial Margin requirements achieved by customers through usage of ASX's fully automated cross-product margin optimisation service.
As the COVID monetary measures continues to unwind, RBA’s average daily Surplus ES Balance has seen a marked decrease of 14% in Q2. June 26 2024 saw the lowest Surplus ES Balance (at $194b) since May 2021. Corresponding to the decrease in cash, OMO activity continues to increase – a trend that has been ongoing since the beginning of the year. ASX Collateral’s market share of OMO remains steady at 47%, contributing to its balance of $21.5b.
More than a quarter of the securities allocated as collateral on the platform are Structured, Corporate, and Agency securities. 61% of the assets within the collateral baskets hold a value of less than $5m – freeing up the higher quality assets of the collateral givers.
The full chart pack includes ASX Interest Rate Derivatives volume by session, roll volume, volume vs open interest, calendar year overview, OTC activity and ASX Collateral balances.
ASX is targeting a Q4 2024 go-live for Serial futures, subject to Regulatory clearance and internal/external readiness.
ASX has published a survey to the market regarding changes to the bond futures contracts during the week of the roll. ASX is proposing to support different tick increments on the outright markets and the calendar spreads (roll) for the 3, 5, 10 and 20 Year Treasury Bond Futures. The survey comprises of 6 questions, which will take approximately 10 minutes to complete. The survey is open till 16 August 2024
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 2024.
