ASX Rates Highlights Q3 - July to September 2024
OTC, Futures, Benchmarks and Collateral insights Q3 2024
ASX provide key trading observations during the period July to September 2024 and the latest rate derivative market updates. View the key updates and the full chart pack below.
Monetary policy announcements in US and Australia triggered record volumes of non-roll activity in the 90 Day Bank Bill and 3 Year Treasury Bond futures during Q3 2024. 399k and 527k contracts were traded in the 90 Day Bank Bill and 3 Year Treasury Bond futures on 31 July respectively. The 90 Day Bank Bill futures went on to establish another non-roll record on 6 August when 442k contracts were traded.
Roll volumes were up 7% across the Treasury Bond futures contracts with the 10 Year contract particularly strong at 1.6m contracts.
Over the last quarter we saw the yield curve flattening, possibly in anticipation of the oncoming rate cuts. The spread between the 1-month and 6-month tenors decreased to 32 basis points at the end of Q3 2024.
Average daily eligible volumes increased to 2.41bn per day in Q3, supporting an increase in tenor formation using the transaction-based layer to an average of 3.42 tenors out of 6. There was growth in the eligible transaction volume for the 6-month tenor up to 35% of the total.
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 (Sep 2024) |
| 90 Day (IR) | 180,433 |
| 3 Year (YT) | 92,945 |
| 5 Year (VT) | 3,746 |
| 10 Year (XT) | 27,681 |
| 20 Year (LT) | 785 |
| NZ 90-Day (BB) | 48,031 |
ASX OTC Clearing volumes for Q3 2024 were A$2trn notional value up 42% on the prior quarter. Open Interest was A$4.63trn up 14% on the prior quarter.
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. To learn more about margin optimisation, see here.
Average monthly balances hit a post-COVID high of $31.8bn. This increase has likely been driven by RBA Open Market Operations (OMO). RBA OMO for August averaged $30bn (51% increase from July) with ASX Collateral’s markets share being 53% at $16bn.
The increase both ASX Collateral balances and RBA OMOs is potentially driven by the Term Funding Facility unwinding on 30 June 2024, leading to a significant drop in Surplus Exchange Settlement Balances.
International rate movements contributing to shifting market dynamics with major markets starting to decrease rates (with consensus in Australia following suit early next year) and Japan hiking rates.
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.
Coming in November!
ASX is targeting November 2024 for go-live, subject to Regulatory clearance and internal/external readiness. Serials are currently available for testing in our CDE and CDE+ environments.
ASX published a survey to the market regarding changes to the bond futures contracts during the week of the roll. The results can be found here.
ASX is keen to hear your feedback regarding the tick size of the 3 Year Treasury Bond futures contract. The consultation paper can be found here. Deadline for responses is 8 November 2024.
The above survey and consultation was discussed at the Interest Rate Working Group which was held on 14 October 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.
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