ASX Rates Highlights Q1 - January to March 2024
OTC, Futures, Benchmarks and Collateral insights Q1 2024
ASX provide key trading observations during the period January to March 2024 and the latest rate derivative market updates. View the key updates and the full chart pack below.
Strong volumes were seen across the Treasury Bond product set during Q1 2024. Attention has turned to the longer end of the curve as market pricing suggests we have hit peak rates in this tightening cycle, inflation is moderating and the market prices in expectations of rate cuts in Q3 or Q4. 13.1m and 12.6m contracts were traded in the 3 and 10 Year Treasury Bond futures contracts respectively during Q1. The 20 Year Treasury Bond future also saw some solid activity trading up 165% on prior calendar period and open interest was up 115% to 32,922 contracts (up 115% in March vs February).
The shorter-end products showed slightly muted activity versus Q1 2023 with 30-Day Cash Rate futures down 15% and 90-Day Bank Accepted Bills futures down 9% driven in part by the escalated volumes in Q1 2023 (SVB and the banking crisis in March 2023) and by very minimal expectation of any change in interest rates over Q1 2024.
The key theme in Q1 2024 was reduced volatility in the front end as the market pushes expectations of a rate cut further out along the curve. The spread between the 1-month and 6-month tenors has remained at 20 basis points throughout the quarter.
Average daily eligible volumes remain at A$1.87bln per day with on average 3.09 tenors out of 6 being formed using the transaction-based layer.
| Product | Contracts taken to cash settlement (March 2024) |
| 3 Year (YT) | 155,256 |
| 5 Year (VT) | 1,119 |
| 10 Year (XT) | 77,990 |
| 20 Year (LT) | 704 |
| NZ 90-Day (BB) | 45,753 |
ASX OTC Clearing volumes for Q1 2024 were A$1.77trn notional value up 47.4% on the prior quarter. Open Interest was A$3.91trn up 20% 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.
ASX Collateral balances have increased to A$21bn during the first quarter of 2024 with market share of RBA OMO finishing at 46%.
ASX Collateral participants are continuing to experience the benefits of an efficient collateral optimisation solution with the average repo contract optimised with 115 unique securities and 62% having a value below A$5m. Further, structured securities and corporate bonds make up 17% of eligible collateral with government bonds' taking up 31%.
RBA’s OMO has seen some stability relative to the highs during the COVID-19 averaging A$9bn during the quarter, with excess ES balances expected to continue to fall with the unwinding of the TFF through to mid 2024.
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.
The results of the survey to explore the reintroduction of listed New Zealand Government Bond futures showed broad support. We are facilitating an industry working group during April - contact Rates@ASX.com.au to participate.
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Email: Rates@asx.com.au
www.asx.com.au/bond-derivatives
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International: telephone +61 2 9338 0000
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