ASX Rates Highlights Q1 – January to March 2026
OTC, Futures, Benchmarks, ASX Collateral and Austraclear insights
Trading volumes remained elevated in Q1 2026, reaching new record levels amid heightened macroeconomic and geopolitical volatility. Activity accelerated meaningfully over the quarter, with trading volumes up 23% compared to Q4 2025 and 32% higher than Q1 2025.
Market volatility was driven by persistent inflation pressures shaping expectations for RBA monetary policy, alongside broader geopolitical risks influencing the outlook for further policy action in 2026. As a result, Q1 of 2026 saw two consecutive rate hikes from the RBA in February and March. As of Monday 20 April 2026, the market is pricing in a 72% chance of another rate hike at the May 2026 meeting.
ASX 24 Rates Futures volumes 2024 to 2026
Record bond roll and outright market liquidity
The record March bond futures roll concluded on Monday 16 March 2026, immediately ahead of the RBA’s second policy meeting of the year on Tuesday 17 March 2026 and included the largest trading day on record for ASX 24 (Wednesday 11 March 2026). Both the 3‑year and 10‑year contracts entered the roll with materially higher open interest, up 30% year‑on‑year in the 3‑year and 37% in the 10‑year.
With record volumes and elevated open interest, the March roll demonstrated the continued effectiveness of the delinked market structure, with improved outright liquidity and tradability supporting materially higher outright trading activity.
3-year bond futures
- Total outright activity up 54% YoY
- On-screen outright trading volumes up 70% YoY
- Outright trading exceeded roll activity by more than 30%
10-year bond futures
- Total outright activity up 47% YoY
- On-screen outright trading volumes up 50% YoY
- Outright activity accounted for 50% of total trading during the roll
During Q1 2026, average daily eligible volumes in prime bank NCDs remained robust, though they declined from A$2.69 billion in Q4 2025 to A$2.37 billion in Q1 2026. Despite these robust daily volumes, transaction‑based tenor formation softened during the quarter, averaging around 2.5.
The BBSW curve remained upward sloping across all tenors from 1-month to 6-month, consistent with a normal term structure. However, the sharp rise and marked steepening of the curve (particularly between February and March), reflect strong market conviction that funding rates are expected to continue to increase and remain elevated over the next six months.
Overall, these dynamics point to market expectations of rising short‑term interest rates and higher funding costs in the period ahead.
March 2026 BBSW Yield Curve
SOFIA Overnight Repo Reference rate
ASX has commenced the implementation of live SOFIA Overnight Repo Reference rate with the VWAP-based calculation methodologies, with a target go-live date set for Q3 2026.
The consultation period for the SOFIA External Methodology and Conventions document, released earlier this year for industry feedback, has now concluded. The final document will be published during Q2 2026.
March 2026 bond roll volumes and cash settlement
- 3 Year (YT) roll activity was up 15% on previous quarter at 1.511 million contracts.
- 10 Year (XT) roll activity was up 2% on previous quarter at 1.951 million contracts.
| Product | Contracts taken to cash settlement (Mar 2026) | % change QoQ |
|---|---|---|
| 90 Day (IR) | 267,871 | 30% |
| 3 Year (YT) | 192,173 | 32% |
| 5 Year (VT) | 2,348 | 930% |
| 10 Year (XT) | 102,015 | -1% |
| 20 Year (LT) | 1,681 | 47% |
| NZ 90-Day (BB) | 75,586 | 1% |
OTC Clearing
ASX OTC Clearing volumes for Q1 2026 were A$2.9 trillion notional value - the highest in three years, driven by recent RBA monetary policy activity and continued domestic inflation pressures driving activity across the curve. Open Interest as at the end of March 2026, was A$5.2 trillion up 12% vs PCP.
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.
ASX Collateral
In Q1 2026, ASX Collateral balances moderated slightly to an average of A$26 billion, reflecting broader market conditions and reduced central bank liquidity. RBA OMO activity declined further to A$17.8 billion, continuing the downward trend observed in recent quarters. Despite this contraction, ASX Collateral increased its share of OMO activity to 55%, underscoring the platform’s growing importance in the domestic liquidity ecosystem. Collateral diversification remains a defining trend, with over one‑third of triparty collateral now comprising non‑government and non‑semi‑government securities, while line‑level analysis continues to show high utilisation of smaller, sub‑$5 million positions, pointing to improved mobilisation of a broader range of assets.
ASX Fixed Income full chart pack
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.
Further news
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