The key theme of the fourth quarter of 2021 was the continued steepening of the BBSW yield curve due to inflationary pressures and a change in rate expectations. At the beginning of 2021, there was little shape to the BBSW curve with tenors 1-6-month all setting below 3 basis points. In December 2021 yields on 6-month NCDs were printing above 20 basis points.
For the fourth quarter 2021, daily eligible volume for the purposes of calculating BBSW using the transaction based layer averaged $2.17 billion per day ($1.29 billion in Q4 2020).
The steepening of the yield curve led to an average of 3 tenors per day being formed using the transaction layer ($1.71 billion in Q4 2020).
The increased frequency on tenors being formed using transactions was a result of renewed activity in longer dated tenors as investors sought longer dated, higher yielding paper.
In December, ASX implemented enhancements to the calculation methodology of the quarterly Bond Futures Expiry. The purpose of these enhancements is to facilitate a robust and resilient settlement methodology which maintains the integrity of the Bond Futures Expiry as a significant benchmark. Further details on the enhancements can be found at the following here.