ASX Fixed Income Highlights Q2 – April to June 2026
Futures, Benchmarks, Austraclear and ASX Collateral insights Q2 2026
ASX provides key trading observations in the Fixed Income ecosystem during the period April to June 2026 and the latest interest rate derivative market news.
Trading volumes were strong in Q2 2026, with total ASX 24 Rates Futures Volumes recording its second-highest quarter on record by traded volume reaching 51 million contracts, following the record set in Q1 2026 of 61 million contracts.
ASX Interest Rate Futures volumes remained resilient in Q2 2026, with combined 90 Day, 3 Year and 10 Year contract volumes up approximately 7% year-on-year. Growth was led by 90 Day Bank Bill Futures, which increased 19% compared to Q2 2025, while 10 Year Bond Futures rose 15%. 3 Year Bond Futures volumes were modestly lower, declining around 6% from the prior corresponding period.
This quarter was characterised by continued geopolitical developments and energy-driven inflation concerns which influenced monetary policy settings. Against this backdrop, participants actively managed interest rate risk as the RBA delivered a further rate increase in May before unanimously holding the cash rate unchanged in June, while maintaining a cautious stance on the inflation and economic outlook into their August decision. As at mid-July, the market is pricing in a 19% chance of another rate hike at the August 2026 meeting.
The June 2026 bond futures roll delivered another strong outcome, with robust trading activity throughout the roll period. Notably, 10 June, the second day of the Bond Futures roll, marked the second-largest trading day in ASX 24 history.
Trading activity continued to be well distributed between outright and roll execution, while order book liquidity remained materially above historical levels. This highlights the sustained benefits of the bond roll delinking.
During Q2 2026, average daily eligible volume in prime bank NCDs remained strong at $3.016 billion, with 16 June 2026 recording the highest eligible volume observed in BBSW. Consistent with this, transaction-based tenor formation remained robust, averaging 3.74 tenors per day, demonstrating continued depth and liquidity in the underlying market.
Over the same period, the BBSW term structure shifted higher and flattened. Comparing March 2026 with June 2026, 1-month BBSW increased by 25.5 basis points, while 6-month BBSW increased by only 1.5 basis points. As a result, the 6M–1M spread narrowed from 72.9 basis points in Mar 2026 to 48.9 basis points in Jun 2026. The flattening suggests that the market repriced near-term funding expectations higher, while expectations for funding costs over the medium term remained relatively stable.
ASX has confirmed Monday 28 September 2026 as the target go-live date for the Secured Overnight Funding Index Australia (SOFIA). Upon launch, SOFIA rates will be distributed through multiple channels, including Bloomberg, LSEG Refinitiv, email and FTP, supporting broad market accessibility and adoption.
On Friday 26 June 2026, ASX published the final SOFIA Conventions and Response to Consultation. These publications represent a key milestone in the transition to production readiness and provide participants with certainty to complete internal onboarding and operational preparations.
| Product | Contracts taken to cash settlement (Jun 2026) |
|---|---|
| 90 Day (IR) | 241,347 |
| 3 Year (YT) | 124,584 |
| 5 Year (VT) | 737 |
| 10 Year (XT) | 105,213 |
| 20 Year (LT) | 398 |
| NZ 90-Day (BB) | 92,399 |
ASX Collateral continued its strong growth trajectory in Q2 2026, with average balances reaching $28.5 billion. RBA Open Market Operations (OMO) activity increased by approximately 25% to $22 billion, with ASX Collateral facilitating more than half of all activity, underscoring the platform's growing importance within Australia's liquidity ecosystem.
Collateral diversification remains a defining trend, with more than one-third of triparty collateral comprising non-government and non-semi-government securities. Line-level analysis also continues to demonstrate strong utilisation of smaller holdings, with sub-$5 million positions forming a significant component of pledged collateral, highlighting the platform's ability to mobilise a broader range of assets and improve collateral efficiency for participants.
The full chart pack includes ASX Interest Rate Derivatives volume by session, roll volume, volume vs open interest, calendar year overview, ASX Collateral balances and Austraclear's outstanding bond amounts.
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