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ASX provides key trading observations during the period July to September 2023 and the latest rate derivative market updates. View the key updates and the full chart pack below.

Key trading observations

Top of Book Volume Increases in 90 Day Bank Bill Futures (IR)

Average top of book volume increases in 90 Day Bank Bill Futures (IR) contracts in both the day and night sessions while the RBA continues to hold the target cash rate.

Yields, Top of Book Volume Rise in 10 Year Bond Futures (XT)

Rates 'higher for longer' theme persists while average top of book volume rises in the 10 Year Bond Futures (XT) contracts. XT yields rise 50 basis points in September, driven primarily by movements in the US 10-year Treasury yield.

New SOFIATM data

ASX Benchmarks commenced publication of an overnight GC1 repo reference rate, providing greater transparency into where repo is trading to the broader market.  The Beta version of the rate is available to view on asx.com.au.  To see the rates, underlying volume and to view the proposed methodology go to Benchmark data (asx.com.au)

Latest market updates

ASX OTC Multilateral Compression Cycle

During September, ASX held its third OTC Multilateral Compression Cycle via TriOptima (part of OSTTRA) with customers, helping to reduce global capital costs and operational risk for ASX OTC Participants.

September Interest Rate Futures Expiries

  • 3 Year Bond Futures (YT) roll activity was up 5% on the previous quarter at 827k contracts.  46k contracts were taken to cash settlement.
  • 10 Year Bond Futures (XT) roll activity was up 7% on the previous quarter at 1.43m contracts.  46k contracts were taken to cash settlement.
  • 2.2k 5 Year Bond Futures (VT) contracts were taken to cash settlement.
  • 7.2k 20 Year Bond Futures (LT) contracts were taken to cash settlement.
  • 158k 90 Day Bank Accepted Bill contracts were taken to cash settlement.
  • 41k 90 Day New Zealand Bank Bill contracts were taken to cash settlement.


OTC Clearing

ASX OTC Clearing volumes for Q3 2023 were A$1.208trn notional value, following a reduction in global Overnight Index Swap clearing during the quarter. Open Interest was A$3.55trn down vs PCP as maturing Overnight Index Swaps were not replaced at the same pace and following the OTC Multilateral Compression cycle that was held in September 2023.

During the quarter, market participants took advantage of the lower total cost of clearing available at ASX, with 16% growth in OTC Clearing activity of interest rate swaps with a 3 year+ term to maturity vs PCP contributing to an average 55% reduction in Initial Margin requirements through usage of ASX's fully automated cross-product margin optimisation service.

ASX Collateral

ASX Collateral balances are returning post COVID to a high of $23b in Q3 2022 whilst maintaining 30% of RBA OMO market share.

Triparty customers continue to realise the benefits from automation, scale and efficiency, and flexibility gained from the allocation of collateral with the average repo contract having 102 unique securities allocated as collateral and 63% of the securities allocated having a value of less than $5,000,000.

The utilisation of structured securities and corporate bonds as eligible collateral has reached a 16% with use of government bonds has steadily decreased as collateral, reaching 30%.

RBA’s open market operations has seen some stability relative to the highs during the COVID-19 averaging $11bn during Q3 2023, with excess ES balances falling.

Marex Australia

On Monday 3 October, Marex Australia were admitted as an ASX 24 Trading and ASX Clear (Futures) Participant. One of the key markets that ASX is proud to be innovating in is the carbon market as we prepare to launch gas and carbon futures in 2024. Marex will be an important clearer for these new products.

ASX Rates Highlights full chart pack

The full chart pack includes ASX Interest Rate Derivatives volumes pcp, roll volumes, volume vs open interest pcp, 90 Day Bank Bill Futures, 3 and 10 Year Bond Futures top of book volume and OTC activity.

Further insights

Contact us

Email:  Rates@asx.com.au


Domestic:  telephone 131 279

International:  telephone +61 2 9338 0000

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