ASX 3 and 10 Year Interest Rate Swap Futures

ASX 3 and 10 Year
Interest Rate Swap Futures
Interest Rate Markets Fact Sheet
Interest rate swaps are one of the most widely traded derivative products in the
Australian financial market with over $8 trillion in notional value transacted in 2013.
ASX’s Interest Rate Swap Futures provide a cost effective and convenient way to
gain direct exposure to prices and trade strategies in this market, combined with
the important benefits of being standardised, exchange traded and centrally cleared.
Benefits of Interest Rate Swap Futures
ASX Interest Rate Swap Futures are an ideal product
for managing risk exposures in non-government debt
instruments and offer significant advantages compared to
OTC swap products including:
•L
ow Counterparty Credit Risk: being exchange-traded
and central counterparty cleared provides for effective
reduction of credit risk and the need for bilateral
collateralisation agreements.
•C
ost effective: the absence of complex documentation
and reduced ongoing administrative costs makes
transacting in a futures market more efficient and cost
competitive when compared to the OTC swap market.
• Price
Transparency: exchange traded markets bring
together a potentially larger number of connected users
promoting price transparency and reducing the total
cost of trade.
Key Features
•C
ontracts are listed on financial quarter months with
two months listed at any one time.
• Cash
Settled – ASX 3 and 10 Year Interest Rate Swap
Futures are cash settled against the AFMA 10.00am 3
and 10 year swap reference rates.
• Variable
Tick Value – ASX 3 Year and 10 Year Interest
Rate Swap Futures are traded on the basis of their yield
with the futures price quoted as 100 minus the yield
to maturity expressed in per cent per annum. Due to
this convention the dollar value of the minimum price
movement, or tick value, does not remain constant but
rather changes in accordance with movements in the
underlying interest rate.
For information on the pricing of the ASX 3 and 10 Year
Swap Futures contracts please see “The Guide to Pricing
ASX Interest Rate Products”.
International approvals
ASX 3 and 10 Year Interest Rate Swap Futures are
approved for trading by:
• the
US Commodities Futures Trading Commission
(CFTC);
• UK Financial Services Authority (FSA);
• Monetary Authority of Singapore (MAS); and
•H
ong Kong Securities and Futures Commission (SFC
Hong Kong).
Trading ASX Interest Rate Swap Futures
•T
rading in ASX’s 3 and 10 Year Interest Rate Swap
Futures is conducted ‘on-market’ via ASX’s electronic
platform ‘ASX Trade 24’ and ‘off-market’ through
‘Exchange for Physical’ transactions.
•S
pread trading functionality is available for credit and
calendar spreads.
•A
ttractive spread concessions are available on calendar
spreads as well as inter-commodity spreads for
offsetting positions held in the ASX 90 Day Bank Bill
Futures and ASX 3 Year and 10 Year Treasury Bond
Futures contracts.
•P
re-negotiated Operating Rules are applicable to ASX 3
and 10 Year Interest Rate Swap Futures. These rules
provide Participants with the opportunity to facilitate
client business off-market prior to disclosing and the
crossing orders on ASX Trade 24.
Interest Rate Markets Fact Sheet
Contract Specification for ASX 3 and 10 Year Australian Interest Rate Swap Futures
CONTRACT
ASX 3 YEAR INTEREST RATE
SWAP FUTURES
ASX 10 YEAR INTEREST RATE
SWAP FUTURES
Commodity Code
YS
XS
Contract Unit
A$100,000 swap based on a 6.5% coupon and
A$100,000 swap based on a 6.5% coupon and
a term to maturity of three years.
a term to maturity of ten years.
March/June/September/December up to two
As for 3 Year Interest Rate Swap Futures.
Contract Months
quarter months ahead.
Minimum Price Movement
Contract Expiry
2
Prices are quoted in yield per cent per annum
Prices are quoted in yield per cent per annum
in multiples of 0.005 per cent. For quotation
in multiples of 0.005 per cent. For quotation
purposes the yield is deducted from an index
purposes the yield is deducted from an index
of 100. The minimum fluctuation of 0.005 per
of 100. The minimum fluctuation of 0.005 per
cent equals approx. $15 per contract, varying
cent equals approx. $44 per contract, varying
with the level of interest rates.
with the level of interest rates.
The Business Day preceding the second Friday
As for 3 Year Interest Rate Swap Futures.
of an expiry month. contract. Trading ceases at
12:00 noon.
Settlement Method
2
Trading Hours
2
The Settlement Price shall be 100 minus the
The Settlement Price shall be 100 minus the
3 year AFMA 10.00am swap reference rate,
10 year AFMA 10.00am swap reference rate,
as determined by AFMA Services Pty Limited.
as determined by AFMA Services Pty Limited.
The reference rate will be rounded to the
The reference rate will be rounded to the
nearest 0.005%. All bought and sold contracts
nearest 0.005%. All bought and sold contracts
in existence as at the close of trading in the
in existence as at the close of trading in the
contract month shall be settled by ASX Clear
contract month shall be settled by ASX Clear
(Futures) at the cash settlement price.
(Futures) at the cash settlement price.
5.14pm – 7.00am and 8.34am – 4.30pm
As for 3 Year Interest Rate Swap Futures.
(for period from second Sunday in March to
first Sunday in November)
5.14pm – 7.30am and 8.34am – 4.30pm
(for period from first Sunday in November to
second Sunday in March)
Settlement Day
The business day following the last permitted
day of trading.
2
Unless otherwise indicated, all times are Sydney times.
As for 3 Year Interest Rate Swap Futures.
ASX 3 and 10 Year Interest Rate Swap Futures Data Vendor Access Codes*
CONTRACT
ASX 3 YEAR INTEREST RATE SWAP
ASX 10 YEAR INTEREST RATE SWAP
ASX TRADE 24 Code
YS
XS
Bloomberg
XIA <CMDTY>
XJA <CMDTY>
Bourse Data
YS
XS
Interactive Data
YSmy
XSmy
Interactive Data RTS
17mYSmy
17mXSmy
FutureSource / eSignal
AYS
AXS
IRESS Market Technology
YSmy
XSmy
Reuters
Full: 0#YYS:
Full: 0#YXS:
Night: 0#1YYS:
Night: 0#1YXS:
Day: 0#2YYS:
Day: 0#2YXS:
Telekurs
YSym,359
XSym,359
Thomson Reuters
YS/YYM
XS/YYM
* Data vendor codes are current as at February 2011. A current list of codes is available at www.asx.com.au
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Disclaimer: This is not intended to be financial product advice. To the extent permitted by law, ASX Limited ABN
98 008 624 691 and its related bodies corporate excludes all liability for any loss or damage arising in any way
including by way of negligence. This document is not a substitute for the Operating Rules of the relevant ASX entity
and in the case of any inconsistency, the Operating Rules prevail.
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