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ASX 3 Month Overnight Index Swap Futures

ASX has launched the 3 Month Overnight Index Swap (OIS) Futures contract on 27 February 2012, complementing the suite of short term interest rate products offered on ASX 24. The 3 month OIS futures contract provides hedge exposure to overnight cash rate movements based on the expected average overnight cash rate for the next 3 months. ASX’s 3 month OIS 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.

Key product related information:

Trading ASX Overnight Index Swap Futures

  • Trading in the ASX Overnight Index Swap Futures is conducted ‘on-market’ via ASX’s electronic platform ‘ASX Trade24’ and ‘off-market’ through ‘Exchange for Physical’ transactions.
  • New spread trading opportunities including the 90 Day Bank Bill versus OIS futures spread (Bloomberg code: IRTSI <CMDTY>).

Benefits of Trading

ASX Overnight Index Swap Futures are an ideal product for managing risk exposures in the overnight cash rate movements and offer significant advantages compared to OTC swap products including:

  • Centralised Counterparty Credit Risk: being exchange-traded and central counterparty cleared provides for effective reduction of credit risk and obviates the need for bilateral collateralisation agreements.
  • Cost effectiveness: 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.
  • Liquidity: continuous prices are provided by two dedicated Official Market Makers.  

Useful Links

Product Guidelines

ASX 3 month Overnight Index Swap futures Product FactsheetASX 3 month Overnight Index Swap futures Product Factsheet (PDF xxKB).

Settlement ProcessSettlement Process(PDF xxKB).

Information regarding price support, spread trade functionality and margin offsets are included in the Promotional factsheetInformation regarding price support, spread trade functionality and margin offsets are included in the Promotional factsheet (PDF xxKB).

Research document outlining the Bank Bill/OIS Swap spreadResearch document outlining the Bank Bill/OIS Swap spread (PDF xxKB).

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Market news

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