ASX 3 and 10 Year Interest Rate Swap Futures
Interest rate swaps are one of the most widely traded derivative products in the Australian financial market with over $5 trillion in notional value transacted in 2010. 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 Trading
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:
- 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.
- No physical resets: the presence of on screen prices facilitates rolling of exposures prior to expiry and provides for transparent revaluation of positions.
- 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 an Official Market Maker (see Fact Sheet below).
Trading ASX Interest Rate Swap Futures
- Trading in ASX’s 3 and 10 Year Interest Rate Swap Futures is conducted ‘on-market’ via ASX’s electronic platform ‘ASX Trade24’ and ‘off-market’ through ‘Exchange for Physical’ transactions.
- Spread trading functionality is available for credit and calendar spreads.
- Pre-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 Trade24.
Fact Sheets on market liquidity provision and contract design
The presence of an Official Market Maker provides customers with continuous liquidity in the 3 and 10 Year Interest Rate Swaps (PDF 40KB).
3 and 10 Year Interest Rate Swap Futures Brochure (PDF 252KB).
Current Prices and Market Information