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Interest rate derivatives reports and research

Research Reports

2016: ASX 3-10 Year Spread Optimal Hedging Strategy

Spread trading is one of the key arrows in any fixed income trader’s quiver, yet spread trading, unlike single-instrument directional trading, is significantly more complex. This research paper focuses on trading ASX’s 3 and 10 year treasury bond futures spread to try to understand various hedging strategies which will be appropriate to different investment objectives.

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2015: Improving Sharpe by hedging Australian 10y bond futures with Treasuries

Traders are constantly seeking opportunities in securities that are differentiated from the highly correlated markets of the US and Europe. Australian bond futures offer this potential, by providing exposure to the economies of the Pacific timezone. This paper provides a pedagogical introduction to the techniques traders can use to access Australian bond futures returns while minimising risk seepage from other markets, to show how timing can be optimised for a high quality of entry and levels, and to give some concrete examples of relevant trade ideas.

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Interest Rates and OTC Markets eNewsletter

ASX’s Interest Rates and OTC Markets eNewsletter provides the institutional market with regular updates and insights on trading and regulation of Australia’s interest rate and OTC markets, covering exchange traded and OTC interest rate derivatives, physical debt markets and central clearing.

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Previous editions:

March 2017: NTP goes live
January 2017: ASX becomes BBSW benchmark administrator

 

ASX Futures Volumes and Market Dynamics

ASX futures volumes and market dynamics for contracts traded on ASX 24.

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Further information

To find out more about ASX’s interest rate derivatives and OTC markets solutions, please contact:

Australia

Grant Lovett
Head of Sales and Rate Products
T: +61 (0)2 9227 0204
E: Grant.Lovett@asx.com.au

International

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Senior Manager
International Business Development
T: +61 (0)2 9227 0268
M: +61 (0)410 453 494
E: Maurice.Farhart@asx.com.au
Monique Bell
Manager, ASX Benchmarks &
Interest Rate Products
T: +61 (0)2 9227 0208
E: Monique.Bell@asx.com.au

 

Andrew Biggart
Business Development Manager
Europe
T: +44 (0)207 256 4155
M: +44 (0)786 462 3155
E: Andrew.Biggart@asx.com.au
Kristye van de Geer
Manager, Interest Rate Products
T: +61 (0)2 9227 0130
M: +61 (0)437 767 008
E: Kristye.vandeGeer@asx.com.au
Cynthia Tazioli
VP, Business Development
North America
T: +1 312 803 5840
M: +1 312 953 5038
E: Cynthia.Tazioli@asx.com.au
  James Keeley
Business Development Manager
Asia
T: +852 2251 1852
M: +852 5597 4722
E: James.Keeley@asx.com.au