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New Zealand short term interest rate derivatives

ASX New Zealand 30 day official cash rate futures

ASX's New Zealand 30 day Official Cash Rate futures contract is based on the Target Cash Rate by the Reserve Bank of New Zealand and allows users to hedge against changes in the cash rate and better manage their daily cash exposures. The ASX New Zealand 30 day Official Cash Rate futures contract also provides spread trading opportunities with the ASX New Zealand 90 day bank bill futures and arbitrage opportunities with over-the-counter products.

ASX's New Zealand 90 day bank bill futures and options product is New Zealand's leading short-term interest rate derivative product. It is also New Zealand's most actively traded derivatives product. It has an average daily turnover approximately three times the size of the underlying cash market.

ASX 90 day New Zealand bank bill futures and options

ASX’s New Zealand 90 day bank bill futures and options are the leading short term interest rate derivatives products in the New Zealand market. As New Zealand’s most actively traded derivatives product the New Zealand 90 day bank bill futures contract is used by market participants and commentators as the key indicator for New Zealand interest rates.

New Zealand 90 day bank bill futures and options are approved for trading by:

  • US Commodities Futures Trading Commission (CFTC)
  • UK Financial Services Authority (FSA)
  • Monetary Authority of Singapore (MAS) and
  • Hong Kong Securities and Futures Commission (SFC Hong Kong).

NZ 30 day official cash rate futures features

  • Monthly contracts available up to 12 months ahead
  • Minimum price increment of 0.005 per cent (0.5 basis points). A one basis point move is equal to NZD24.66
  • Cash settled – cash settled against the monthly average of the Reserve Bank of New Zealand Official Target
    Cash Rate.

Trading opportunities

  • Hedge against fluctuations in the New Zealand cash rate and better manage daily cash exposures.
  • Arbitrage opportunities against related OTC products such as overnight indexs swaps.
  • Intra commodity spread trading between different contract months.
  • Inter commodity spread trading opportunities between other interest rate products including the New Zealand 90 day bank bill futures contract.
  • Indicator of market expectations regarding changes to the New Zealand Official Cash Rate.

Benefits of exchange-traded markets

Trading on ASX offers the following specific benefits of exchange traded markets, such as:

  • Price transparency and liquidity
  • Immediate execution and confirmation
  • Reduction of counterparty risk
  • Centralised clearing supported by a clearing guarantee

Trading ASX NZ 30 day official cash rate futures

  • Trading in ASX’s NZ 30 day official cash rate futures is conducted on-market via ASX’s electronic platform ASX Trade 24 and off-market through block trade and exchange for physical transactions
  • Spread trading functionality is available for calendar spreads
  • Attractive spread concessions are available on calendar spreads as well as inter-commodity spreads for offsetting positions held in other ASX NZD denominated interest rate futures.