Interest rate derivatives reports and research

Research Reports

2016: ASX 3-10 Year Spread Optimal Hedging Strategy

 

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.

English Mandarin

 

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:

April 2019: ASX Interest Rates and OTC Markets Wrap
October 2018: 20 Year Bond Futures Fee Holiday and ASX OTC Client Clearing launch
July 2018: Benchmark and 20 year Futures Contract face value change
April 2018: Record volumes in Q1-2018
December 2017: Holiday Trading Hours
October 2017: Half Tick on Aussie 3 Year Bond Future
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

Fiona Tramontana
General Manager, Sales and Rates Products
T: +61 (0) 9227 0428
E: Fiona.Tramontana@asx.com.au

International

Maurice Farhart
Senior Manager
International Business Development
T: +61 (0)2 9227 0268
M: +61 (0)410 453 494
E: Maurice.Farhart@asx.com.au
Kristye van de Geer
Senior Manager, Interest Rate Products
T: +61 (0) 9227 0130
M: +61 (0) 437 767 008
E: KristyevandeGeer@asx.com.au
Nick Thomas
Business Development Manager
Europe
T: +44 (0) 207 256 4155 E: Nick.Thomas@asx.com.au
Monique Bell
Manager, ASX Benchmarks &
Interest Rate Products
T: +61 (0)2 9227 0208
E: Monique.Bell@asx.com.au
 
James Keeley
Business Development Manager
Asia
T: +852 2251 1852
M: +852 5597 4722
E: James.Keeley@asx.com.au