Published On: Mon, Aug 31st, 2015

JSE launches Interest Rate Swap Futures

Warren Geers JSEJOHANNESBURG, (CAJ News) – THE Johannesburg Stock Exchange (JSE), which is the continent’s largest bourse, has officially launched the JSE Eris Interest Rate Swap (IRS) Futures.

It will be based on the Johannesburg Interbank Agreed Rate (JIBAR) and
denominated in South African Rand.

The product will follow the standard South African swap market conventions while using the Eris MethodologyTM, allowing the contracts to replicate the cash flows of over the counter (OTC) swaps.

The new product offering will be available for trading by all registered
Interest Rate market members and their clients and will be cleared through JSE Clear.

Warren Geers, Head: Interest Rates and Currencies at the JSE, said
bringing this product to market had been a collaborative effort between
JSE, clients and their partnership with Eris.

After significant engagement with market participants we took a global
product and modified it to make it a truly South African product relevant to the South African market needs,says.

Neal Brady, CEO of Eris Exchange, congratulated JSE on the launch of JSE Eris Swap Futures, which utilise the Eris Methodology to offer the South African market the cash flows of interest rate swaps in a
capital-efficient futures form,Brady said.

The new IRS Swap Futures will be competitively priced; clients will be
charged R1 per contract (R100 000) for 1 and 2 year tenors and R2 for any tenors greater than two years.

The JSE will make appropriate pricing alignment as the product gathers
more trading momentum.

– CAJ News

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