The purpose of this blog is to provide a platform for the JSE to interact with the market with specific focus on the promotion of the JIBAR futures product. This blog will be a place to provide ideas as well as listen to feedback and strengthen ties between the JSE, its members and clients.
JIBAR futures provide an easy way to get the inside track on effectively navigating the current interest rate market. Therefore, rise to the occasion with JIBAR futures - pose questions, respond to questions, share experiences or make reference to useful articles or resources. The JSE could rate your post/s as pertinent or useful, and reward you with a prize!
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Paolo Govetto - Thursday, January 19, 2012
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With the MPC keeping the repo rate at 5.5% (as expected), the focus turned to the text and tone of Governor Gill Marcus’ speech to provide some colour to the interest rate outlook. In a nutshell, the global economy is ...
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Paolo Govetto - Monday, January 16, 2012
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The Monetary Policy Committee (MPC) meets this week to discuss the South African economic outlook and, in particular, the level of interest rates. Consensus is for rates to remain on hold. The short-term interest rate (STIR) market is the one ...
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Paolo Govetto - Thursday, January 12, 2012
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As everyone heads back from holidays, forgets lazy beach days and examines the markets, it seems appropriate to look at the state of the short-term interest rate market. What has happened over the past month and what is the JIBAR ...
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Daffodils Seele - Thursday, January 05, 2012
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In Part I we discussed hedge ratios and determined the best way to calculate a hedge ratio via the Price Value of a Basis Point (PVBP) concept. This method is preferred since it takes the behaviour of the asset (or ...
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Daffodils Seele - Thursday, December 22, 2011
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The Dec11 JIBAR futures contract expired yesterday and closed out at the level of the 3 month JIBAR, i.e. 5.585%. The Open interest was 5 541. Today, a new contract was launched - 18 Dec13. For further info, contact ...
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Daffodils Seele - Thursday, December 22, 2011
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The last newsletter for 2011 – feel free to access, topics covered: -
Festive wishes from the Interest Rate team at the JSE -
Changes in market sentiments as expressed by JIBAR futures -
Recommended reading for short term rate expectations -
Market statistics ...
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Daffodils Seele - Thursday, December 22, 2011
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After staying static for almost 11 months, the rate is seeing some spikes. It is only three weeks down the line, yet we experience another increase! In a previous blog entitled “How JIBAR futures provide info about MPC”, we ...
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Daffodils Seele - Wednesday, December 14, 2011
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The objective of hedging a fixed income asset (or portfolio) with futures contracts is to ensure that the potential loss incurred by the asset is compensated by a profit in the futures hedging instrument. A hedge ratio is the number ...
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Paolo Govetto - Wednesday, December 07, 2011
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Treasurer wishes to borrow 10m for 3 months on Wednesday, 21 December 2011. He is worried that interest rates will rise prior to this date and he decides to hedge the future exposure. Hence the Treasurer SELLS 100 Dec11 JIBAR ...
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Daffodils Seele - Thursday, December 01, 2011
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The 3 month JIBAR fix has been static since Jan-11 at a level of 5.575%. This morning, after polling quotes from the contributing banks the mid was established at a new level of 5.580%. - From late Jan-11 to end of ...
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