Interest Rate Derivatives Market

The interest rate market is a financial market in which participants are able to trade interest rate derivatives.The JSE has listed a number of interest rate derivatives, namely futures and options on government debt and state owned company debt, STIRs (Short Term Interest Rate) Futures, namely Jibar Futures and LTIRs (Long Term Interest Rate Futures) namely Swap Futures.

The Interest Rate Derivatives Market offers participants the functionality and facilities to book either on- or off-screen trades. Irrespective of the method of execution, all exchange traded Interest Rate Derivative positions are margined and cleared by JSE Clear clearing house. This reduces counterparty credit risk.

The regulatory team at the JSE conducts real time surveillance of the Interest Rate Derivative transactions to ensure fair pricing and compliance with the JSE rules.

The JSE’s Interest Rate Derivatives Market enables you to trade the following Interest Rate Derivatives that the JSE has listed:

  • Futures and options on government debt and State-owned company debt: Bond Futures, Bond Options and Index Futures
  • Short-term Interest Rate Futures (STIRs): Jibar Futures
  • Long Term Interest Rate Futures (LTIRs): Swap Futures

Who should use these?

You can become a market participant by actively trading in Interest Rate Derivatives securities and complying with the JSE’s Interest Rate and Currency market requirements . Alternatively you can contact trade as a client of a member who already complies with the requirements of the JSE Interest Rate and Currency market. The current members of this market vary from brokers, banks to asset managers.

How to Participate in the Interest Rate Derivatives Market

Membership of the market is open to market participants who actively trade in interest rate derivative securities and who comply with the JSE’s Interest Rate and Currency market requirements.
Contact a JSE Interest Rate Derivatives member

Disclaimer
All data and information provided by the JSE, except as otherwise indicated, is proprietary to the JSE. You may not copy, reproduce, modify, reformat, download, store, distribute, publish or transmit any data and information, except for your personal use. For the avoidance of doubt, you may not develop or create any product that uses, is based on, or is developed in connection with any of the data and information available on this site. You are not permitted (except where you have been given express written permission by the JSE) to use the data and information for commercial gain.​ ​

 Contract Specifications

 

 

GOVI specGOVI spec116587https://www.jse.co.za/content/JSEContractSpecificationItems/GOVISSpec.pdfpdf
IGOVIGOV313583https://www.jse.co.za/content/JSEContractSpecificationItems/IGOV.PDFpdf
ES33ES3344258https://www.jse.co.za/content/JSEContractSpecificationItems/ES33.pdfpdf
AL12AL12346290https://www.jse.co.za/content/JSEContractSpecificationItems/AL12.pdfpdf
ALBI futuresALBI futures49476https://www.jse.co.za/content/JSEContractSpecificationItems/ALBIFutures.pdfpdf

 IRC Margin Requirements

 

 

04. Initial Margins for Interest Rate Derivatives04. Initial Margins for Interest Rate Derivatives545484https://www.jse.co.za/content/JSEInitialmarginrequirementsItems/04.InitialMarginsInterestRateDerivatives.pdfpdf
05. SAFCOM Margins Explained V2005. SAFCOM Margins Explained V20365651https://www.jse.co.za/content/JSEInitialmarginrequirementsItems/05.SAFCOMMarginsExplainedV20.pdfpdf
06. JSE Derivatives Margining Technical Spec V30406. JSE Derivatives Margining Technical Spec V3041107152https://www.jse.co.za/content/JSEInitialmarginrequirementsItems/06.JSEDerivativesMarginingTechnicalSpecV304.pdfpdf

 

 

JSE and Eris ExchangeJSE and Eris Exchange<p>​​JSE and Eris Exchange Announce Swap Futures Licensing Partnership​</p><div>JSE to Launch Interest Rate, Cross-Currency and Credit Default Swap Futures Based on the Eris Methodology™ ​</div>https://www.jse.co.za/articles/jse-and-eris-exchange, https://www.jse.co.za/articles/jse-and-eris-exchange4/15/2015 7:00:00 AM

 

 

 Related Documents

 

 

IRD Monthly Update - January 2017IRD Monthly Update - January 2017https://www.jse.co.za/content/JSEStatisticsItems/IRD Monthly Update - January 2017.pdfpdf
IRD Fee Structure 2017IRD Fee Structure 2017https://www.jse.co.za/content/JSEStatisticsItems/IRD Fee Structure 2017.pdfpdf
Interest Rate and Currency Rules Interest Rate and Currency Rules https://www.jse.co.za/content/JSERulesPoliciesandRegulationItems/Interest Rate and Currency Rules.pdfpdf
IRM Client AgreementIRM Client Agreementhttps://www.jse.co.za/content/JSEAgreementApplicationandRegistrationItems/IRM Client Agreement.pdfpdf
Interest Rate and Currency Directives Interest Rate and Currency Directives https://www.jse.co.za/content/JSERulesPoliciesandRegulationItems/Interest Rate and Currency Directives.pdfpdf
Y1462Y1462https://www.jse.co.za/content/JSENoticesandCircularsItems/Interest Rate Division/2014/Y1462.pdfpdf
Y1463Y1463https://www.jse.co.za/content/JSENoticesandCircularsItems/Interest Rate Division/2014/Y1463.pdfpdf
Billing for Interest Rate Derivatives Billing for Interest Rate Derivatives https://www.jse.co.za/content/JSERulesPoliciesandRegulationItems/Billing for Interest Rate Derivatives.pdfpdf
IRC Client AgreementIRC Client Agreementhttps://www.jse.co.za/content/JSERulesPoliciesandRegulationItems/IRC Client Agreement.pdfpdf
IRC Investment Management Agreement IRC Investment Management Agreementhttps://www.jse.co.za/content/JSERulesPoliciesandRegulationItems/IRC Investment Management Agreement.pdfpdf

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