Swap Futures

The JSE is proud to bring the first South African Interest Rate Swap Future to the market. This has been a long consultative journey and ultimately the JSE is delivering the markets' product of choice.

G20, Basel III and OTC market regulation have not only increased the need for clearing of standardised OTC instruments but have increased the need for complementary on-exchange instruments. Client demand for a swap-style product offering on exchange drove the JSE to begin product development late 2013.

The JSE will launch this product on Monday, 31 August 2015. The product will be available for trading on the JSE on the Interest Rate and Currency trading platform. Participants will need to trade through an authorised Interest Rate Derivatives member of the JSE and the product will be cleared through JSE Clear. Participants will only require standard futures documentation. The advantage of this is that market participants can operate within familiar ecosystem and infrastructure. The JSE will list four tenors on launch, namely the 1, 2, 5 and 10 year tenors and hope to expand this list over time.

The standard interest rate swap future that is being launched is based on the Eris Methodology™ and has been licensed from Eris Exchange, a U.S.-based futures exchange group. The JSE and Eris Exchange announced a Swap Futures partnership on 15 April 2015. The standard IRS Future product will be based on the Johannesburg Interbank Agreed Rate (JIBAR) and denominated in South African Rand (ZAR). The product will follow the standard South African swap market conventions while using the Eris Methodology™, allowing the contracts to replicate the cash flows of OTC swaps.

The JSE will use a portfolio VaR framework to determine the amount of initial margin participants should post for position in the swap futures product suite, instead of the J-SPAN framework that is used for all other futures. Portfolio level initial margin will thus recognize the offsets associated with trading long and short positon across the curve ​​​​​

Disclaimer

Eris products listed on JSE are based on the Eris Methodology™, Eris’ product design for constructing capital-efficient futures that incorporates intellectual property, expertise and patent-pending innovations.

 SWAP Futures Calculator

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 Useful Links

 

 

SWAPS MTMSWAPS MTMhttps://www.jse.co.za/downloadable-files?RequestNode=/YieldX/SWAPS%20MTM, /downloadable-files?RequestNode=/YieldX/SWAPS%20MTM

 Product Information

 

 

Swap Forum May 2015Swap Forum May 2015https://www.jse.co.za/content/JSEFactSheetItems/JSE Swap Futures Forum 15 May 2015.pdfpdf
Historical ExampleHistorical Examplehttps://www.jse.co.za/content/JSEFactSheetItems/Historical Example.xlsxxlsx
Swap Futures BrochureSwap Futures Brochurehttps://www.jse.co.za/content/JSEFactSheetItems/Swap Futures Brochure.pdfpdf
Hand OutHand Outhttps://www.jse.co.za/content/JSEFactSheetItems/Swap Futures Fact Sheet.pdfpdf
Swap Future FeesSwap Future Feeshttps://www.jse.co.za/content/JSEFactSheetItems/JSE ERIS Interest Rate Future Fees.pdfpdf
Contract SpecificationContract Specificationhttps://www.jse.co.za/content/JSEFactSheetItems/JSE Eris Interest Rate Swap Futures.pdfpdf

 Initial Margins

 

 

Swap Futures IM FrameworkSwap Futures IM Frameworkhttps://www.jse.co.za/content/JSEInitialmarginrequirementsItems/Swap Futures IM Framework.pdfpdf

 Notices

 

 

JSE Market Notice 00917 IRM - New Eris Interest Rate Swap Future Reset - Listing 2Y Stnd 7.5percent Mar 2017-2019JSE Market Notice 00917 IRM - New Eris Interest Rate Swap Future Reset - Listing 2Y Stnd 7.5percent Mar 2017-2019https://www.jse.co.za/content/JSEContractSpecificationItems/JSE Market Notice 00917 IRM - New Eris Interest Rate Swap Future Reset - Listing 2Y Stnd 7.5percent Mar 2017-2019.pdfpdf
1Y Stnd 7.5percent Mar 2017-20181Y Stnd 7.5percent Mar 2017-2018https://www.jse.co.za/content/JSEContractSpecificationItems/JSE Market Notice 00817 IRM - New Eris Interest Rate Swap Future Reset - Listing 1Y Stnd 7.5percent Mar 2017-2018.pdfpdf
10Y Stnd 8.5percent Mar 2017-202710Y Stnd 8.5percent Mar 2017-2027https://www.jse.co.za/content/JSEContractSpecificationItems/JSE Market Notice 01117 IRM - New Eris Interest Rate Swap Future Reset - Listing 10Y Stnd 8.5percent Mar 2017-2027.pdfpdf
5Y Stnd 8percent Mar 2017-20225Y Stnd 8percent Mar 2017-2022https://www.jse.co.za/content/JSEContractSpecificationItems/JSE Market Notice 01017 IRM - New Eris Interest Rate Swap Future Reset -Listing 5Y Stnd 8percent Mar 2017-2022.pdfpdf
New Swap Future Contract 10 Year JSE Eris Interest Rate Swap FutureNew Swap Future Contract 10 Year JSE Eris Interest Rate Swap Futurehttps://www.jse.co.za/content/JSEContractSpecificationItems/New Swap Future Contract 10 Year JSE Eris Interest Rate Swap Future.pdfpdf
New Swap Future Contract 5 Year JSE Eris Interest Rate Swap FutureNew Swap Future Contract 5 Year JSE Eris Interest Rate Swap Futurehttps://www.jse.co.za/content/JSEContractSpecificationItems/New Swap Future Contract 5 Year JSE Eris Interest Rate Swap Future.pdfpdf
New Swap Future Contract 2 Year JSE Eris Interest Rate Swap FutureNew Swap Future Contract 2 Year JSE Eris Interest Rate Swap Futurehttps://www.jse.co.za/content/JSEContractSpecificationItems/New Swap Future Contract 2 Year JSE Eris Interest Rate Swap Future.pdfpdf
New Swap Future Contract 1 Year JSE Eris Interest Rate Swap FutureNew Swap Future Contract 1 Year JSE Eris Interest Rate Swap Futurehttps://www.jse.co.za/content/JSEContractSpecificationItems/New Swap Future Contract 1 Year JSE Eris Interest Rate Swap Future.pdfpdf
1Y Stnd 7.5percent Dec 2016-20171Y Stnd 7.5percent Dec 2016-2017https://www.jse.co.za/content/JSEContractSpecificationItems/1YStnd7.5percentDec2016-2017.pdfpdf
2Y Stnd 7.75percent Dec 2016-20182Y Stnd 7.75percent Dec 2016-2018https://www.jse.co.za/content/JSEContractSpecificationItems/2YStnd7.75percentDec2016-2018.pdfpdf
10Y Stnd 8.25percent Dec 2016-202610Y Stnd 8.25percent Dec 2016-2026https://www.jse.co.za/content/JSEContractSpecificationItems/10YStnd8.25percentDec2016-2026.pdfpdf
5Y Stnd 8percent Dec 2016-20215Y Stnd 8percent Dec 2016-2021https://www.jse.co.za/content/JSEContractSpecificationItems/5YStnd8percentDec 2016-2021.pdfpdf
Media Release 15 April 2015Media Release 15 April 2015https://www.jse.co.za/content/JSEContractSpecificationItems/JSESwapFuturesMediaRelease15Apr2015.pdfpdf
10Y Stnd 8.25percent Dec 2015-202510Y Stnd 8.25percent Dec 2015-2025https://www.jse.co.za/content/JSEContractSpecificationItems/10YStnd8.25percentDec2015-2025.pdfpdf
10Y Stnd 8.75percent 2016-202610Y Stnd 8.75percent 2016-2026https://www.jse.co.za/content/JSEContractSpecificationItems/10YStnd8.75percent2016-2026.pdfpdf

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