Africa Business Communities

JSE trades first ever on-exchange Interest Rate Swap contract​

The Johannesburg Stock Exchange (JSE), the continent's largest exchange, has traded its first ever on exchange Interest Rate Swap Futures contract.  Standard Bankexecuted the trade as the market maker together with a leading asset management firm as the counter party.  

Standard Bank has committed to be a market maker of the product and is already making live on-screen pricing available to the market.  The first swap future contract is a standard 10-year swap at a rate of 8,75%.  To facilitate the trading of the Swap Futures, the JSE is incentivising initial market participants with a fee holiday to encourage further trading of the product. 

The Interest Rate Swap Futures are based on the Johannesburg Interbank Agreed Rate (JIBAR) and denominated in South African Rand (ZAR). 

The product follows 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 Interest Rate Swap Futures are available for trading by all registered Interest Rate market members, and will be cleared through JSE Clear. 

"We are delighted to have had the first swap trade executed on the JSE and believe that providing these products for our clients that they will benefit from migrating their OTC swap positions on-exchange in order to comply with the forthcoming BASEL 3 regulatory requirements.  Today was the first step in proving to market participants that the product has the successful attributes required to meet their objectives, and we believe that today is the start of many more swap trades to flow to the exchange, "says Warren Geers, Head: Interest Rates and Currencies at the JSE. 


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