sfe-90dayBillsFuturesAndOptions

sfe-90dayBillsFuturesAndOptions - Australian 90 Day Bank...

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90 Day Bank Bill Futures are an efficient way to gain exposure to the Australian debt markets. Their trading behaviour and liquidity make them ideal for short term trading, long term trend following and hedging of short term AUD fixed interest securities and interest rate swaps. 90 Day Bank Bill Futures and Options are approved for trading by: US Commodities Futures Trading Commission (CFTC) UK Financial Services Authority (FSA) Monetary Authority of Singapore (MAS) and Hong Kong Securities and Futures Commission (SFC Hong Kong) The Negotiable Securities Market Bank Accepted Bills of Exchange and Negotiable Certificates of Deposit are negotiable short term securities issued by trading banks used to effect short term financing for periods typically between 30 and 180 days. Outstandings in bank bills and other discount securities issued by banks totalled AUD233 billion at the end of June 2006 with annual turnover of AUD2,611billion 1 . 90 Day Bank Bill Futures Features 90 Day Bank Bill Futures contract is ranked among the top 10 short-term interest rate futures contracts in the world by turnover. Average daily turnover in 2006 was 76,000 contracts. Turnover in the 90 Day Bank Bill Futures contract is approximately 7 times the turnover of the underlying cash market. Deliverable – 90 Day Bank Bill Futures contract is deliverable. Approved Bank Accepted Bills of Exchange and Negotiable Certificates of Deposit are eligible securities for delivery. Variable Tick Value – 90 Day Bank Accepted Bill Futures are priced on an actual/365 basis. Due to this convention the dollar value of the minimum price movement, or tick value, does not remain constant but changes in accordance with movements in the underlying interest rate. For information on the pricing of the 90 Day Bank Bill Futures contracts please see: The Guide to Pricing SFE Interest Rate Products Quarterly and Serial Options Both quarterly and serial options are available for the 90 Day Bank Accepted Bill Futures. Quarterly options expire in the same calendar month as the underlying futures contract. Serial options are listed in non- financial quarter months. Pre-negotiated Business Rules are applicable to quarterly and serial 90 Day Bank Bill Options. These rules provide Participants the opportunity to facilitate client business off market prior to disclosing and then crossing orders on our trading platform, SYCOM ® . Sydney Futures Exchange’s (SFE) Australian 90 Day Bank Bill Futures and Options product is Australia’s benchmark indicator for short term interest rates. Launched in 1979, the Australian 90 Day Bank Bill contract was the first interest rate futures contract to be listed outside the United States. The 90 Day Bank Bill contracts are
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This note was uploaded on 08/30/2009 for the course FINM 3405 taught by Professor Philipgray during the Three '09 term at Queensland.

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sfe-90dayBillsFuturesAndOptions - Australian 90 Day Bank...

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