New swap future for Johannesburg SE

The Johannesburg Stock Exchange (JSE) has signed a multi-year licensing agreement with Eris Exchange (Eris), a US-based futures exchange group, to list swap futures on the South African Exchange.

The initial focus of the agreement will be to list and trade Interest Rate Swap (IRS) futures. These products will be based on the Johannesburg Interbank Agreed Rate (JIBAR) and denominated in South African Rand (ZAR). The products 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.

Authorised trading members and their clients will only need standard futures documentation, rather than ISDA Master Agreements that are required to trade bilateral OTC swaps.

This is an important move for the JSE, says Warren Geers, the JSE’s head of interest rates and currencies.  “We believe that providing these swap futures products via the JSE will offer our clients the regulatory certainty of futures and allow market participants to operate within the familiar eco-system of futures while broadening their international exposure.”

The agreement also allows the JSE the potential to list cross-currency swap futures, as well as credit default swap Futures on South African single names and baskets.