On Monday, November 30th, 2015, SFE will launch Deliverable Swap Futures (DSFs), which replicate an at-the-money 3 month forward start fixed for floating interest rate swap. Additional details on these contracts may be found here.
In order, to trade these products, customers must apply an updated pMerge file on all SFE Gateways.
To apply the pMerge file, complete the following steps:
Note: The above-listed steps need to be repeated for each SFE Gateway.
After pMerge runs, verify that the Guardian Product Table contains the following values:
|Contract||Product Code||Point Value|
|ASX 3 Year Interest Rate Swap Futures||YS||1|
|ASX 5 Year Interest Rate Swap Futures||VS||1|
|ASX 10 Year Interest Rate Swap Futures||XS||1|
This product is quoted based on the fixed rate and the contract value is determined based on the net present value of the swap. This can result in incorrect P&L calculation in TT system.