Try TT Now

SFE to Launch ASX 24 Deliverable Swap Futures – November 30th

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.

TT Impact:

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:

  1. Copy the attached SFE.pmg file to <drive letter>:\tt\config. (SFE.pmg file can be found here)
  2. Stop GuardServer.
  3. Navigate to <drive letter>:\tt\bin.
  4. Double-click pMerge.exe. The Enter Exchange Name window appears.
  5. Specify the exchange name and flavor and click OK. The Open Guardian product table merge file window appears.
  6. Navigate to <drive letter>:\tt\config and select the SFE.pmg file.
  7. Note: pMerge will update the existing Guardian Product Table with the correct values. After pMerge completes its tasks, the pMerge status bar displays Finished.
  8. Close the pMerge status bar.
  9. Start GuardServer.

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:

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.