ASX launches NZ$ OTC Interest Rate Derivatives Clearing
On 27 November 2017, ASX launched NZ$ OTC Interest Rate Derivatives Clearing. The NZ$ OTC products eligible for clearing now include:
· NZ BKBM Interest Rate Swaps to a maximum maturity of 2 years.
· NZ Overnight Index Swaps (NZ OIS) to a maximum maturity of 2 years.
Following market consultation and feedback, ASX will apply a market standard valuation approach utilising OIS discounting for NZ IRS and NZ OIS swaps immediately from launch.
ASX is targeting Q1 2018 to extend the maximum maturity on NZ BKBM Interest Rate Swaps from 2 year to 15 years.
On 24 November 2017, ASX released a Response to Consultation on proposed amendments to the ASX Clear (Futures) Operating Rules to support the clearing of NZD OTC Interest Rate Derivatives through ASX’s OTC Clearing Service as described above. This document summarises feedback received from stakeholders on ASX’s September consultation paper and ASX’s response to that feedback. Since the response document was released, ASX has received regulatory clearance.
Allan McGregor, Senior Manager