JSE swap futures off to a slow start

Dealers struggling with CVA pricing and internal approvals

johannesburg stock exchange
JSE's swap futures contract is yet to trade

Interest rate swap futures trading in South Africa has got off to a false start due to dealer wrangles over the calculation of counterparty risk and slow internal product approval processes. Some banks suggest the product was launched too soon.

The Johannesburg Stock Exchange (JSE) unveiled its version of the Eris interest rate swap futures contract on August 31. The futures replicate the economics of over-the-counter swaps while contractually remaining a future for the duration – resulting in

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