ST 2 - Managing Swedish long-term interest rate risk
OMX Nordic Exchange provides central counterparty clearing services for Swedish and Norwegian fixed income products.
The ST 2 contract constitutes a valuable tool in managing Swedish long-term interest rate risk. The contract base is a synthetic 2-year bond issued by Stadshypotek AB. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.
The contract is suitable both for directional trading as well as for spread trading, e.g. mortgage bond yield curve spreads like 2-year Stadshypotek risk against 5-year Stadshypotek risk or spreads against government bond futures. A combination of cash bonds and futures can also be used for creating short-term investments or financing. For the complete description of the contract specification please see OMX Nordic Exchange's Rules and Regulations for Derivatives.
Forward contract with a combination of cash settlement and delivery of underlying cash instrument at fixing rate
Contract base:
Synthetic bond with Stadshypotek AB as issuer and with a maturity of two years at the Expiration settlement day. The bond has an annual coupon of six percent.
Deliverable instruments:
Bond issued by Stadshypotek AB and with a duration that deviate as little as possible, compared to the contract base, at the expiration settlement day.
Contract size:
SEK 1,000,000 nominal value of underlying
Tick size:
0.001
Price quotation:
The forward contract is quoted in accordance with the underlying cash instrument market, effective interest rate with a 30E/360 day convention.
Trading:
Trading is performed OTC and reported to the OMX Nordic Exchange Stockholm for clearing. Trading hours are in accordance with market practice in the Swedish fixed income market
Expiration months:
March, June, September and December
Expiration settlement day:
Third Wednesday of the expiration month
First trading day:
One week before last trading day of the next contract scheduled for expiration.
Expiration day/last trading day:
Four bank day prior the expiration settlement day
Expiration fixing:
Established at expiration day 11.00 CET
Periodic settlement:
Cash settlement of the difference between the trade price and monthly fix takes place on the last bank day of each calendar month.
Registration:
08.30 – 17.45 CET on normal bank days
Last time for registration:
12.00 CET at expiration day
All information provided on this page shall be deemed to be general information regarding the instruments that can be traded at the exchange. For current rules for trade with the instruments we refer to the rules and regulations. Information on this page shall under no circumstances constitute any recommendation regarding investment decisions. The visitor shall be personally liable for the risks associated with any investment decision based on information on this page. Notwithstanding that the accuracy of the information provided herein has been verified, OMX Nordic Exchange Stockholm assumes no liability with respect to the accuracy or use of such information.
Most of the trading in Swedish Fixed Income cash products is done OTC between professional investors. The trades are then reported to OMX Nordic Exchange for dissemination to the Swedish FSA, market data vendors and other stakeholders. Electronic trading is conducted between market makers of Swedish treasury bonds. They trade the 2, 5 and 10 year benchmark bonds and are obliged to quote a market for these bonds.
OMX Nordic Exchange is collecting indicative pricing from market makers in treasury and mortgage instruments through our trading system, these quotes are then distributed to market data vendors that provide the data to professional investors.
