OMX Nordic Exchange provides central counterparty clearing services for Swedish and Norwegian fixed income products.
The NIBOR-FRA contract constitutes a valuable tool in management of Norwegian short-term interest rate risk. Contract base is 6-month NIBOR. 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. 6-month NIBOR against 3-month NIBOR. For the complete description of the contract specification please see OMX Nordic Exchange's Rules and Regulations for Derivatives.
Forward contract with cash settlement of the difference between a fixed rate, agreed by the parties, and the reference rate.
The contract base/Reference rate:
6-month Norwegian InterBank Offered Rate, NIBOR.
Size of contract base:
NOK 1,000,000
Tick size:
0.001
Price quotation:
The FRA contract price is quoted as simple interest rate with an act/360 day convention.
Trading:
Trading is performed OTC and trades are reported to OMX Nordic Exchange Stockholm for Clearing. Trading hours are in accordance with market practice in the Norwegian fixed income market.
First trading day:
Same day as expiration of the next contract scheduled for expiration.
Expiration months:
March, June, September and December.
Expiration settlement day:
Third Wednesday of the expiration month.
Expiration day/Last trading day:
Two bank day's prior the expiration settlement day.
Expiration fixing:
Fixing of 6 month NIBOR is established at expiration day 12.05 CET.
Periodic settlement:
Cash settlement of the difference between the trade price and monthly fix takes place at the last bank day of each calendar month.
Registration:
08.30 – 17.45 CET on normal bank days.
Last time for registration:
13.00 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.
