The Australian Fixed Interest Index (AFII) futures contract will be based on a composite mix of 172 Australian debt securities. It will range in bond type from Commonwealth Treasury to semi-government authorities and corporate, in credit standings from AAA to BBB- and in term to maturity on issue from one year upwards.
ADX has licensed the use of AFII as the basis for the contract, signing an agreement with the independent Melbourne-based index provider, Australian Indices. The contract is expected to be listed on ADX shortly.
"Our fixed interest index contract will have particular appeal to fund managers with large bond portfolios, and early soundings indicate strong support among fixed interest traders," ADX managing director, Mr John Herron, said.
"The AFII will complement our initial product range, especially the five year bond contract, and provides markets with a valuable and different risk management tool."
Mr Terry Toohey, managing director of Australian Indices, emphasised that the AFII contract will offer a diversity of maturity and embedded credit benefit unavailable in Australia at present and will be attractive both to fund managers and the swap market.
"Our product base is growing because we address both the corporate and the government market", he said. "There is not the difficulty with a limited supply base which has hamstrung the existing alternative. Instead, AFII covers all bond products."
