Record Daily Volume For SFE 30 Day Interbank Cash Rate Futures

Sydney Futures Exchange experienced the largest daily transaction volume on record for the SFE 30 Day Interbank Cash Rate Futures contract. The total daily volume was 18,390 contracts, up 11% compared to the previous daily record of 16,554 contracts set on September 14, 2004.

The contract has also seen 4 consecutive days when the trading volumes exceeded 11,000 contracts including todays record day of 18,390. Average daily volumes for November are more than 4,700.

“Changes in market expectations of official interest rate movements have resulted in increased activity and strong volume growth,” said Maurice Farhart, Senior Manager, Interest Rate Products. “Two weeks ago, the March 2005, 30 Day Interbank Cash Rate Futures contract was pricing in a 48% market expectation of a 25 basis point tightening by the RBA in March. Today the contract price is reflecting a 19% expectation of an easing in the official cash rate.”

(The market expectations of interest rate movements are determined by calculating the probability of a change, based on the closing price of the 30 Day Interbank Cash Rate Futures Contract. This expectation is then captured in the ‘Target Rate Tracker’, available each day in the Sydney Futures Exchange’s section in ‘Market Wrap’ - The Australian Financial Review)

The SFE 30 Day Interbank Cash Rate Futures contract was introduced in August 2003.