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R5 - Managing Swedish long-term interest rate risk
OMX Nordic Exchange provides central counterparty clearing services for Swedish and Norwegian fixed income products.
The R5 contract constitutes a valuable tool in managing Swedish long-term interest rate risk. The contract base is a synthetic 5-year Swedish government bond. 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. government yield curve spreads like 5-year government risk against 10-year government risk or spreads against mortgage bond futures. A combination of cash bonds and futures can be used for creating short-term investments or financing. For the complete description of the contract specification please see NASDAQ OMX Stockholm Rules and Regulations.
Download product sheet: 5-year Swedish government bond forward 
Facts| Contract standard: | Forward contract with a combination of cash settlement and delivery of underlying cash instrument at fixing rate. | | Contract base: | Synthetic Swedish government bond with a maturity of five years at the Expiration settlement day. The bond has an annual coupon of six percent. | | Deliverable instruments: | Swedish government bonds with a remaining maturity of five years or as close to five years as possible, 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 NASDAQ OMX 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 |
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