Swiss Market Index Dec '18 (SZZ18)
|Contract||Swiss Market Index|
|Tick Size||1 point (CHF 10.00 per contract)|
|Daily Limit||consult exchange|
|Contract Size||CHF 10 times Index|
|Trading Months||Mar, Jun, Sep, Dec (H, M, U, Z)|
|Trading Hours||8:50a.m. - 5:30p.m. (CET)|
|Value of One Futures Unit||CHF 10|
|Value of One Options Unit||CHF 10|
|Last Trading Day||The third Friday of the expiration month|
Interest rate futures contracts are widely traded throughout the world. The most popular futures contracts are generally 10-year government bonds and 3-month interest rate contracts. In Europe, futures on German interest rates are traded at the Eurex Exchange. Futures on UK interest rates are traded at the Liffe Exchange in London. Futures on Canadian interest rates are traded at the Montreal Exchange. Futures on Japanese interest rates are traded at the Singapore Exchange (SGX) and at the Tokyo Stock Exchange. A variety of other interest rate futures contracts are traded throughout the rest of the world (please see the front of this Yearbook for a complete list).
Euro-Zone - The Eurex German 10-year Euro Bund futures contract (Barchart.com symbol GG) traded largely sideways during 2017, closing the year down -2.47 points at 161.68. The Eurex French 10-year OAT bond futures contract (Barchart.com symbol FN) showed weakness in early 2017 on concern about the spring French national elections but then recovered in the latter half of the year to close 2017 up +3.36 points at 155.18. The Eurex Italy Euro BTP 10-year bond futures contract (Barchart.com symbol II) showed weakness in early 2017 but then strengthened later in the year, finally closing 2017 up +0.83 points at 136.14.
European 10-year bond prices showed some weakness in early 2017 on carry-over weakness from U.S. T-note prices, which were undercut by expectations for stronger economic growth and higher inflation in 2017 from the tax cut promised by Republican after their sweep in the November 2016 U.S. elections. European bond prices were also undercut by the impressive strength in the Eurozone economy, which finally escaped from the ravages of the Eurozone sovereign debt crisis and reached GDP growth of +2.3% in 2017. French bond prices saw weakness in early 2017 due to concerns that the anti-EU and far-right National Front party might win the 2-stage presidential and parliamentary elections in April and May. However, French bond prices were able to recover after Emmanuel Macron of the En Marche party was able to easily win the election, thus keeping the French government firmly in support of the euro and Eurozone unity. Populists also lost in March elections in the Netherlands.
Eurozone bond prices during 2017 saw support from weak inflation and the continued expansive monetary policy from the European Central Bank (ECB). The Eurozone CPI saw some strength in early 2017 due to higher crude oil prices, but the core CPI remained very tame near +1.0% all during 2017. Core inflation during 2017 remained well below the ECB's inflation target of just under +2.0%, ensuring that the ECB kept up its expansive monetary policy during 2017. The ECB during 2017 kept its main refinancing rate at zero percent and its deposit rate at -0.40%. The ECB's quantitative easing program was set at 80 billion euros per month in Q1-2017 and remained large at 60 billion euros per month during April-December 2017.
UK - The Liffe U.K. 10-year Gilt futures contract (Barchart.com symbol G) showed some strength early in 2017 but then faded in the latter half of the year, closing 2017 down -0.67 points at 125.16. Gilt prices were undercut during 2017 by a surge in inflation that was caused by the sharp drop in sterling that occurred after UK voters in June 2016 approved a referendum for Britain to exit the European Union, a process dubbed "Brexit." Specifically, the UK CPI rose sharply from +0.5% yr/yr before the June 2016 Brexit vote to a 6-year high of +3.1% yr/yr by November 2017. The UK core CPI rose from +1.2% yr/yr before the Brexit vote to a 6-year high of +2.7% yr/yr in the latter half of 2017, well above the Bank of England's (BOE) inflation target of +2.0%. The BOE responded to above-target inflation with a +25 basis point (bp) hike in its official base rate to 0.50% in November 2017, thus reversing the Brexit-related -25 bp rate cut in August 2016. The UK economy in 2017 remained relatively strong despite the uncertainty caused by Brexit. UK real GDP growth in 2017 of +1.7% was just mildly below the 2016 rate of +1.9%. Brexit negotiations during 2017 were rocky but the UK and EU in December 2017 managed to agree on exit terms, thus allowing the negotiations to move on to a transition phase and then a trade agreement. Brexit is due to occur on March 2019, but there will then be a 21-month transition phase before the UK's new post-Brexit relationship with the EU begins.
Canada - The Montreal Exchange's Canadian 10-year government note futures contract (Barchart.com symbol CG) showed some strength in mid-2017 but then fell back later in the year and closed 2017 down -2.75 points at 134.78. Canadian 10-year note prices fell sharply in late 2016 on carry-over weakness from the Republican sweep of the November 2016 U.S. election and Canadian notes remained weak in early 2017. Canadian note prices then saw some strength in Q2-2017 due to weakness in crude oil prices, which undercut inflation and the prospects for the Canadian economy. However, Canadian bond prices then sold off in the latter half of 2017 due to the strong Canadian economy and a tighter monetary policy. The Canadian economy in 2017 showed strong real GDP growth of +3.0%, up from +1.4% in 2016 and the strongest rate in six years. Canada's CPI ended 2017 at +1.9%, the highest annual rate in six years. The Bank of Canada (BOC) during 2017 raised its overnight lending rate twice by a total of +50 basis points (bp) to 1.00%, the highest level in ten years.
Japan - The SGX Japan 10-year JGB futures contract (Barchart.com symbol JX) traded sideways during 2017 and closed the year mildly higher by +0.56 points at 150.84. Back in September 2016, the Bank of Japan (BOJ) announced a shift to a yield-curve control policy where the central bank sought to impose a steeper yield curve with the 10-year JGB near zero, potentially allowing its 80-trillion-yen per year bond-purchase program to fluctuate in size to meet its yield target. As a result, the 10-year JGB yield during 2017 traded in a narrow range near zero. The 10-year JGB yield on several occasions during 2017 showed some upward pressure but the BOJ stepped in with large JGB purchases to successfully keep the 10-year JGB yield below 0.10%, which was the upper limit of the BOJ's target range around a mid-point of zero percent. The BOJ maintained its extremely expansive monetary policy during 2017 since there was little progress in pushing Japanese inflation up to the BOJ's target of 2%. Japan's CPI remained below 1.0% y/y during 2017 and the core CPI (ex food and energy) was even weaker near zero. Japan's real GDP growth improved to +1.7% in 2017, up from +0.9% in 2016 and the strongest growth rate in four years.
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