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Serials

BAX serial futures are identical to the standard BAX contracts in all respects with the exception of the expiration months. The standard BAX quarterly cycle consists of March, June, September and December. Serial futures expire in all other calendar months. Two BAX serial contracts are listed at all times so that there are always three consecutive front months listed.

Example: On March 17, the April and May serial BAX futures are listed in addition to the BAX June quarterly contract. With the expiry of the April contract, the July serial BAX contract is immediately listed with the expiry of the May contract, the August BAX serial is added, and so forth.

The addition of the serial futures alleviates maturity mismatches and provides market participants with the opportunity to more precisely manage their short-term interest rate exposure.

Example: On April 2, a trader has a three-month fixing on April 13. Hedging this risk with a June BAX contract exposes the trader to date risk between the three-month rate fixing in 11 days and the three-month fixing in 74 days to June 15. By using the April serial BAX contract, the trader can now match the fixing date of the hedge to the risk exposure, thereby greatly reducing the date risk.