Montréal Exchange grows IRSF offering
18 March 2016 Montréal
Image: Shutterstock
Montréal Exchange (MX) is expanding its interest rate derivatives offering with the launch of Canadian dollar interest rate swap futures (IRSF), going live in September.
These new swap futures contracts will be cleared at the Canadian Derivatives Clearing Corporation (CDCC) and will be based on the Eris Methodology, owned by Eris Exchange.
The Eris Methodology replicates over-the-counter swaps economics into a single futures price, allowing the product to remain a futures contract throughout its full lifecycle.
Once launched, the IRSF contracts will be available for tenors of two, five and 10 years.
"Regulatory reforms are transforming the interest rate swap market globally, with trading markets and clearing houses taking a larger role," said Alain Miquelon, president and CEO of Montréal Exchange and group head of derivatives at TMX Group.
"By offering this innovative new product, the Montréal Exchange will provide market participants with a transparent and cost-efficient benchmark product to complement the Canadian IRS market, while also improving price discovery across the Canadian yield curve."
Neal Brady, CEO of Eris Exchange, added: "In Canada and around the world, the tightening capital constraints related to the introduction of margin on uncleared swaps, mandatory swap clearing, and revised Basel III leverage ratio calculations are driving banks and swap end users to embrace the capital efficiency of Eris swap futures."
These new swap futures contracts will be cleared at the Canadian Derivatives Clearing Corporation (CDCC) and will be based on the Eris Methodology, owned by Eris Exchange.
The Eris Methodology replicates over-the-counter swaps economics into a single futures price, allowing the product to remain a futures contract throughout its full lifecycle.
Once launched, the IRSF contracts will be available for tenors of two, five and 10 years.
"Regulatory reforms are transforming the interest rate swap market globally, with trading markets and clearing houses taking a larger role," said Alain Miquelon, president and CEO of Montréal Exchange and group head of derivatives at TMX Group.
"By offering this innovative new product, the Montréal Exchange will provide market participants with a transparent and cost-efficient benchmark product to complement the Canadian IRS market, while also improving price discovery across the Canadian yield curve."
Neal Brady, CEO of Eris Exchange, added: "In Canada and around the world, the tightening capital constraints related to the introduction of margin on uncleared swaps, mandatory swap clearing, and revised Basel III leverage ratio calculations are driving banks and swap end users to embrace the capital efficiency of Eris swap futures."
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