Montreal Exchange is to expand its interest rate derivatives offering with the launch of Canadian Dollar Interest Rate Swap Futures based on the Eris Methodology. It says the contracts will be cleared at the Canadian Derivatives Clearing Corporation (CDCC) and will be available for trading on MX in September 2016.
Said Alain Miquelon, president and chief executive officer of Montreal Exchange and group head of derivatives, TMX Group: “Regulatory reforms are transforming the interest rate swap market globally, with trading markets and clearing houses taking a larger role. By offering this innovative new product, the Montreal Exchange will provide market participants with a transparent and cost-efficient benchmark product to complement the Canadian interest rate swap market, while also improving price discovery across the Canadian yield curve.”
The Eris Methodology is intellectual property of Eris Exchange that replicates OTC swaps economics into a single futures price, thereby allowing the product to remain a futures contract throughout its full lifecycle. The innovative product design allows participants to operate within the familiar ecosystem of futures market regulations, back-office processes, agency execution and software tools. Once launched, the contracts will follow Canadian interest rate swap market conventions and offer tenors of two, five and 10 years.
Said Neal Brady, CEO of Eris Exchange: “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.