New London-based MTF unveiled its Constant Maturity Future this week. William Mitting takes a look at how it will work and where it fits in the market.
The changes within the OTC interest rate market are well
documented. The mandate to clear and electronically trade
contracts among other rules designed to make the OTC landscape
inhospitable for all but the hardiest market participants has
led to a flurry of new launched from exchanges and electronic
trading platforms to provide electronically traded alternatives
and seeking to get their slice of a $600tr pie.
This week, GMEX, a new London-based MTF, became the latest
to throw its hat into the ring with a Constant Maturity Swap
The innovation within the GMEX product lies primarily in the
creation of the succinctly named Interest Rate Swap Index
Average Constant Maturity Index (IRSIA CMI).
The integrity of the index
The IRSIA CMI is an index designed to reflect pricing in the
underlying IRS market in real-time. It will continuously
display the mid-market rate of the underlying physical IRS for
a wide range of maturities.
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