On March 16, 2016, Montréal Exchange (MX) announced that it will expand its interest rate derivatives offering with the launch of Canadian Dollar Interest Rate Swap Futures based on the Eris MethodologyTM. These new swap futures contracts will be cleared at the Canadian Derivatives Clearing Corporation (CDCC) and will be available for trading on MX in September 2016.
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.
Data Sources: M-X | Effective Date: March 16, 2016