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Montréal Exchange to Launch Canadian Dollar IRS

Montréal Exchange (MX) is launching Canadian dollar interest
rate swap futures. The contracts will be cleared at the Canadian Derivatives
Clearing Corporation and will be available to trade on MX from September this year.

MX’s new product will be based on the ‘Eris methodology’,
itself the intellectual property of Eris Exchange. According to the firm, the
methodology “replicates OTC swaps economics into a single futures price,
thereby allowing the product to remain a futures contract throughout its full

The new contracts will follow Canadian interest rate swap
market conventions and offer tenors of two, five and 10 years.

Neal Brady, CEO of Eris Exchange, says, “The September
target launch date is well-timed…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

Representatives of MX also commented on the launch, with Alain
Miquelon, president and CEO, MX and group head of derivatives, TMX Group,
claiming that: “[By offering this product] the Montréal 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.”                                                   Twitter:

Andrew Hoy

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