GMEX IRS Constant Maturity Futures - backed by Eurex
GMEX, together with Eurex, provides the GMEX Interest Rate Swap Constant
Maturity Future (IRS CMF) to address regulatory imperatives to centrally clear
interest rate swaps (IRS) by aligning the IRS CMF as closely as possible to the
underlying IRS market. At the same time it avoids the complications that arise from
standard quarterly maturing futures contracts. Moreover, the IRS CMF is listed and
centrally cleared at Eurex providing centralised liquidity, effective hedging of interest
rate exposure and immediate capital efficiencies.
GMEX IRS CMF product features
• IRS CMF Contracts never expire, have no time decay and do not mature
• Trades as a rate
• Buyer pays fixed/seller receives fixed
• Notional size of contract varies by tenor
• Listed and traded on Eurex Exchange - no need to onboard a new trading venue
Central clearing
• Overnight margining against settlement value of the IRS Constant Maturity Index
• Margin offsets against positions in other products available at Eurex Exchange,
optimising the market’s leading interest rate product suite (listed and OTC), based
on the whole EUR-denominated yield curve
• Cleared via Eurex Clearing - helping you manage risk and become more efficient
with capital usage
Price discovery
Yield / Rates based quotes
• Quoted to ¼ of a Basis Point
• Example prices: Bid = 2.0025% (Payer of Fixed) Offer= 2.0075% (Receiver of Fixed)
Index based on Volume Weighted IRS quoted prices
• Index is streamed in real-time incorporating tradable prices from market-recognised
IRS trading platforms
• Settlement value determined by applying our methodology to tradable prices
published in the last 3 minutes of the trading day
Maturity calibration
• Maturity calibration process used to keep positions in the same maturity from
one day to the next.
• At EOD, all positions VAR margined to the Index Settlement Value - thus Index
becomes OI position price and is used to calculate the 1 day forward price
• OI transferred to 1 day forward price (‘maturity calibration’) with no P&L impact.
This removes structural cost differential of the daily change in the IRS rates.
Incorporation of Carry Costs
• The maturity calibration process incorporates the overnight carry costs into the values
of the IRS CMF. The following day the market will adjust back to the spot price.
For more information please
visit www.gmex-group.com
or contact:
Email: info@gmex-group.com
Tel: +44 (0) 20 7148 9009
Maturities & contract provision
• Every annual maturity from 2 - 30 years
Convexity
• Closely replicates IRS convexity
• Tick Value calculated using OIS discount curve