Start-up exchange GMEX will launch its constant maturity future for hedging and trading interest rate exposure on August 7, introducing the latest effort addressing a shift from over-the-counter interest rate swaps to listed alternatives. The euro-denominated hybrid contract offers trading across the entire euro interest rate curve from two to 30 years and will be available for trading and clearing over the Eurex exchange. Hybrid swap futures, which combine the economics of an over-the-counter interest rate swap with the transparency of a listed future, reflect new regulations that require derivatives users to post initial margin covering five-day VaR on OTC swaps, compared with just two-day VaR for listed futures. While there has been no mass swaps-to-futures migration yet, traction in similar US-based products is beginning to take off. The trend is expected to be mirrored in Europe, where the first wave of mandatory swaps clearing is expected to go live next year under the European Market Infrastructure Regulation.
展开▼
