Interest Rate Swap Constant Maturity Future - IRS CMF

IRS CMF

Priced like a swap – traded like a future
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End of day values for 2016-09-23

CMF CodeEurex CodeSettlement RateDiscount Factor for SettlementSettlement PVForward RateDiscount Factor for ForwardForward PV
IRSIA-CMF-EUR-02YGE020.11793961.0019755470.990.11802231.001746471.21
IRSIA-CMF-EUR-05YGE050.42414730.99067392102.70.42419190.99015652102.72
IRSIA-CMF-EUR-10YGE100.98261180.9296914742.170.98285120.92552964743.08
The GMEX IRS Constant Maturity Future addresses the recent regulatory market changes which hinder hedging strategies and constrain trading opportunities. The IRS CMF, is aligned as closely as possible to the underlying IRS market, avoiding the complications that arise from standard quarterly expiring futures contracts. Moreover, the IRS CMF is a Eurex listed, centrally cleared future providing centralised liquidity, low transaction costs & immediate capital efficiencies.