CME and Tullett Liberty target interest rate swap market with Eurodollar forward rate agreement
'Gap risk', scourge of the interest rate swaps markets, is set to be eliminated by the joint innovation of the Chicago Mercantile Exchange and Tullett Liberty
In June, the Chicago Mercantile Exchange (CME) and inter-dealer broker Tullett Liberty established a Eurodollar forward rate agreement (FRA) switch market for the interest rate swap community.
This new product will further integrate the over-the-counter (OTC) swaps and the exchange-traded markets.
As many market participants may have experienced, interest rate swaps portfolios are often exposed to what is known as 'gap risk.'
Roughly offsetting interest rate swaps in a portfolio may still have
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