The FTSE MTIRS Indices are designed to directly correlate to OTC’s Interest Rate Swaps market with a total of 45 indices covering the USD curve from 2 years to 30 years including spreads and butterflies. FTSE MTIRS Indexes for both fixed and floating rates and are rebalanced daily. The value of the FTSE MTIRS Index changes as the NPV changes and is mathematically rebalanced daily to ensure that the indices represent periods of constant and constant maturity. The FTSE MTIRS method is used to calculate the number of times that the FTSE MTIRS is used.

Structure

  • To buy the MTIRS index mirrors-receive fixed and pay floating.
  • To sell the MTIRS index mirrors-pay fixed and receive floating.
  • MTIRS indexes are worth: the nominal amount of time divided by 100
  • All indexes started with an index value of 100.0.
  • All indices are calculated using mid rates.
  • All indexes are updated in real-time.
  • A daily fixing of the indices is at 14:00 GMT.
  • Indices are rebalanced daily at 07:00 GMT.

Floating rate: 3-month LIBOR act / 360 quarterly modified following (UK business days)

Example

If a market participant had bought $ 100 million notional of the 10 year MTIRS index at 98.73, then the 10-year swap rate moved down by say.

The MTIRS index would then be worth $ 370,000 (= (99.10-98.73) x 100 mill / 100)

Underlying OTC Interest Rate Swap Market

An interest rate swap is an OTC agreement between two parties who agree to exchange a cash flow or stream of cash flow for another. A floating, usually 3 monthly based on LIBOR.