FTSE MTIRS Index Series

FTSE Group has produced a series of Interest Rate Swaps Indices under the banner the FTSE MTIRS Index Series. The MTIRS Index Series has been set up to allow market participants to trade the index. The indices are calculated in real-time to reflect the movement in the underlying fixed for floating interest rate swaps market.

The FTSE MTIRS Index has the added attraction of standardizing trade details, reduced transaction costs, providing transparency of pricing and alleviating the need for back office monitoring of positions and calculating position value: the trader can compute his profit or loss very simply.

FTSE MTIRS US Dollar Swaps Indices

The first indices to be launched in the FTSE MTIRS Index Series were the FTSE MTIRS US Dollar Swaps Indices. FTSE is currently developing indices for the Euro, Sterling and Yen markets. The US Dollar semi-bond versus 3M LIBOR indices were launched on the 13th September and initially comprises 45 indices. They are:

  1. Interest Rate Swaps - 29 Indices: 2 - 30 year swaps
  2. Swaps Spreads -10 Indices: combinations of benchmark lifetimes (i.e. 2, 3, 5 10, 30)
  3. Butterfly Swaps - 6 Indices: combinations of benchmark lifetimes (e.g.2x3x10)

Both spread and butterfly trades are duration weighted notional principal amounts.

Detailed Guide to Calculation