Invented and built perpetual futures for interest rate markets

London Derivatives Exchange — Launching IRSIA Constant Maturity Futures (2013–2017)

In 2013, London Derivatives Exchange secured $5 million in funding from Eurex (Deutsche Börse) and Société Générale to develop a novel solution to a persistent problem in interest rate markets: the mismatch between OTC swap exposures and exchange-traded hedging instruments. Traditional interest rate futures expire on fixed IMM dates, causing their hedge characteristics to drift as expiry approaches — forcing constant roll management and basis risk. The IRSIA CMF (Interest Rate Swap Index Average Constant Maturity Future) eliminated this by removing the expiry date entirely, using daily mark-to-market against the underlying swap index to maintain consistent hedge properties in perpetuity.

This innovation was the subject of US Patent Application 20150026028, filed July 2013, covering the methodology for futures contracts with no expiry date where mark-to-market ties the contract to the underlying market. James Davies was co-inventor. This patent was abandoned after transfer to Deutsche Börse.

The project required designing bespoke clearing mechanics, FCM access arrangements, and market-making infrastructure from scratch. The product was taken through regulatory approval with BaFin, the FCA, and the CFTC — a multi-jurisdictional process requiring detailed documentation of the novel settlement and margining methodology.

James Davies served as Group COO, contracted through Handleport Limited. His responsibilities included developing the pricing mathematics and risk models for the novel instrument, designing integration with clearing infrastructure, and managing FCM relationships and customer onboarding. The product was taken through regulatory approval with BaFin, the FCA, and the CFTC — a multi-jurisdictional process requiring detailed documentation of the novel settlement and margining methodology.

Following a management buyout, LDX separated from GMEX Group, with the IRSIA intellectual property transferring to Deutsche Börse. Under new CEO VJ Angelo, LDX pivoted to developing alternative product lines while James Davies continued as Chairman, contracted through Handleport Limited.

During this period, disputes between founding parties led to litigation. James was not a party to any claims and was asked by Deutsche Börse and Société Générale to represent their minority shareholding interests throughout the restructuring — a role reflecting the trust placed in his governance and commercial judgment by these institutional investors.

James oversaw the board through multiple corporate transitions and ultimately managed an orderly wind-down process, ensuring proper discharge of obligations to shareholders, creditors, and regulatory bodies. The company entered voluntary liquidation in 2024.