CME Group to Offer Treasury and Interest Rate Swap Spreads
June 19 2008 - 3:30PM
PR Newswire (US)
Exchange continues to extend CME Globex functionality across all
products CHICAGO, June 19 /PRNewswire-FirstCall/ -- CME Group, the
world's largest and most diverse derivatives exchange, today
announced plans to offer U.S. Treasury and Interest Rate Swap
predefined, implied intercommodity spreads. The new spreads, a
first for fixed-income futures, will trade on the CME Globex(R)
electronic trading platform and will become available in the fourth
quarter of 2008. Predefined, implied intercommodity spreads will
make it easier and more efficient to execute these strategies and
eliminates the risk of not being able to execute the spread at a
desired price. They will be available for several of the most
commonly-used spread trading strategies including 10-year U.S.
Treasury Note futures versus 30-year U.S. Treasury Bond futures
(NOB), and 10-year U.S. Treasury futures versus 10-year Interest
Rate Swap futures (TOS). Each spread will be listed as an
exchange-defined ratio allowing market participants to easily
determine where the market is trading. "CME Group continues to
provide tangible benefits from last year's merger and leverage the
resulting synergies to the benefit of our customers," said Rick
Redding, Managing Director, CME Group Products and Services. "With
CME Globex integration successfully completed, we are now deploying
the platform's sophisticated technology across our
electronically-traded products and adding functionality, such as
implied spreading, which creates new trading opportunities for our
customers. Because it is now easier to execute these strategies it
will likely also broaden the participant pool. We believe these
spreads will further enhance market liquidity for our Treasury
complex and Interest Rate Swap futures." Both the U.S. Treasury
complex and Interest Rate Swap futures have experienced strong
growth in 2008. Through the end of May, average daily volume in the
Treasury complex was 3,321,725 contracts a day, a 17 percent
increase from same period in 2007. The combined Interest Rate Swap
futures averaged 6,346 contracts a day during that period, a 71
percent increase over last year's average daily volume through May.
Intercommodity spreads consist of a long position and a short
position for two different, but related, futures contracts,
typically in the same delivery month. Implied spread functionality
on CME Globex was initially launched in 2003 for Eurodollar
futures. It has since been extended to other contracts. In addition
to the new spreads, CME Group will introduce options on Eurodollar
futures calendar spreads. These options are scheduled to launch on
Sunday, August 17, 2008, for a trade date of August 18. The options
will trade electronically on CME Globex as well as in open outcry.
Eurodollar calendar spread options are designed to help market
participants better manage risk exposures specifically tied to the
slope of the Eurodollar rate curve. Call options will be
exercisable into one long nearby Eurodollar futures contract and
one short deferred Eurodollar futures contract, for example June
2008 (long) and June 2009 (short). Put options will be exercisable
into a short nearby Eurodollar future and a long deferred one. The
existing Eurodollar options market makers will provide liquidity
for these new contracts. CME Group interest rate products span the
entire U.S. dollar denominated yield curve and are among the
world's most actively traded futures and options on futures
contracts. They are an important risk management tool for managing
short-, medium- and long-term interest rate risk with products
based on Eurodollars, U.S. Treasuries, swaps and other
dollar-related instruments as well as products for managing
interest rate risk in Europe and Japan. In 2007, an average of 6.9
million interest rate contracts a day traded at CME Group. CME
Group (http://www.cmegroup.com/) is the world's largest and most
diverse derivatives exchange. Formed by the 2007 merger of the
Chicago Mercantile Exchange (CME) and the Chicago Board of Trade
(CBOT), CME Group serves the risk management needs of customers
around the globe. As an international marketplace, CME Group brings
buyers and sellers together on the CME Globex electronic trading
platform and on its trading floors. CME Group offers the widest
range of benchmark products available across all major asset
classes, including futures and options based on interest rates,
equity indexes, foreign exchange, agricultural commodities, and
alternative investment products such as weather and real estate.
CME Group is traded on the New York Stock Exchange and NASDAQ under
the symbol "CME." The Globe logo, CME, Chicago Mercantile Exchange,
CME Group, Globex and E-mini, are trademarks of Chicago Mercantile
Exchange Inc. CBOT and Chicago Board of Trade are trademarks of the
Board of Trade of the City of Chicago. All other trademarks are the
property of their respective owners. Further information about CME
Group and its products can be found at http://www.cmegroup.com/.
CME-G DATASOURCE: CME Group CONTACT: Media, Pamela Plehn,
+1-312-930-3446, or Allan Schoenberg, +1-312-930-8189, both at , or
Investors, John Peschier, +1-312-930-8491, all of CME Group Web
site: http://www.cme.com/ http://www.cmegroup.mediaroom.com/
Copyright