CME Group Announces Modifications to Interest Rate Swap Futures
May 28 2009 - 1:18PM
PR Newswire (US)
Notional Coupon Rate Dropped to Four Percent; Expansion to Four
Quarterly Expiries; Fee Waiver Extended CHICAGO, May 28
/PRNewswire-FirstCall/ -- CME Group, the world's largest and most
diverse derivatives exchange, today announced an extension to the
block fee waiver, and changes to the notional coupon and listing
schedule for Interest Rate Swap futures contracts. These contracts
are listed with, and subject to, the rules and regulations of CBOT.
"Given the recent heightened concerns about counterparty risk,
there has been renewed interest in our Swap futures products," said
Robin Ross, CME Group Managing Director of Interest Rate Products.
"Customers have indicated that they'd like the fixed coupon rate on
our Swap futures contract to more closely correspond to the current
interest rate environment." The Swap futures notional coupon will
be reduced from its current value of six percent to four percent
per year. As a result, the Swap futures price levels, price
dynamics, and yield-to-price relationship will correspond more
closely to the cash and OTC markets, providing a more effective
risk management tool for market participants. The change will take
effect with the December 2009 contracts that will be listed for
trading on June 15, 2009. Also, the fee waiver for block trades in
Interest Rate Swap futures, which was set to expire on June 30,
will be extended through December 31, 2009. This waiver eliminates
the $.75/per side surcharge for block trades, as well as the
$1.25/per side surcharge for Exchange for Physical (EFP) and
Exchange for Risk (EFR) transactions. Finally, beginning June 15,
Swap futures will be extended from the current three quarterly
expiries to four quarterly expiries (September 2009, December 2009,
March 2010, and June 2010). With start dates approximately one year
forward, this modification will enable market participants to use
Swap futures as a means to acquire or shed long-dated swap rate
exposures. For additional information about these changes, click
here. CME Group (http://www.cmegroup.com/) is the world's largest
and most diverse derivatives exchange. Building on the heritage of
CME, CBOT and NYMEX, 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 trading floors in Chicago and
New York. By acting as the buyer to every seller and the seller to
every buyer, CME Clearing virtually eliminates counterparty credit
risk. CME Clearing also offers financial safeguards to help
mitigate systemic risk, providing the security and confidence
market participants need to operate, invest and grow. 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, energy,
agricultural commodities, metals, and alternative investment
products such as weather and real estate. CME Group is listed on
NASDAQ under the symbol "CME." The Globe logo, CME, Chicago
Mercantile Exchange, CME Group, Globex, E-mini and CME ClearPort
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. NYMEX and New York Mercantile Exchange are trademarks of
New York Mercantile Exchange, Inc. COMEX is a trademark of
Commodity Exchange, Inc. 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, Michael Shore,
+1-312-930-2363, or Allan Schoenberg, +1-312-930-8189, , or
Investors, John Peschier, +1-312-930-8491, all of CME Group Web
Site: http://www.cme.com/
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