News Release

CME Group Announces Modifications to Interest Rate Swap Futures

Thu May 28 2009

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 (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 www.cmegroup.com.

CME-G

SOURCE: CME Group

Web site: http://www.cme.com/

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