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Expand Your Interest Rate Opportunities
Whether you are a hedge fund managing risk from 30 days to 30 years, CME Group Interest Rate markets offer the most diverse suite of futures, options, and cleared OTC products offered on any exchange. With more than 40 million contracts outstanding in open interest, our Interest Rate products deliver greater capital efficiencies, plus the proven safety and security of CME Clearing. Please explore our interactive Interest Rate tools and free educational resources.

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Interest Rates

 

LEADING PRODUCTS
    AVERAGE DAILY VOLUME OPEN INTEREST
Product Name (Futures Ticker) Options Ticker* ADV Contracts Q1 2011 ADV $ Notional Q1 2011 (in millions) Open Interest Contracts Q1 2011 Open Interest $ Notional Q1 2011 (in millions)
Eurodollar Futures & Options (GE) GE 3,288,267 $3,288,267 27,222,108 $27,222,108
2-Year Treasury Note Futures & Options (ZT) OZT 346,962 $69,392 1,155,499 $231,100
5-Year Treasury Note Futures & Options (ZF) OZF 746,511 $74,651 1,716,825 $171,683
10-Year Treasury Note Futures & Options (ZN) OZN 1,501,580 $150,158 3,087,928 $308,793
U.S. Treasury Bond Futures & Options (ZB) OZB 400,319 $40,032 905,731 $90,573
Ultra T-Bond Futures & Options (UB) OUB 52,171 $5,217 334,806 $33,481

* Tickers displayed are CME Globex product codes.

 

Q1 Highlight: Announcing Sovereign Yield Spread Futures - Available May 23, 2011

Direct Exposure to Sovereign Bond Yields in a Single Trade

CME Group announces its latest innovation: 10-Year Sovereign Yield Spread (Sovys) futures.

10-Year Sovys futures wrap a sovereign bond yield spread into a single futures contract — with no need to execute and manage individual legs in cash bond markets, or across multiple futures exchanges. 10-Year Sovys futures trade exclusively on the CME Globex electronic trading platform, with all the benefits of the CME Clearing guarantee.

Sovereign Yield Spread Futures

10-Year Sovys futures make trading and monitoring of sovereign bond spread positions simpler, more cost-effective, and more efficient than ever before:

  • Streamlined trading of yield spreads - One contract, one trade, one central counterparty
  • Capital efficiency - One margin posting with a single clearing hou
  • Built-in spread ratio - Contract-reference yield spreads are always duration - and FX-weighted
  • Transparency - Traded on a regulated market, with a transparently determined daily mark-to-market
  • CME Clearing guarantee - Ensures the security and financial integrity of each transaction

For more information, visit cmegroup.com/sovys.

 

Weekly Treasury Options (WTOs)

Weekly options on U.S. Treasury futures continue to experience extraordinary growth since their launch on January 24, 2011. WTOs offer hedge funds an exciting range of flexible trading opportunities in the U.S. Treasury options complex, with a quarterly, serial or weekly expiration now taking place every Friday.

OTR Treasury futures offer:

  • More precise tools for targeting 2-, 5- and 10-year benchmark points on the Treasury yield curve
  • Efficient alternatives to short-selling cash Treasury securities
  • Capital efficient, off-balance sheet means to establish exposure to the cash Treasury market
  • Compelling new relative-value trading opportunities
  • Cash settled at expiration - no physical delivery

For more information, visit cmegroup.com/otr.

 

Cleared OTC Interest Rate Swaps

Open Access & Operational Flexibility

  • Provides operational flexibility of a multi-asset class solution on one platform that integrates into existing OTC infrastructure
  • Maintains current execution processes, affirmation platforms and product economics of bilateral OTC contracts
  • Ability to negotiate, execute and submit trades to CME Clearing through multiple venues, including MarkitSERV, Bloomberg VCON and Tradeweb

Risk Management & Customer Protections

  • Builds on the strength of CME Group's market-leading interest rates business and the more than 100 years of proven safety and security with CME Clearing

For more information on Cleared OTC Interest Rate swaps, visit cmegroup.com/irs.

 

On-The-Run U.S. Treasury Futures

Direct, Capital-Efficient Treasury Yield Exposure

OTR Treasury futures have created many new spreading opportunities for hedge fund customers, with the capital efficiencies of cross margining and efficient price exposure to benchmark Treasury yields.

OTR Treasury futures offer:

  • More precise tools for targeting 2-, 5- and 10-year benchmark points on the Treasury yield curve
  • Efficient alternatives to short-selling cash Treasury securities
  • Capital efficient, off-balance sheet means to establish exposure to the cash Treasury market
  • Compelling new relative-value trading opportunities
  • Cash settled at expiration — no physical delivery
  •  

For more information on OTR Treasury futures, visit www.cmegroup.com/otr.

 

 

For more information on our Interest Rate products, visit cmegroup.com/interestrates.
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CME Group Hedge Fund Team

Tina Lemieux
Managing Director, Client Development & Sales - Hedge Funds
312 930 3151
tina.lemieux@cmegroup.com

Mark Thompson
Director, Client Development & Sales - Hedge Funds (U.S.)
212 299 2342
mark.h.thompson@cmegroup.com

Randy Warsager
Director, Client Development & Sales - Hedge Funds (U.S.)
212 299 2352
randy.warsager@cmegroup.com

Pierre Prunier
Director, Client Development & Sales - Hedge Funds (Asia)
+65 6593 5582
pierre.prunier@cmegroup.com