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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.
