The contracts will be traded on CME's GLOBEX® electronic trading platform, and regular trading hours will be from 4:30 p.m. (5:30 p.m. on Sundays) until 4 p.m. the following business day.
Liquidity in the CME swap futures contracts will be supported by Lead Market Makers (LMMs) who will make continuous markets each day from 7:20 a.m. until 2 p.m.
CME swap rate futures contracts will be priced using CME's International Monetary Market (IMM) Index convention, or 100 minus the applicable rate, as are Eurodollars and CME's other interest rate products. The minimum trading increment (tick size) of one quarter of a basis point (0.0025) will equal $25.00. Contract months will be listed in the March quarterly cycle, and the contracts will settle in cash based on the International Swaps and Derivatives Association (ISDA) U.S. dollar benchmark swap rate with two-, five- and 10-year maturities.
The new contracts are designed to provide an efficient means of trading and managing the risk of swap rates with the benefits of CME's price transparency and financial safeguards. The contracts will allow for easy spread trading with CME's Eurodollar futures, the world's most actively traded futures contract.
Chicago Mercantile Exchange Inc. (www.cme.com) is an international marketplace that brings together buyers and sellers on its trading floors and GLOBEX® around-the-clock electronic trading platform. CME offers futures contracts and options on futures primarily in four product areas: interest rates, stock indexes, foreign exchange and commodities. The exchange moves about $1.5 billion per day in settlement payments and manages $28.2 billion in collateral deposits. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc.
