"Together, our new 5- and 10-year agency futures represent the best new product launch we have ever had at the Chicago Mercantile Exchange," said CME Chairman Scott Gordon. "We are delighted with the market's very positive reception to our agency note futures contracts."
Final volume in the 5-year futures was 5,557 contracts and in the 10-year futures was 6,383 contracts. Open interest at the end of Tuesday in the 5- and 10-year contracts was 2,014 and 2,614 respectively. The CME's previous product launch record was in September 1997 when 7,494 E-mini S&P 500 futures contracts traded on their first day of activity.
"Throughout the day, we saw activity from a broad array of market participants, resulting in extremely tight, liquid markets," said CME President and Chief Executive Officer Jim McNulty. "I believe the market's positive response is a reflection of the thoughtful analysis that went into the planning and design of these products."
The CME's agency note futures contracts trade in the CME's interest rate complex, adjacent to the CME's Eurodollar contract, the most actively traded U.S. interest rate contract. The agency note futures contracts are based on Freddie Mac's Reference Notes and Fannie Mae's Benchmark Notes. The two agencies are the nation's largest home funding companies.
The new 5- and 10-year agency note futures contracts are sized at $100,000 and listed with quarterly expirations. The contracts are settled through physical delivery of eligible securities of either Freddie Mac® or Fannie Mae®, both of which are AAA-rated. CME agency note futures bear a notional coupon of 6.5 percent and have a minimum price movement of one-half of 1/32nd of 1 percent of par value, or $15.625 per tick. The contracts trade via open outcry during Regular Trading Hours of 7:20 a.m. to 2 p.m. Central Time. The contract will also begin trading via the CME's GLOBEX®2 electronic trading system on Sunday, March 19, at 5:30 p.m. and will trade electronically throughout the week from 2:10 p.m. to 7:05 a.m. the following day.
The CME intends to begin simultaneous floor and electronic trading of agency futures early this summer. The Exchange is also awaiting approval from the Commodity Futures Trading Commission to permit block trading in the contracts.
