CME Group to Launch Deliverable Interest Rate Swap Futures

CHICAGO, Sept. 18, 2012 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, announced it will launch deliverable Interest Rate Swap Futures contracts November 13, 2012. This innovative new product complements CME Group's leading interest rate futures and options business, and its cleared over-the-counter interest rate swap solution. The contracts will be listed on, and subject to, the rules and regulations of CBOT and will be submitted to and reviewed by the CFTC.

Interest Rate Swap Futures were created to meet strong demand from financial market participants including banks, hedge funds, asset managers and insurers. Citi, Credit Suisse, Goldman Sachs, and Morgan Stanley are among the firms who are planning to serve as market makers for the product, enabling market participants to access deep and liquid markets.

"Deliverable Swap Futures benefit clients by providing a unique new way to access interest rate swap exposure, further strengthening our position as the leading OTC clearing solution for U.S. customers," said Sean Tully, Managing Director of Interest Rate Products at CME Group. "Our customers will now have a complementary standardized product that provides the advantages offered by futures contracts including pricing transparency, the automatic netting of positions, and margin savings achieved through cross margining versus all other futures and options cleared through CME Clearing."

"We are pleased to be able to work with CME Group as a market maker for Deliverable Swap Futures," said Nick Brophy, Head of North American Rates Trading at Citi. "This innovative product allows Citi and our clients to capture the benefits of futures trading while maintaining the flexibility to take physical delivery of a CME cleared interest rate swap."

"Credit Suisse is committed to staying on the leading edge of financial innovation and providing our clients with new ways to transfer risk," said Peter Antico, Head of Rates Americas at Credit Suisse.  "We are pleased to partner with CME as the Interest Rate Swaps market goes through this period of change" 

"Swap Futures fill an important gap in the rates market, as they'll allow clients to access swap exposure while providing cross-margining with the efficiencies of Futures products" said Glenn Hadden, Head of Global Interest Rate Products at Morgan Stanley. "We are excited by the prospect of providing liquidity in this unique new product, and to continue to serve our clients as a leading clearing member for CME futures and cleared swaps."

This product has the same economic exposure as an interest rate swap, the margin and liquidity benefits of a futures contract, and at expiration all open positions will deliver into a CME Cleared Interest Rate Swap. The product will be a standardized future, trading both electronically on CME Globex and via open outcry, and will be eligible for privately negotiated transactions.

Futures contracts will be listed for quarterly expiration on IMM dates, for physical delivery of OTC US dollar interest rate swaps at key terms to maturity (2, 5, 10, 30 years). Contracts will be quoted on a price basis, with a fixed coupon for each contract that is set by the Exchange when the contract is listed for trading. At expiration the holder of a long futures position will become the fixed rate receiver and floating rate payer in an OTC interest rate swap cleared by CME Clearing. For more information, please visit: www.cmegroup.com/trading/interest-rates.

As the world's leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through its CME Globex^® electronic trading platform and its trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the world's leading central counterparty clearing providers, which offers clearing and settlement services across asset classes for exchange-traded contracts and over-the-counter derivatives transactions. These products and services ensure that businesses everywhere can substantially mitigate counterparty credit risk.

CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Globex and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc. NYMEX, New York Mercantile Exchange and ClearPort are registered 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 (NASDAQ: CME) and its products can be found at www.cmegroup.com. 

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SOURCE CME Group

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