CME Group to Offer Treasury and Interest Rate Swap Spreads

by Chicago Mercantile Exchange 19 Jun 22:02

Exchange continues to extend CME Globex functionality across all products

CHICAGO, June 19 /PRNewswire-FirstCall/ — CME Group, the world’s largest
and most diverse derivatives exchange, today announced plans to offer U.S.
Treasury and Interest Rate Swap predefined, implied intercommodity spreads.
The new spreads, a first for fixed-income futures, will trade on the CME
Globex® electronic trading platform and will become available in the fourth
quarter of 2008.

Predefined, implied intercommodity spreads will make it easier and more
efficient to execute these strategies and eliminates the risk of not being
able to execute the spread at a desired price. They will be available for
several of the most commonly-used spread trading strategies including 10-year
U.S. Treasury Note futures versus 30-year U.S. Treasury Bond futures (NOB),
and 10-year U.S. Treasury futures versus 10-year Interest Rate Swap futures
(TOS). Each spread will be listed as an exchange-defined ratio allowing
market participants to easily determine where the market is trading.

“CME Group continues to provide tangible benefits from last year’s merger and
leverage the resulting synergies to the benefit of our customers,” said Rick
Redding, Managing Director, CME Group Products and Services. “With CME
Globex integration successfully completed, we are now deploying the
platform’s sophisticated technology across our electronically-traded products
and adding functionality, such as implied spreading, which creates new trading
opportunities for our customers. Because it is now easier to execute these
strategies it will likely also broaden the participant pool. We believe
these spreads will further enhance market liquidity for our Treasury complex
and Interest Rate Swap futures.”

Both the U.S. Treasury complex and Interest Rate Swap futures have
experienced strong growth in 2008. Through the end of May, average daily
volume in the Treasury complex was 3,321,725 contracts a day, a 17 percent
increase from same period in 2007. The combined Interest Rate Swap futures
averaged 6,346 contracts a day during that period, a 71 percent increase over
last year’s average daily volume through May.

Intercommodity spreads consist of a long position and a short position for
two different, but related, futures contracts, typically in the same delivery
month. Implied spread functionality on CME Globex was initially launched in
2003 for Eurodollar futures. It has since been extended to other contracts.

In addition to the new spreads, CME Group will introduce options on
Eurodollar futures calendar spreads. These options are scheduled to launch
on Sunday, August 17, 2008, for a trade date of August 18. The options will
trade electronically on CME Globex as well as in open outcry.

Eurodollar calendar spread options are designed to help market participants
better manage risk exposures specifically tied to the slope of the Eurodollar
rate curve. Call options will be exercisable into one long nearby Eurodollar
futures contract and one short deferred Eurodollar futures contract, for
example June 2008 (long) and June 2009 (short). Put options will be
exercisable into a short nearby Eurodollar future and a long deferred one.
The existing Eurodollar options market makers will provide liquidity for
these new contracts.

CME Group interest rate products span the entire U.S. dollar denominated
yield curve and are among the world’s most actively traded futures and
options on futures contracts. They are an important risk management tool for
managing short-, medium- and long-term interest rate risk with products based
on Eurodollars, U.S. Treasuries, swaps and other dollar-related instruments as
well as products for managing interest rate risk in Europe and Japan. In
2007, an average of 6.9 million interest rate contracts a day traded at CME
Group.

CME Group (http://www.cmegroup.com/) is the world’s largest and most diverse
derivatives exchange. Formed by the 2007 merger of the Chicago Mercantile
Exchange (CME) and the Chicago Board of Trade (CBOT), CME Group serves the
risk management needs of customers around the globe. As an international
marketplace, CME Group brings buyers and sellers together on the CME Globex
electronic trading platform and on its trading floors. CME Group offers the
widest range of benchmark products available across all major asset classes,
including futures and options based on interest rates, equity indexes,
foreign exchange, agricultural commodities, and alternative investment
products such as weather and real estate. CME Group is traded on the New
York Stock Exchange and NASDAQ under the symbol “CME.”

The Globe logo, CME, Chicago Mercantile Exchange, CME Group, Globex and
E-mini, are trademarks of Chicago Mercantile Exchange Inc. CBOT and Chicago
Board of Trade are trademarks of the Board of Trade of the City of Chicago.
All other trademarks are the property of their respective owners. Further
information about CME Group and its products can be found at
http://www.cmegroup.com/.

CME-G

SOURCE: CME Group

CONTACT: Media, Pamela Plehn, +1-312-930-3446, or Allan Schoenberg,
+1-312-930-8189, both at news@cmegroup.com, or Investors, John Peschier,
+1-312-930-8491, all of CME Group

Web site: http://www.cme.com/
http://www.cmegroup.mediaroom.com/