CME Group to Launch OIS Futures and Options on Futures

by Chicago Mercantile Exchange 29 Jul 16:16

A new way to hedge interest rate spreads and Fed policy further out the yield
curve

CHICAGO, July 29 /PRNewswire-FirstCall/ — In a further expansion of its
short-term interest rate product offerings, CME Group, the world’s largest
and most diverse derivatives exchange, today announced plans to offer 3-month
Overnight Index Swaps (OIS) futures and options on futures. The futures
contract is scheduled to become available on Sunday, September 7, 2008, for a
trade date of September 8, on the CME Globex® electronic trading platform and
on Monday, September 8, 2008, for open outcry trading.

The new OIS futures contract will track the overnight effective Federal Funds
rate, a major benchmark for the U.S. short-term interest rate market. The
contract will reflect the Federal Funds rate compounded over a three-month
period that ends on the contract’s expiration date. Because the OIS futures
contract will cover the same time period as a Eurodollar future, the contract
will provide market participants with a direct and efficient way to trade the
spread between 3-month LIBOR and 3-month overnight financing costs.

“In the current economic environment, an increasing number of short-term
interest rate instruments are linked to the overnight Fed Funds rate,” said
Robin Ross, managing director, CME Group interest rate products. “Our new
contract will be a welcome means of hedging OIS-linked risk exposure.
Combining the new 3-month OIS contract with our benchmark Eurodollar futures
will enable efficient trading of the Fed Funds/LIBOR spread, which has grown
increasingly volatile, creating substantial risk for money market
participants. The contract will also provide a direct way to take a view on
FOMC policy moves further out the yield curve than is possible with our
existing 30-day Fed Funds contracts.”

The OIS futures will complement CME Group’s rapidly growing 30-Day Federal
Funds contracts, which reflect the average level of the overnight Federal
Funds rate over a calendar month. CME Group’s 30-Day Federal Funds futures
and options have experienced strong growth over the past year. For the first
six months of 2008, the contracts had average daily volume of 115,673
contracts a day, up 52 percent over the same period last year. For more
information on 3-month OIS futures please visit
http://www.cmegroup.com/trading/interest-rates/files/3month_OIS_Contract_Specs.pdf.

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 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, news@cmegroup.com, or Investors, John Peschier,
+1-312-930-8491, all of CME Group

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