CME Group, a derivatives exchange, has extended the block fee waiver and changed the notional coupon and listing schedule for interest rate swap futures contracts.

CME Group, a derivatives exchange, has extended the block fee waiver and changed the notional coupon and listing schedule for interest rate swap futures contracts.

These contracts are listed with, and subject to, the rules and regulations of CBOT.

"Given the recent heightened concerns about counterparty risk, there has been renewed interest in our swap futures products," says Robin Ross, CME Group managing director of interest rate products. "Customers have indicated that they'd like the fixed coupon rate on our swap futures contract to more closely correspond to the current interest rate environment."

The swap futures notional coupon will be reduced from its current value of six per cent to four per cent per year. As a result, the swap futures price levels, price dynamics, and yield-to-price relationship will correspond more closely to the cash and OTC markets. The change will take effect with the December 2009 contracts that will be listed for trading on 15 June 2009.

The fee waiver for block trades in interest rate swap futures, which was set to expire on 30 June, will be extended through 31 December  2009. This waiver eliminates the USD.75/per side surcharge for block trades, as well as the USD1.25/per side surcharge for exchange for physical and exchange for risk  transactions.

In addition, from 15 June swap futures will be extended from the current three quarterly expiries to four quarterly expiries (September 2009, December 2009, March 2010, and June 2010). With start dates approximately one year forward, this modification will enable market participants to use swap futures as a means to acquire or shed long-dated swap rate exposures.