CME Group to launch 7-year, 20-year US Dollar deliverable swap futures


International derivatives marketplace CME Group today announced plans to introduce 7-year and 20-year US Dollar Deliverable Swap Futures (DSF), with the launch scheduled for September 28, 2015. The addition builds on the success of the existing 2, 5, 10 and 30-year deliverable swap futures.

The daily average notional value of DSFs exceeds $580 million – this is more than twice as much as the next most active swap futures contract.

“Filling out the DSF curve with the 7-year and 20-year contracts provides market participants with greater opportunities to express curve trades, butterflies, and spreads against Treasury Futures in a capital efficient manner,” said Agha Mirza, Executive Director of Interest Rate Products at CME Group.

Additional deliverable swap futures contracts are to be listed at benchmark maturity points (7 and 20 years), with quarterly expirations on IMM dates. At expiration, the contracts physically deliver into an OTC interest rate swap cleared by CME Clearing.

The contracts will be submitted to and reviewed by the CFTC.

To view the official announcement by CME, click here.

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CME Group to launch 7-year, 20-year US Dollar deliverable swap futures

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