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Foreign Exchange

CME modifies swaps contracts

The CME has made various changes to its swaps futures, including an extension to its block fee waiver, an alteration of its notional coupon and its listing schedule.

“Given the recent heightened concerns about counterparty risk, there has been renewed interest in our swap futures 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,” says Robin Ross, the exchange's managing director of interest rate products.

The contract’s notional coupon will be reduced from 6% to 4%. The change will take effect with the December 2009 contracts, which are due to be listed on June 15. The CME says that its existing fee waiver, due to expire on June 30, will be extended until the end of the year. Also, the exchange will now list four, rather than three, quarterly expiries.

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