CHICAGO, July 21, 2016 /PRNewswire/ -- CME Group, the
world's leading and most diverse derivatives marketplace, today
announced the launch of S&P 500 Total Return Index Futures
(S&P Total Return) and S&P 500 Carry Adjusted Total Return
Index Futures (S&P Carry Adjusted Total Return) futures. These
new products are designed to help market participants mitigate
costs and find efficiencies related to new uncleared swap margin
rules, which will go into effect on Sept. 1,
2016. The products will be available for trade August 29, pending regulatory review.
"These innovative products are intended to mimic the economics
of a total return swap in futures form, allowing swap dealers and
their end customers to avoid higher costs as a result of new swap
margin rules," said Tim McCourt, CME
Group Global Head of Equity Products. "This is indicative of CME
Group's ongoing commitment to meet the changing needs of our
customers in an evolving global marketplace."
Under the new rules, any uncleared swap product must now post
initial margin to a third-party custodian for bilateral trade.
Because all equity swaps must post 15 percent prescriptive initial
margin levels, and swap dealers were previously using portfolio
credit, the effect of the new rules will be a substantial increase
in cost to dealers. To avoid this increase, dealers can use another
cleared product – a future. CME Group's new S&P Carry Adjusted
Total Return and S&P Total Return futures contracts are
designed for this purpose.
S&P Total Return futures will function as a traditional
index futures contract, with the underlying index being the SPTR
index, the most common underlying equity index swap. S&P Carry
Adjusted Total Return futures will have the SPCATR index as the
underlying, which has quarterly reset functionality built into the
index calculation that mimics the reset functionality of an equity
swap.
S&P Carry Adjusted Total Return and S&P Total Return
futures contracts are listed with and subject to the rules and
regulations of the Chicago Mercantile Exchange. Both products will
trade via Basis Trade at Index Close continuously throughout the
day, and will adhere to a quarterly expiry cycle. For more
information, please visit cmegroup.com/totalreturn.
As the world's leading and most diverse derivatives marketplace,
CME Group (www.cmegroup.com) is where the world comes to manage
risk. CME Group exchanges offer the widest range of global
benchmark products across all major asset classes, including
futures and options based on interest rates, equity indexes,
foreign exchange, energy, agricultural products and metals.
Around the world, CME Group brings buyers and sellers
together through its CME Globex® electronic trading platform and
its exchanges based in Chicago,
New York and London. CME Group also operates one of
the world's leading central counterparty clearing providers through
CME Clearing and CME Clearing Europe, which offer clearing and
settlement services across asset classes for exchange-traded and
over-the-counter derivatives. CME Group's products and
services ensure that businesses around the world can effectively
manage risk and achieve growth.
CME Group is a trademark of CME Group Inc. The Globe Logo, CME,
Globex and Chicago Mercantile Exchange are trademarks of Chicago
Mercantile Exchange Inc. CBOT and the Chicago Board of Trade are trademarks of the
Board of Trade of the City of
Chicago, Inc. NYMEX, New York Mercantile Exchange and
ClearPort are registered trademarks of New York Mercantile
Exchange, Inc. COMEX is a trademark of Commodity Exchange,
Inc. All other trademarks are the property of their
respective owners. Further information about CME Group
(NASDAQ: CME) and its products can be found at
www.cmegroup.com.
CME-G
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SOURCE CME Group