CME Group has reduced the notional coupon for its interest rate swap futures from 6% to 4%, as one of a series of measures to encourage a recovery in interest rate derivatives trading.
The new coupon will take effect with the December 2009 contracts that will be listed for trading on June 15. The exchange hopes it will help swap futures correspond more closely with the cash and OTC markets, in their price levels, price dynamics, and yield-to-price relationship.
The exchange described the...