Futures New! Interest Rate Futures Market Making Programs
We are pleased to announce the creation of two new market making programs for 30-Day Fed Funds and CBOT 5-, 10- and 30-Year Interest Rate Swap futures. Launched on December 1, 2007, the Swap futures program provides a waiver of exchange fees for electronic trading of Swap futures contracts in registered market making accounts for CBOT members and member firms. Rebates will be capped at $15,000 per month, per market making account. The Fed Funds program will begin on February 1, 2008 and will also provide a waiver of exchange fees for the electronic trading of months 4-12 at a 1:2 ratio (for each back month contract traded in the designated market making account, market makers will receive a waiver of exchange fees on two Fed Funds futures contracts). This program is available for CBOT members and member firms and rebates will be capped at $15,000 per month, per market making account. Additionally, with the migration of CBOT products interest rate products onto the CME Globex platform in late January 2008, we will be introducing implied functionality for 30-Day Fed Funds futures calendar and butterfly spreads. More information on implied functionality is available at www.cme.com/impliedprices. If you are interested in becoming a market maker for either program or for more specific details on the quoting parameters, please contact Peter Barker, Director, Interest Rate Products (312.930.8554), or Suzanne Spain, Associate Director, Interest Rate Products (312.338.2651). CME Lehman Brothers U.S. Aggregate Index
During November 2007, investors continued to turn to well-established and perhaps more liquid products as the U.S. fixed income markets were quite volatile. However, fixed income portfolio managers who are benchmarked to the Lehman Brothers U.S. Aggregate Index are likely to have encountered significant index tracking error. These investors could have reduced their index tracking error by taking advantage of CME Lehman Brothers U.S. Aggregate Index futures, which were launched on October 1, 2007. Click here for more information about the futures contract including "CME Lehman Brothers U.S. Aggregate Index Futures, Contract Fair Value and Uses" which discusses:  Index tracking error of replication strategies
Methods for computing fair value
Spreads against Treasury futures to adjust credit exposure, which currently have spread credits of 85%
Investment strategies such as portable alpha and transition management
Market Makers
Market makers continue to provide liquidity in the CME Lehman Brothers U.S. Aggregate Index futures during regular U.S. trading hours. To view the current markets, click here for free real-time quotes Block Trading
Market makers are also available to provide quotes for block trades in the CME Lehman Brothers U.S. Aggregate Index futures. During the first two months of trading, customers have utilized the block trading facility to execute these futures contracts. The minimum size required for a block trade in the CME Lehman Brothers U.S. Aggregate Index futures is 50 contracts. For a guide to executing block trades for this new contract, click here. Fee Waiver
All exchange transaction fees for the CME Lehman Brothers U.S. Aggregate Index futures contract have been waived through March 31, 2008. This includes CME Globex and CME Clearing fees, as well as Block Trading surcharges. For more information on CME Lehman Brothers U.S. Aggregate Index futures please contact Jonathan Kronstein, Associate Director, Interest Rate Products (312.930.3472) CDR Liquid 50 NAIG Index Futures
Credit Derivatives Research (CDR) and CME Group have joined forces to provide the marketplace with a powerful new risk management tool. The CDR Liquid 50 North American Investment Grade (NAIG) Index futures contract provides a transparent investment grade benchmark that can be traded in a centralized marketplace with substantial reductions in counterparty and operational risk. The CDR Liquid 50 NAIG Index is an average of the five-year credit default swap (CDS) spreads of the 50 most liquid investment grade names in the North American CDS market. CME Group chose the CDR Liquid 50 NAIG Index due to the many benefits it offers relative to the comparable over-the-counter (OTC) CDS indexes: Construction: CDR Liquid 50 NAIG has a transparent, unbiased selection process based upon liquidity.
Composition: CDR Liquid 50 NAIG has a larger representation of financials based upon the construction criteria.
Frequency of Reconstitution: CDR Liquid 50 NAIG rolls every three
months, which is the convention for single-name CDS.
Consistency: CDR Liquid 50 NAIG requires each component have an investment-grade rating of BBB or higher. As a result, the index has greater continuity from one series to the next.
In the most recent composition of the CDR Liquid 50 NAIG, financials represented 54% of the index (27 of the 50 names). Please refer to the following chart for an illustration of the impact that the financial component has had on the recent increase of the index which has been a direct result of widening of credit spreads: 
For additional information on CME CDR Liquid 50 NAIG Index futures, click here or contact Jonathan Kronstein (312.930.3472) Free Online Seminar December 18: Trading the Fed Funds-LIBOR Spread
Reduced liquidity in the bank funding markets due to the collapse of the subprime mortgage market in the summer of 2007 resulted in a significant increase in the volatility of the spread between the Fed Funds rate and the London Interbank Offered Rate (LIBOR). This online seminar will analyze the relationship between these two key short-term interest rates and the spreading opportunities they create. The session will include: Banking Background
Overview of 30-Day Fed Funds and LIBOR Futures
History of the Fed-Funds LIBOR Spread
Constructing a Fed Fund-LIBOR Spread Trade
Questions and Answers
If you have questions or problems, please contact CME Customer Service at 1-800-331-3332 or info@cme.com.
For more information on 30-Day Fed Funds and LIBOR futures, please visit www.cmegroup.com or contact CME Group Interest Rate Products at 866-501-3646 or interestrates@cmegroup.com. | 
