Chicago Mercantile Exchange (CME) plans to offer a futures
contract on the US Consumer Price Index (CPI) in 2004.
The new contract, the first product CME has listed on an
economic indicator, is an effort by the exchange to catch the
swelling OTC interest in inflation-based products.
Inflation-based index products are more liquid in the European
OTC market, but are still relatively small in the US.
Larry Grannan, associate director of CME interest rate
products, told FO Week that the exchange decided to
develop the product after several firms in the inflation
derivatives market asked for it. CME is now contacting possible
market makers for the new contract, which will be traded on
Globex. Expectations for the contract, in terms of volume and
liquidity, are modest, he said.
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