The Chicago Mercantile Exchange is restructuring its core consumer price index futures contract and over-the-counter inflation traders are hopeful this will boost the flagging swaps market. The CME is restructuring the CPI futures in an attempt to boost liquidity in the instruments, which has dwindled since their launch in February 2004. CPI derivatives have been getting considerable attention recently amid rising Federal Reserve concerns about inflation.
The basic structural difference will be a shift from quarterly to annual settlement, enabling greater ease listing monthly expiries and better alignment with the standard retail market structure. It is likely to be similar to the restructured European Harmonized Index of Consumer Prices futures contract, which took effect last summer and has improved liquidity in the European futures market.
The exact details and launch date of the revised contract could not immediately be determined. Sayee Srinivasan, associate director in research and product development at the Merc was unavailable for comment and Larry Grannan, associate director in interest rates, referred calls to Pamela Plehn, spokeswoman, who declined comment.
