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CBOT 5-Year Swap Contract Has Successful Debut

Date 24/06/2002

The Chicago Board of Trade 5-Year Swap contract began trading on Friday, June 21, 2002. The estimated volume is 1,723 contracts, or a notional amount of $172.3 million. The 10-Year Swap contract, which the CBOT launched last October, traded an estimated 2,208 contracts, or a notional amount of $220.8 million.

The 10-Year Treasury Over Swap spread closed at 95.5, threatening the low of 92.5 basis points that was established on November 1, 2001. It has been as wide as 203.5 basis points on December 18, 2001.

The 5-Year Treasury Over Swap spread closed at 59 basis points. To assist customers in trading the new 5-Year Swap contract, the PVBP and Price/Yield Data have been updated to include the 5-Year CBOT Swap contract. http://www.cbot.com/cbot/www/cont_detail/0,1493,14+483+4836,00.html .