The Chicago Board of Trade (CBOT®) today announced that its 5-year Swap futures contracts established a new volume record on Tuesday, as trading surpassed the 20,000 contract mark for the first time. The new record, 20,360 contracts, was 52 percent greater than the previous record – 13,385 contracts set on December 2, 2005. Volume in the Exchange’s 10-year Swap futures was 22,861 contracts yesterday.
In addition, open interest in 5-year Swap futures contracts reached a record 28,839 contracts on Tuesday. The prior record, 19,911 contracts, was set on March 14, 2005. Open interest in 10-year Swap futures also increased dramatically yesterday, rising 73 percent to 46,812 contracts at the close of trading Tuesday. Open interest represents the number of trading positions that have not yet been offset and closed at the end of a trading day.
The CBOT’s Swap futures, designed to meet the diverse needs of customers, may be traded side-by-side, providing Exchange customers with the opportunity to choose their trading venue. In addition, the CBOT’s cash exchange facilities offer market participants the ability to exchange swap rate exposure in an over-the-counter fashion, yet in a regulated environment. The contracts offer the same price/yield relationship as traditional interest rate swaps, but counter-party credit risk is mitigated by the guarantee of the centralized clearinghouse.
CBOT Senior Vice President of Business Development Robert D. Ray said, “The dramatic increases in volume and open interest in the CBOT’s 5-year and 10-year Swap futures contracts demonstrate the market’s acceptance of our flexible swap futures platform. The market is recognizing the size and tight bid/ask spreads that our market makers are providing.”
In July, 2006, Citigroup and Goldman Sachs & Co. began making markets for the Exchange’s Interest Rate Swap futures contracts. Since these two firms began providing liquidity in the CBOT Swap futures complex, both volume and open interest have grown significantly.
For September 2006, average daily volume (ADV) in the Swap futures complex stands at 10,891 contracts, nearly five times greater than in June 2006. Meanwhile, open interest in the Swap futures complex has increased to 75,651 contracts, nearly four times greater than at the end of June 2006.
The CBOT Swap futures complex includes 5-year and 10-year Swap future contracts. For more information on the CBOT’s Interest Rate Swap complex, please visit www.cbot.com/swaps.
About the CBOT
As one of the leading global derivative exchanges, the Chicago Board of Trade provides a diverse mix of financial, equity and commodity futures and options-on-futures products. Building on its 158-year history, the CBOT continues to advance into the future using the strength of deep liquidity, market integrity and member-trader expertise. Using superior trading technology in both electronic and open-auction trading platforms, the CBOT provides premier customer service to risk managers and investors worldwide. For more information, visit our website at www.cbot.com.
