The new daily volume and open interest records exceed the former volume high of 6,586 contracts set on February 15, 2002, and the 16,903 record set March 25.
CBOT® Chairman Nickolas J. Neubauer said, " These new 10-year Swap records in volume and open interest are a clear indication that customers are taking notice of the contract's excellent liquidity and spreads between the CBOT® 10-Year Treasury futures and the Swap contract. The contract also offers the AAA-rated guarantee of clearing by the Board of Trade Clearing Corporation, a feature not available in the cash swap market. The exchange intends to build on the current success of the 10-year Swap futures and will offer additional products to enhance its swaps trading complex."
On February 1, 2002, the CBOT® implemented a market maker program, the first of its kind in the futures industry, with ABN AMRO Bank N.V. to enhance liquidity in the CBOT®'s open auction markets. ABN AMRO provides a market no lower than 250 contracts with bid/offer spreads not to exceed 4/32 under the terms of the market making agreement.
Additional information on the Swap contract is available at www.cbot.com/swap
