As part of the CBOT's continuing commitment to enhance liquidity, ABN AMRO Bank N.V., currently the designated open auction and electronic market maker for 10-year and 5-year swap futures, also will make markets in options on swap futures.
Volume in CBOT® swap futures continues to grow, with 10-year swap futures averaging nearly 2,500 contracts a day, with over 450,000 contracts having traded year-to-date. The exchange's 5-year swap contract trades around 500 contracts a day, with over 30,000 contracts having traded since launch last June.
CBOT's swap complex offers institutional investors -- such as bank treasurers, mortgage passthrough traders, mortgage servicers, mortgage originators, investment portfolio managers, and other over-the-counter swap market participants -- a convenient vehicle for hedging LIBOR-based interest rate risk with none of the administrative cost associated with managing an over-the-counter swap book.
As with all CBOT contracts, counterparty risk is virtually eliminated because the AAA-rated Board of Trade Clearing Corporation clears all CBOT swap contracts. Moreover customers of the exchange can take advantage of useful spreading opportunities between CBOT's swap and Treasury contracts.
For more information about the CBOT swap futures and swap options, please log on to http://www.cbot.com/swap.
