CBOT Swaps Update, December 24, 2002

As the year comes to a close, growth expectations have caused the treasury yield curve to steepen. The 2-year Treasury note yield has dipped approximately 20 basis points in the past month and now hovers around 1.75%. Economic data has been mixed: Jobless claims (4-week average) are at a 6 week high of 401k, November Retail Sales (x-autos) were +5% Y/Y in November and the Institute of Supply Management index remains below 50 at 49.2. Swap spreads have narrowed slightly over the past month: 2-year -2.25 bps, 10-year -1.25 bps and 30-year -3 bps.

The CBOT® 10-year swap future had a successful roll from the expiring December contract into the March. Open interest from the September roll rose 2000 contracts (+5.9%). Open interest now stands at 37,211 contracts with an average daily volume in December of 4400.

The Chicago Board of Trade's All-Or-None facility has been expanded to include both the 5-year and 10-year swap futures. The minimum threshold for these orders is 1000 contracts. To help facilitate this single price, large order platform, the CBOT now allows multiple counterparties for each All-Or-None order. Trading hours coincide with those of open outcry. The ticker symbol for the 5-year A-O-N is QD and the 10-year is QE. For more information call your FCM or see www.cbot.com/cbot/docs/31145.pdf for FAQs.