This new product will offer institutional investors--such as bank treasurers, mortgage passthrough traders, mortgage servicers, portfolio managers, and other over-the-counter market participants--a vehicle for hedging credit and interest rate exposure.
CBOT® Chairman Nicholas J. Neubauer said, "Our new 10-Year Interest Rate Swap futures contract is the first in a complex of swap-related products that we are bringing to the marketplace. Given the liquidity CBOT® members and member firms bring to the exchange's contract markets, combined with recent volatility in spreads between Treasury yields and credit risk yields, these contracts will offer institutional investors a timely and useful new vehicle for hedging credit and interest rate exposure referenced to the long-dated London Interbank Offered Rate (LIBOR)."
Andrew Wallace, R.J. O'Brien & Associates Broker and a member of the CBOT® Board of Directors stated, "Participants in the swap market are attracted to the CBOT® 10-Year Interest Rate Swap futures contract because these futures will carry the AAA-rated guarantee of the Board of Trade Clearing Corporation (BOTCC). These contracts virtually eliminate credit risk and allow hedge funds and other institutional traders to trade swap exposure without tying up credit lines. Another interesting contract feature is that Exchange-for-Swaps (EFS) is available to contract holders."
Three contract expirations will be listed, comprising December 2001, March 2002, and June 2002. Regular trading hours will be as follows:
- 7:20 a.m. to 2:00 p.m. Chicago time (Mon.-Fri.), Open Outcry
- 8:00 p.m. to 4:00 p.m. Chicago time (Sun.-Fri.), Electronic
