CBOT To Launch Options On Swap Futures Contracts

The Chicago Board of Trade (CBOTÒ) today announced the expansion of its swaps complex to include options on 10-Year and 5-Year Interest Rate Swap futures. ABN AMRO Bank N.V., currently the designated open auction and electronic market maker for the complex's existing 10-Year and 5-Year Swap futures, also will make markets for CBOT® options on Swap futures. The CBOT expects to launch these new contracts in its open auction and electronic markets in the early fall of 2002.

CBOT Chairman Nickolas J. Neubauer said, "Having built a strong and viable Swap futures market, the CBOT is broadening this successful product complex with options on Swap futures, offering even more effective risk management tools for swaps market participants. The contract's transparency, intermarket trading opportunities, and highly rated clearing house guarantee, coupled with ABN AMRO's proven ability to provide liquid markets and the trading expertise of our members, are key factors to the success of these contracts."

CBOT President and CEO David J. Vitale added, "These products will reinforce the Chicago Board of Trade's preeminent franchise in world capital markets. We will continue to take advantage of product opportunities presented by emerging market trends, and will do everything we can to further enhance service to our customers."

Allan Zavarro, Global Head of Futures at ABN AMRO said, "We will continue to support the CBOT as it develops innovative products for our global client base. As one of the largest institutional clearers of client business on the CBOT, there is a natural connection between ABN AMRO and the CBOT."

The CBOT Swap complex offers institutional investors--such as bank treasurers, mortgage passthrough traders, originators, service managers, portfolio managers, and other over-the-counter market participants--a vehicle for hedging LIBOR-referenced interest rate risk. Furthermore, like all CBOT contracts, counterparty risk is virtually eliminated because the AAA-rated Board of Trade Clearing Corporation clears all CBOT Swap transactions.