The CBOT’s Swap futures, designed to meet the diverse needs of customers, may be traded side-by-side, providing Exchange customers with the opportunity to choose their trading venue. In addition, the CBOT’s cash exchange facilities offer market participants the ability to exchange swap rate exposure in an over-the-counter fashion, yet in a regulated environment. The contracts offer the same price/yield relationship as traditional interest rate swaps, but counter-party credit risk is mitigated by the guarantee of the centralized clearinghouse.
CBOT Senior Vice President of Business Development Robert D. Ray said, “The dramatic increases in volume and open interest in the CBOT’s 5-year and 10-year Swap futures contracts demonstrate the market’s acceptance of our flexible swap futures platform. The market is recognizing the size and tight bid/ask spreads that our market makers are providing.”
In July, 2006, Citigroup and Goldman Sachs & Co. began making markets for the Exchange’s Interest Rate Swap futures contracts. Since these two firms began providing liquidity in the CBOT Swap futures complex, both volume and open interest have grown significantly.
For September 2006, average daily volume (ADV) in the Swap futures complex stands at 9,776 contracts, nearly five times greater than in June 2006. Meanwhile, open interest in the Swap futures complex has increased to 75,651 contracts, nearly four times greater than at the end of June 2006.
The CBOT Swap futures complex includes 5-year and 10-year Swap future contracts. For more information on the CBOT’s Interest Rate Swap complex, please visit www.cbot.com/swaps
