CBOT to debut five-year swaps future

Speaking at a press briefing on the new contract this morning, Dan said the 10-year contract has exceeded CBOT’s expectations, hitting a volume record of 12,000 contracts on May 28 and trading an average of 4,000 contracts per day so far this month. End users have included mortgage hedgers, money managers, swaps desks, asset-liability managers, corporate bond dealers and hedge funds, he says.

Since 75% of US dollar interest rate swaps have tenors less than five years, Dan says the exchange expects the new shorter-tenor contract to be popular.

Patrick Fay, head of global financial markets for North America at ABN Amro in Chicago – the market maker for the contracts – said end users have been attracted by the 10-year product’s price transparency, liquidity and the fact that, since it is a listed instrument cleared through the Board of Trade Clearing Corporation, there are no counterparty credit concerns.

CBOT’s plans will provide US dollar swap counterparts to the London International Financial Futures and Options Exchange’s (Liffe) swapnote line of euro-denominated swaps futures and options on swaps futures. Liffe offers two, five and 10-year contracts.

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