News Release

CBOT Third Quarter ADV Up 23 Percent Over 2005 Third Quarter

Wed Oct 04 2006

For Immediate Release

Media Contact:                                                                             Investor Contact:
Jennifer Rook                                                                               Deborah Koopman
(312) 435-3625                                                                           (312) 789-8532
news@cbot.com                                                                           investorrelations@cbot.com

CBOT THIRD QUARTER AVERAGE DAILY VOLUME UP 23 PERCENT OVER 2005 THIRD QUARTER
--Third Quarter Electronic ADV Up 31 Percent Over Third Quarter 2005
--Market Share Increases in Gold and Silver Complexes to 54 Percent and 39 Percent Respectively
--Exchange Agricultural ADV Increases 40 Percent Over Third Quarter 2005
--ADV in CBOT Financial Complex Up 18 Percent Compared With Third Quarter 2005

CHICAGO, IL, October 1, 2006 – The Chicago Board of Trade (CBOT®), one of the world’s leading derivatives exchanges, today announced that volume during the third quarter of 2006 was 199,266,877 contracts, an increase of 21 percent over the third quarter of 2005.  Volume for the third quarter averaged 3,162,966 contracts per day, up 23 percent from the same period last year.  Average daily volume (ADV) on the Exchange’s e-cbot electronic trading platform was 2,232,091 in the third quarter, a 31 percent increase compared with the third quarter of 2005.

Total CBOT volume for September 2006 was 66,051,731 contracts, and total electronic trading volume was 48,326,594 contracts for respective increases of 18 and 23 percent over September 2005. 

The Exchange also enjoyed its highest daily volume total in its history during the third quarter.  On August 29, 2006, volume reached 6,522,607 contracts, surpassing the previous record of 6,003,976 contracts set on November 29, 2005.  The record total marked the second time total CBOT volume topped six million contracts.

Quarterly Metals Complex ADV – 11 Times Greater Than Third Quarter 2005

ADV in the CBOT Metals Complex continued to increase during the third quarter of 2006, as volume was 11 times greater than the same period in 2005.  For the quarter, the Exchange’s Gold and Silver futures complexes each experienced ADV increases compared with the third quarter of 2005 – Gold futures volume was up 13-fold and Silver futures volume was up eight-fold.

For the month of September, the Exchange’s Metals complex accounted for 52 percent of listed Metals futures contracts in North America.  The CBOT Gold complex saw ADV reach 52,464 contracts during September, nine times greater than September 2005.  And September’s ADV in the Exchange’s Silver complex was 8,847 – eight times greater than the same month in 2005.  In September the CBOT Gold and Silver complexes consisted of 54 percent and 39 percent share of the respective listed North American Gold and Silver futures markets.

The CBOT Metals Complex includes Full-sized (100 oz.) Gold futures and options contracts, mini-sized (33 oz.) Gold futures contracts, Full-sized (5,000 oz.) Silver futures and options contracts and mini-sized (1,000 oz.) Silver futures contracts.

Agricultural Complex Continues Steady Growth

During the third quarter, the CBOT launched daytime electronic trading of Agricultural futures contracts, side-by-side with its open auction environment.  With two months of side-by-side trading complete, the Exchange has experienced volume growth across the Agricultural complex.  For the third quarter, total Agricultural ADV was 489,901 contracts, a 40 percent increase over the third quarter of 2005.  In September, ADV reached 484,784 contracts, up 77 percent compared with the same month in the prior year.

ADV increases in Corn and Wheat futures and options, contributed to the increased Agricultural volume totals at the CBOT.  During September, the Corn and Wheat complexes grew by 129 percent and 114 percent, respectively, compared with September 2005.  The Exchange also experienced increases in Soybean futures (40 percent), Soybean Meal futures (41 percent), and Soybean Oil futures (29 percent), when comparing September 2006 ADV to the same month in the previous year.

Open interest in the complex was 4,422,166 contracts as of September 28 – 59 percent greater than the same date in 2005, when Agricultural open interest was 2,777,615 contracts.

On September 28, CBOT electronically traded Agricultural futures experienced their highest volume ever for a single session, trading 242,929 contracts, up 57 percent from the previous record of 154,356 Agricultural futures contracts traded electronically on August 14, 2006.

Interest Rate Complex Continues Growth at Short, Long Ends of Yield Curve

Quarterly ADV within the CBOT Interest Rate complex was 2,506,623 contracts – an increase of 18 percent over the third quarter of 2005.  Volume in the Interest Rate complex displayed growth at both the short end and long end of the yield curve in the quarter.  At the short end of the curve (30-day Federal Funds futures and options, Two-year U.S. Treasury Note futures and options), third quarter’s ADV was 273,719 contracts, a 51 percent increase over the same quarter in 2005.  And on the long end of the curve (10-year U.S. Treasury Note futures and options, 30-year U.S. Treasury Bond futures and options), ADV reached 1,690,713 contracts, up 22 percent compared with the third quarter of 2005.

September’s ADV in the complex was 2,636,148 contracts, 16 percent greater than September 2005. 

Early in the third quarter, the CBOT launched a new Binary options contract on the Target Federal Funds Rate.  For the quarter, ADV for the Binary options was 678 contracts.  ADV during September was 890 contracts.  Open interest, which surpassed 10,000 contracts in less than two months of trading, was at 11,207 contracts as of September 28, 2006.

ADV in the CBOT Interest Rate Swap complex has continued to increase since early July, when new market makers Citigroup and Goldman Sachs began to provide liquidity.  Swap complex ADV was 9,046 in September, three times greater than June 2006 – just before the

new market makers began working with CBOT market participants.  Meanwhile, ADV for the quarter was 4,651 in the Swap complex, an increase of 45 percent compared with the same quarter in 2005.  CBOT Interest Rate Swap futures, which are traded both side-by-side and via cash exchange facilities, 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.

Equity Index Complex ADV up Seven Percent Over Third Quarter 2005

The CBOT Equity Index complex also experienced ADV growth, both during the third quarter and the month of September.  In September, the complex averaged 119,459 contracts traded per day, while ADV for the quarter was 110,425 contracts – respective increases of five percent and seven percent over the same periods in 2005.

CBOT Average Daily Volume

 

Product Group

Sep.2006

Sep.2005

Percent Change

Q32006

Q32005

Percent Change

Agricultural

484,784

274,333

77%

489,901

350,363

40%

Financial

2,636,148

2,274,185

16%

2,506,623

2,123,438

18%

Equity Indices

119,459

113,878

5%

110,425

103,247

7%

Metals, Energy and Other

62,197

6,352

879%

56,017

4,513

1,141%

TOTAL

3,302,587

2,668,748

23.8%

3,162,966

2,581,561

22.5%

 

CBOT Rate Per Contract

The following chart depicts the Exchange’s August 2006 three-month rolling average rate per contract (in dollars), and the two preceding three-month periods’ average rates per contract.  Average rate per contract represents total exchange and clearing revenue divided by total reported trading volume.  Average rates per contract can be affected by exchange and clearing fee price levels, and the customer, product, venue and transaction mix.

 

 

THREE-MONTH PERIOD ENDING

 

August 31, 2006

July 31, 2006

June 30, 2006

Product Group

 

 

 

Interest Rate

0.544

0.528

0.523

Agriculture

0.737

0.680

0.680

Equity Indices

0.720

0.708

0.712

Metals, Energy & Other

1.002

0.984

0.986

Overall Avg. Rate per Contract

0.591

0.568

0.564

Venue

 

 

 

 Open-Auction

0.523

0.519

0.515

 Electronic

0.528

0.507

0.503

 Off-Exchange

3.021

2.733

2.564

Total Avg. Rate per Contract

0.591

0.568

0.564

CBOT Monthly Reports are available on the Exchange web site.

About the CBOT

As one of the leading global derivative exchanges, the Chicago Board of Trade provides a diverse mix of financial, equity and commodity futures and options-on-futures products.  Building on its 158-year history, the CBOT continues to advance into the future using the strength of deep liquidity, market integrity and member-trader expertise.  Using superior trading technology in both electronic and open-auction trading platforms, the CBOT provides premier customer service to risk managers and investors worldwide.  For more information, visit our website at www.cbot.com.

Forward Looking Statements

Certain statements in this press release may contain forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and includes any use of the words “may,” “should,” “could,” “expects,” “plans,” “anticipates,” “believes,” “estimates,” “predicts,” “potential” or “continue.”  These statements are based on management’s current expectations and involve assumptions that may be subject to change or risks and uncertainties that could cause actual results to differ materially from those set forth in the statements.  Accordingly, actual outcomes and results may differ materially from what is expressed or implied in any forward-looking statement contained in this press release.  The factors that may affect our performance may be found in the Annual Report on Form 10-K and other periodic reports filed by CBOT Holdings, Inc. with the U.S. Securities and Exchange Commission (“SEC”).  These filings can be obtained at the SEC’s website at www.sec.gov.  We undertake no obligation to publicly update any forward-looking statements, whether as a result of new information, future events or otherwise.

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