Effective August 3, 2008, (for trade date August 4, 2008) CME Group will implement the following changes to the 30 Day Fed Fund futures and options contracts:
- The 30 Day Fed Fund Futures front month contract tick size will change from ½of one basis point to ¼of one basis point. All remaining contract months will remain in ½of one basis point. The front month 30 Day Fed Fund Futures contract will always trade in ¼ basis point increments, beginning the first Sunday within the expiration month
- The price format for the 30 Day Fed Funds futures and options will be modified to match the current Eurodollar price display convention. The CME minimum tick for the (expiring) front month, underlying options and spread will be ¼ of one basis point. All other contract months will continue to trade at a minimum tick of ½ of one basis point.
- Current TREX format already allows for this change. That is, an example TREX price for a Fed Funds contract is 97.995, represented in TREX as 979950. With this change, a front month price could be expressed as 97.9925, or 979925 in TREX.
- Note that with the SLEDS change that goes into effect for trade date August 4, 2008, the back month of the Fed Funds may now fall on a quarter tick as well, for SLEDS only, if your firm is:
1. Set to receive SLEDS confirms based on prior day's settlement
2. The prior day's settlement is at a whole or half tick increment
3. The differential price involves a quarter tick.
If you have any questions or concerns, please contact CCS at CCS@cmegroup.com, or call CCS at 312-207-2525.
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