• Modifications of CME Globex Trade Matching Algorithms for Seven (7) CBOT Interest Rate Futures Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-7193
      • Notice Date
      • 19 September 2014
      • Effective Date
      • 05 October 2014
    • Effective Sunday, October 5, 2014 for trade date Monday, October 6, 2014, and pending all relevant CFTC regulatory review periods, the Board of Trade of the City of Chicago, Inc. (“CBOT” or “Exchange”) will amend CBOT Rule 580 (CME Globex Trade Matching Algorithms) to change the CME Globex trade matching algorithms for the following seven (7) CBOT Interest Rate futures:


      Product Title

      CBOT Rulebook Chapter



      30-Day Federal Funds Futures


      ZQ                                 Clearing 41


      Short-Term U.S. Treasury Note Futures (2-Year)


      ZT                                     Clearing 26


      3-Year U.S. Treasury Note Futures


      Z3N                               Clearing 3YR


      Medium-Term U.S. Treasury Note Futures (5-Year)


      ZF                               Clearing 25


      Long-Term U.S. Treasury Note Futures (6 ½ to 10-Year)


      ZN                               Clearing 21


      U.S. Treasury Bond Futures


      ZB                             Clearing 17


      Long-Term U.S. Treasury Bond Futures


      UB                            Clearing UBE



      The allocation mix of the Trade Matching Algorithms for 2-Year, 3-Year, and 5-Year Treasury Note futures calendar spreads will be changed from 100% Pro-Rata to 20% First In First Out (FIFO)/80% Pro-Rata.

      The changes will conform the 2-Year, 3-Year, and 5-Year Treasury Note calendar spreads to the 10-Year U.S. Treasury Note calendar spread allocation mix. 


      Additionally, CBOT will simultaneously implement changes to the maximum and, in the case of 30-Day Federal Funds Futures, minimum parameters for orders with Top order status on CME Globex for the aforementioned products in the table above.  The Exchange will modify the maximum parameters such that they equal the Maximum Order Quantity (MOQ), and it will reduce the minimum parameters of 30-Day Federal Funds Futures to one.  These changes will harmonize the relevant CBOT products with the Top order settings for CME Three-Month Eurodollar futures.


      Please refer to CME Globex Notices and the GCC Product Reference Sheet for details regarding these changes to the Trade Matching Algorithms.


      Questions regarding this notice may be directed to:

      Agha Mirza                                +1 212 299 2833                        Agha.Mirza@cmegroup.com

      Matthew Gierke                         +1 312 930 8543                        Matthew.Gierke@cmegroup.com

      Ted Carey                                 +1 312 930 8554                        Ted.Carey@cmegroup.com