Clearing House Advisory Notices
To | Clearing Member Firms, Chief Financial Officers, Back Office Managers
From | Clearing House Department
Subject | Clearing and Bookkeeping Processing for Eurodollar 5-Year E-mini Bundle Futures
Notice Date | 2006-09-12
Notice Number | 06-224
Effective Date | 2006-10-08
On Sunday evening October 8th (for business day Monday October 9th), trading will begin on CME Globex® in E-mini Eurodollar futures and E-Mini Eurodollar 5-Year Bundle Futures. The E-Mini Eurodollar future itself is straightforward: a Globex-only Eurodollar future, listed only on the quarterly months (no serials), with a contract size one-tenth that of the standard future. Firms with positions in the E-Mini Eurodollar future may convert these contracts at any time into positions in the corresponding full-sized future, at a 10 to 1 ratio. The Eurodollar 5-Year E-Mini Bundle Future, however, is something new: a future, the underlying of which is a five-year bundle of the E-mini Eurodollar futures. To understand this, compare the 5-Year E-Mini Bundle future, to a regular 5-Year Bundle. If you trade a 5-Year Bundle on CME Globex, this immediately decomposes into the underlying futures legs, and you receive a strip of 20 (five years times four contracts per year) individual full-size Eurodollar futures transactions. But if you trade an E-Mini 5-Year Bundle future, you get a single transaction -- the bundle future itself. The resulting position, if not liquidated, remains as a single futures transaction until maturity. For the full text of this advisory...