Client Management Advisory Notice
From | Client Management Operations
Subject | Special Executive Report S-3914: Temporary Change To Minimum Price Increment For Selected Eurodollar Futures Contracts Traded On GLOBEX.
Effective Date | 02/18/03
Notice Number | CMO#0348
S-3914 February 13, 2003 TEMPORARY CHANGE TO MINIMUM PRICE INCREMENT FOR SELECTED EURODOLLAR FUTURES CONTRACTS TRADED ON GLOBEX� �� Beginning with the GLOBEX� session starting on Sunday, February 16, 2003 (trade date Tuesday), the minimum price increment for trading in the March 2003 Eurodollar futures contract on GLOBEX will remain at 0.50 basis points (one-half tick). Maintaining the existing one-half tick increment is necessary to ensure that the Eagle implied-spread methodology generates valid transaction prices for all contract months. The March 2003 futures contract will trade in 0.25 basis point increments for pit trading, as per current procedures. Until further notice, contracts traded on GLOBEX in the March quarterly cycle (March, June, September and December) will trade in minimum one-half tick increments until expiration. Minimum trading increments for contracts on GLOBEX not in the March quarterly cycle (serial months) will continue to be reduced to 0.25 basis points when those contracts become the nearest expiring contract month, consistent with existing procedures. The rule amendment is shown below: CHAPTER 452 THREE�MONTH EURODOLLAR FUTURES 45202.C. Price Increments Bids and offers shall be quoted in terms of the IMM Index, 100.00 minus the yield on an annual basis for a 360-day year. (A deposit rate of 7.20% shall be quoted as 92.80.) 1. The Nearest Expiring Contract Month a. If the Nearest Expiring Contract Month Is Not in the March Quarterly Cycle Minimum fluctuations of the IMM Index shall be in multiples of .0025 ($6.25). For each .0025 increase in the Index, the Clearing House shall credit ($6.25 per contract) those clearing members holding open long positions and debit ($6.25 per contract) those clearing members holding open short positions. For each .0025 decline in the Index, the Clearing House shall debit ($6.25 per contract ) those clearing members holding open long positions and credit ($6.25 per contract) those clearing members holding open long positions. b. If the Nearest Expiring Contract Month is in the March Quarterly Cycle Except for trading in GLOBEX, minimum fluctuations of the IMM Index shall be in multiples of .0025 ($6.25). For each .0025 increase in the Index the Clearing House shall credit ($6.25 per contract) those clearing members holding open long positions and debit ($6.25 per contract those clearing members holding open short positions. For each .0025 decline in the Index the Clearing House shall debit ($6.25 per contract) those clearing members holding open long positions and credit ($6.25 per contract) those clearing members holding open short positions. For trading in GLOBEX, minimum fluctuations of the IMM Index shall be in multiples of .005 ($12.50). For each .005 increase in the Index the Clearing House shall credit ($12.50 per contract) those clearing members holding open long positions and debit ($12.50 per contract those clearing members holding open short positions. For each .005 decline in the Index the Clearing House shall debit ($12.50 per contract) those clearing members holding open long positions and credit ($12.50 per contract) those clearing members holding open short positions. 2. All Contract Months Excluding the Nearest Expiring Contract Month Minimum fluctuations of the IMM Index shall be in multiples of .005 ($12.50). For each .005 increase in the Index the Clearing House shall credit ($12.50 per contract) those clearing members holding open long positions and debit ($12.50 per contract those clearing members holding open short positions. For each .005 decline in the Index the Clearing House shall debit ($12.50 per contract) those clearing members holding open long positions and credit ($12.50 per contract) those clearing members holding open short positions. If you have any questions regarding this matter, please contact Mr. Peter Barker, Director, Interest Rate Products, at 312/930-8554 or Mr. Jim Krause, Managing Director, Operations, at 312/930-8173 or Mr. Dick McDonald, Managing Director, Product Research & Development, at 312/930-4574.