GLOBEX Advisory Notices
To CME Globex Customers
From CME Globex Account Management
Subject CME 1-Month LIBOR Futures Functionality Enhancements
Notice Date 2005-09-21
Notice Number 092105-1
Effective Date  

Dear CME® Globex® Customers,

Effective Sunday night, October 9, 2005 (trade date October 10), in response to customer requests to increase trading opportunities, CME will launch functionality enhancements in CME 1-month LIBOR futures on the CME Globex electronic trading platform.

The CME 1-month LIBOR futures enhancements include:

  • Increase in the number of spreads listed on the CME Globex platform to a total of 26 calendar spreads and seven butterfly spreads (please see the complete list of the new spreads);
  • Implementation of implied spread functionality;
  • Replacement of the existing first-in first-out ("FIFO") matching algorithm with the same pro-rata matching algorithm currently employed for CME Eurodollar futures; and,
  • Reduction of the minimum price fluctuation to one quarter basis point (.0025 or $6.25) for all 12 monthly contracts for both the CME Globex and open outcry markets.

These enhancements to the CME 1-month LIBOR futures are currently available for testing in the CME certification environment, via the "GE" (CME Eurodollar futures) commodity code.

For further information, please contact Peter Barker at 312.930.8554, Craig Bewick at 312.648.3839, or Larry Grannan at 312.454.8312, CME Interest Rate Products.

Thank you,

CME
800.331.3332