Market Data Advisory Notices
To | Quote Vendors
From | Market Data Operations
Subject | Interest Rate Futures Group Code Consolidation-- Effective Sunday, August 3, 2008
Notice Date | 2008-07-02
Notice Number | Q2008-130
Effective Date | 2008-08-03
Effective Sunday, August 3 (trade date Monday, August 4), the Instrument Group Codes for the following Interest Rate futures will be changed:
Futures & Spreads | Product Code | Current Instrument Group Code | New Instrument Group Code
30-Year U.S. Treasury Bond | ZB | ZB | ZB
10-Year U.S. Treasury Note | ZN | ZN
5-Year U.S. Treasury Note | ZF | ZF
2-Year U.S. Treasury Note | ZT | ZT
30-Year U.S. Interest Rate Swap | I3 | I3
10-Year U.S. Interest Rate Swap | SR | SR
5-Year U.S. Interest Rate Swap | SA | SA
The Instrument Group Code can be found in the Security Definition (tag 35-MsgType=d) of the FIX/FAST message, tag 1151-SecurityGroup and in the Instrument Creation (MO) RLC message in position 70. These changes are available for customer testing in the New Release environment as of Monday, June 30.