Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Tick Size Change on LIBOR Futures, Implied LIBOR Spreads on CME Globex and Application of CME Globex Trade Algorithm to One-Month LIBOR Futures -- Effective Sunday, October 9, 2005
Notice Date | 2005-09-20
Notice Number | Q2005-132
Effective Date |
Implied LIBOR Spreads on CME Globex Effective Sunday, October 9, 2005, implied spread pricing for LIBOR futures will be available on CME Globex. Implied spread pricing enhances trading and risk management opportunities on this product. LIBOR Tick Size Change Additionally, to facilitate implied spread pricing for LIBOR futures, the minimum tick increment will decrease from ½ tick currently, to ¼ tick, for all futures contract months, effective on Sunday, October 9, 2005. Application of CME Globex Trade Algorithm to One-Month LIBOR Futures Pro Rata Allocation Algorithm CME has chosen to apply the Pro Rata Allocation Algorithm currently used to match Eurodollar futures orders entered in the CME Globex system to LIBOR futures. Please view the attached notice for details of the three upcoming changes which will affect LIBOR futures traded on CME® Globex®: Thank you, CME Market Data Operations