Effective March 3, 2008, CME Group will
reduce
the minimum tick size for the following Treasury contacts:
·
30-Year U.S. Treasury Bond Futures from 1/32
nd to ½ of 1/32
nd (from $31.25 to $15.625)
·
5-Year U.S. Treasury Note futures from ½ OF 1/32
nd (from $15.625 to $7.8125)
·
5-Year U. S. Treasury Note options from 1/64
th to ½ of 1/64
th from ($15.625 to $7.8125)
In addition the minimum tick size changes, the
5-Year Treasury Reduced Tick Spread will be converted into a traditional calendar spread, with the
strategy code changing from RT to SP.
Please reference the product modification table
below for changes to Minimum Price Intervals, ITC Fractional Indicators and RLC Display
Formats.
|
Contract Name
|
30-Year U.S. Treasury Bond Futures
|
5-Year U.S Treasury Bond Futures
|
5-Year U.S Treasury Bond Options
|
|
Instrument Type
|
Interest Rate
|
Interest Rate
|
Interest Rate
|
|
Ticker Symbol(s)
|
Floor:
US
Globex: ZB
|
Floor:
FV
Globex: ZF
|
Floor:
FL/FP
Globex: OZF
|
|
Trading Venue
|
Floor/Globex
|
Floor/Globex
|
Floor/Globex
|
|
Minimum Price Intervals and Value Per Tick
|
1/2 of 1/32 of a point ($15.625 per contract)
rounded up to the nearest cent.
|
1/4 of 1/32 of a point ($7.8125 per contract)
rounded up to the nearest cent.
|
1/2 of 1/64 of one point ($7.8125 per contract);
rounded up to the nearest cent per contract.
|
|
Price Conventions
|
|
Actual Price
|
106 28.5/32
|
106 28.25/32
|
5.5/64
|
|
ITC Transmission Formats
|
0106280
0106285
0106290
0106295
|
0106280
0106282
0106285
0106287
|
0000050
0000055
0000060
0000066
|
|
ITC Fractional Indicator
|
U
|
V
|
Y
|
|
RLC Price Format
|
106000
106005
106010
106015 up to 315
|
106280
106282
106285
106287 up to
317
|
000050
000055
000060
000065
|
|
RLC Display Format
|
EH
|
EQ
|
FH
|
|
RLC Decimal Format
|
3
|
3
|
3
|
|
ITC Ticker Testing Date(s)/Time(s)
|
ITC Ticker testing will be held on Friday,
February 15 and Friday, February 22, 2008 at approximately 5:00 p.m. Central Time.
|
|
RLC Testing in CME Certification
Environment
|
February 18, 2008 (NR) , March 1, 2008
(Cert/Pre-Prod)
|
Please contact
mdo@cmegroup.com if you have any questions concerning this
notice. Thank you
|