• Interest Rate Futures Group Code Consolidation--Effective Sunday, August 3, 2008

      • To
      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2008-130
      • Notice Date
      • 02 July 2008
      • Effective Date
      • 03 August 2008

    • 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.

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