• Treasury Implied Intercommodity Spread (ICS) Changes - Effective in New Release Monday, January 12, 2009 and in Production, Sunday, February 8, 2009

      • To
      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2009-007
      • Notice Date
      • 08 January 2009
      • Effective Date
      • 08 February 2009
    • Effective Sunday, February 8 (trade date Monday, February 9), due to customer requests, CME Group will modify the construction and external instrument name for all the implied intercommodity Treasury spreads (ICS). The changes include:

      Ratio Changes

      ·          ICS will now be listed with a variable number of contracts for the front leg. Currently, the front leg always consists of 10 contracts.

      o    The total number of contracts contained in both legs of a single ICS instrument cannot exceed 40 contracts


      External Naming Convention Changes

      The external naming convention will contain the actual ratio instead of the decimal representation of the ratio value

      ·          Convention: Spread, Ratio, Contract Month and Year

      ·          New name: “NOB 11-07 H9” (old name: “NOB 16666 H9”)

      ·          Defined ratio =11:7


      Implied intercommodity spreads (ICS) are an exchange-defined spread type created to address specific trader requirements for flexibility in spread trading different instruments. ICS allow users the opportunity to manage risk using combined components of the Treasury yield curve. ICS functionality offers intercommodity spreading between:

      ·          Different term Treasury futures contracts

      ·          Swap futures contracts and Treasury futures contracts.


      The new ICS functionality will be available for testing in New Release on this Monday, January 12, 2009.

      Please contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions concerning this notice.