Effective Sunday, August 30, 2009 (trade date Monday August, 31), the minimum trading tick for 30-Year U.S. Treasury Bond outright futures will be increased from the current ½ of 1/32nd to full 1/32nd (from $15.625 to $31.25). The minimum trading increments for futures intermonth and intercommodity spreads, as well as options, will be unchanged. This tick increase does not impact any other Treasury futures contracts.
As a result of the tick size change, CME Group will modify the T-bond futures settlement procedure for Friday, August 28, 2009. In order to ensure that Friday settlement prices are in increments of a full 1/32nd , CME Group will calculate outright contract settlement prices by applying current settlement procedures and rounding them to the nearest 1/32nd price increment.
· The ITC fractional indicator will be modified from U to T
· The new tick increment is currently available for quote vendor testing in New Release
· ITC Ticker testing will be held on August 28, 2009 at approximately 5:00 p.m. Central Time.
Please contact Market Data Operations (MDO) at email@example.com, if you have any questions concerning this notice.