March 2009 Contract Position Limit During Last Ten Trading Days Effective Date (by close of business on)
Treasury Bonds 25,000 contacts March 6, 2009
Ten-Year Treasury Notes 60,000 contracts March 6, 2009
Five-Year Treasury Notes 45,000 contracts March 17, 2009
Two-Year Treasury Notes 25,000 contracts March 17, 2009
No hedge exemptions are permitted.
Aggregation Standards for Treasury Futures Position Limits
Pursuant to CBOT Rule 559 (“Position Limits and Exemptions”), in determining compliance with these limits, all positions in accounts for which a person by power of attorney or otherwise directly or indirectly holds positions or controls trading, except as set forth below, shall be included with the positions held by the person. The limits upon positions also apply to positions held by two or more persons acting pursuant to an expressed or implied agreement or understanding, the same as if the positions were held by, or the trading of the positions was done by, a single person.
1) Have and enforce written procedures to preclude the affiliated entities from having knowledge of gaining access to, or receiving data about, trades of the other. Such procedures must include document routing, and other procedures or security arrangements, including separate physical locations, which would maintain the independence of their activities. However, such procedures may provide for the disclosure of information which is reasonably necessary for an eligible entity to maintain the level of control consistent with its fiduciary responsibilities and necessary to fulfill its duty to supervise diligently the trading done on its behalf;
2) Trade such accounts pursuant to separately developed and independent trading systems;
3) Market such trading systems separately; and
Additionally, Treasury futures positions carried in independently controlled accounts owned by different legal entities, irrespective of whether the entities qualify as eligible entities, may exceed the position limits provided that affiliated legal entities meet the independence standards above and provided that the overall positions held or controlled by each such independent account controller do not exceed the limits.
CBOT Rule 560 (“Position Accountability”) which establishes position accountability for Treasury futures contracts also applies to these contracts.
Questions regarding this advisory should be directed to the following individuals in Market Regulation:
William Lange, Associate Director, 312.341.7757
Jonathan Parker, Experienced Analyst, 312.347.4138
Steve Mair, Manager, 312.341.7034
Jerry O’Connor, Associate Director, 312.341.7048
Michael Joubert, Analyst, 312.341.7714