• Position Limits in Treasury Futures During Last 10 Trading Days

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • CBOT RA1205-1
      • Notice Date
      • 16 November 2012
      • Effective Date
      • 16 November 2012
    • The relevant CBOT Treasury futures product chapters establish position limits in CBOT Treasury futures contracts that are applicable during the last 10 trading days of an expiring contract. The position limits for each contract and the relevant dates for the expiring December 2012 contracts are detailed in the table below:
      December 2012
      Position Limit During Last
      10 Trading Days
      Effective Date
      (by close of business on)
      Ultra U.S. Treasury Bonds
      65,000 contracts
      December 5, 2012
      30-Year U.S. Treasury Bonds
      30,000 contracts
      December 5, 2012
      10-Year U.S. Treasury Notes
      95,000 contracts
      December 5, 2012
      5-Year U.S. Treasury Notes
      115,000 contracts
      December 14, 2012
      3-Year U.S. Treasury Notes
      20,000 contracts
      December 14, 2012
      2-Year U.S. Treasury Notes
      50,000 contracts
      December 14, 2012
      Please note, the position limits applicable to the Ultra and 30-Year U.S. Treasury Bond futures were revised on September 19, 2012. Please see SER S-6338, from August 13, 2012, for further details.
      No exemptions from these 10 day limits 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.
      An eligible entity, as defined in CFTC Regulation §150.1(d), will not be considered to have violated the position limits based on positions established on its behalf by one or more independent account controllers, as defined in CFTC Regulation §150.1(e), if each such account controller does not exceed the Treasury futures position limits. If an independent account controller is affiliated with the eligible entity or another independent account controller, each of the affiliated entities must:
      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
      4)     Solicit funds for such trading by separate Disclosure Documents that meet the standards of CFTC Regulations §4.24 or §4.34, as applicable, where such documents are required.
      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 specified 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 may be directed to the following individuals in Market Regulation:
      Bill Kokontis, Senior Director 312.435.3665
      Michael Joubert, Lead Surveillance Analyst, 312.341.7714
      Nancy Dickman, Surveillance Analyst, 312.341.7596
      For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at 312.930.3434 or news@cmegroup.com