• Large Trader Requirements, Single Month/All Month Limits, and Aggregation Allocations for Four (4) New FX Realized Variance Futures Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-6636
      • Notice Date
      • 31 May 2013
      • Effective Date
      • 03 June 2013
    • In connection with the launch of four (4) new FX realized variance futures contracts on trade date June 3, 2013 (see SER-6588R, dated May 31, 2013), please note below the corresponding single month/all month limits, reportable levels, and aggregation allocations for the new contracts. Effective trade date June 3, 2013, and pending all relevant CFTC regulatory review periods, the terms and conditions for these contracts will be inserted into the CME Position Limit Position Accountability and Reportable Level Table located in the Interpretations and Special Notices Section of Chapter 5 of the CME Rulebook.
      The commodity codes are provided for the Clearing Members that file reports pursuant to CME Rule 561.A in a machine-readable format. 
       

      Contract Name
      Rule Chapter
      Commodity Code
      Reporting Level
      Single Month Limit (In Net Futures Equivalents)  Leg (1) / Leg (2)
      All Month Limit (In Net Futures Equivalents) Leg (1) / Leg (2)
      Single Month/All Month Aggregate Into Futures Equivalent Leg (1)
      Euro/U.S. Dollar (EUR/USD) Realized Variance Futures (Quarterly)
      261J
      VEQ
      5000
              5,000,000
             5,000,000
      VEQ
      Euro/U.S. Dollar (EUR/USD) Realized Variance Futures (Semi-Annual)
      261J
      VES
      5000
              5,000,000
             5,000,000
      VES
      Euro/U.S. Dollar (EUR/USD) Realized Variance Futures (Annual)
      261J
      VEA
      5000
              5,000,000
             5,000,000
      VEA
      Australian Dollar/U.S. Dollar (AUD/USD) Realized Variance Futures (Quarterly)
      255J
      VAQ
      5000
              1,000,000
             1,000,000
      VAQ
      Australian Dollar/U.S. Dollar (AUD/USD) Realized Variance Futures (Semi-Annual)
      255J
      VAS
      5000
              1,000,000
             1,000,000
      VAS
      Australian Dollar/U.S. Dollar (AUD/USD) Realized Variance Futures (Annual)
      255J
      VAY
      5000
              1,000,000
             1,000,000
      VAY
      Great British Pound/U.S. Dollar (GBP/USD) Realized Variance Futures (Quarterly)
      251J
      VPQ
      5000
              5,000,000
             5,000,000
      VPQ
      Great British Pound/U.S. Dollar (GBP/USD) Realized Variance Futures (Semi-Annual)
      251J
      VPS
      5000
              5,000,000
             5,000,000
      VPS
      Great British Pound/U.S. Dollar (GBP/USD) Realized Variance Futures (Annual)
      251J
      VPA
      5000
              5,000,000
             5,000,000
      VPA
      Japanese Yen/U.S. Dollar (JPY/USD) Realized Variance Futures (Quarterly)
      253J
      VJQ
      5000
              5,000,000
             5,000,000
      VJQ
      Japanese Yen/U.S. Dollar (JPY/USD) Realized Variance Futures (Semi-
      253J
      VJS
      5000
              5,000,000
             5,000,000
      VJS
      Japanese Yen/U.S. Dollar (JPY/USD) Realized Variance Futures (Annual)
      253J
      VJY
      5000
              5,000,000
             5,000,000
      VJY

       
      Please refer questions on this subject to:
      Market Surveillance
      Sandra Valtierra             Sandra.Valtierra@cmegroup.com                       (312) 347-4137

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