• Large Trader Requirements, Single Month/All Month Position Limits, and Single Month/All Month Aggregation Allocations, for the listing of the new 2-Year and 3-Year Weekly Mid-Curve Options

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-6891
      • Notice Date
      • 15 November 2013
      • Effective Date
      • 18 November 2013
    • In connection with the listing of the new Weekly 2-Year and Weekly 3-Year Mid-Curve Eurodollar options on the Chicago Mercantile Exchange Inc. (CME or Exchange) on trade date Monday, November 18, 2013, please note below the corresponding single month/all month accountability levels, reporting level, and single month/all month aggregation allocations for the new contracts. Effective trade date November 18, 2013, and pending all relevant CFTC regulatory review periods, the terms and conditions for these contracts will be inserted in 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, as noted below.
      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 Aggregate Into Futures Equivalent Leg (1)
      Single Month Accountability Level (In Net Futures Equivalents) Leg (1) / Leg (2)
      All Month Limit Aggregate Into Futures Equivalent Leg (1)
      All Month Accountability Level (In Net Futures Equivalents) Leg (1) / Leg (2)
      Weekly Two-Year Mid-Curve Eurodollar Options - Week 1
      452A
      EE1
      25
      ED
      10,000
      ED
      10,000
      Weekly Two-Year Mid-Curve Eurodollar Options - Week 2
      452A
      EE2
      25
      ED
      10,000
      ED
      10,000
      Weekly Two-Year Mid-Curve Eurodollar Options - Week 3
      452A
      EE3
      25
      ED
      10,000
      ED
      10,000
      Weekly Two-Year Mid-Curve Eurodollar Options - Week 4
      452A
      EE4
      25
      ED
      10,000
      ED
      10,000
      Weekly Two-Year Mid-Curve Eurodollar Options - Week 5
      452A
      EE5
      25
      ED
      10,000
      ED
      10,000
      Weekly Three-Year Mid-Curve Eurodollar Options - Week 1
      452A
      EF1
      25
      ED
      10,000
      ED
      10,000
      Weekly Three-Year Mid-Curve Eurodollar Options - Week 2
      452A
      EF2
      25
      ED
      10,000
      ED
      10,000
      Weekly Three-Year Mid-Curve Eurodollar Options - Week 3
      452A
      EF3
      25
      ED
      10,000
      ED
      10,000
      Weekly Three-Year Mid-Curve Eurodollar Options - Week 4
      452A
      EF4
      25
      ED
      10,000
      ED
      10,000
      Weekly Three-Year Mid-Curve Eurodollar Options - Week 5
      452A
      EF5
      25
      ED
      10,000
      ED
      10,000

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