• Large Trader Requirements, Single Month/All Month Limits, and Single Month/All Month Aggregation Allocations for the 2-Year EUR Interest Rate Swap Futures, 5-Year EUR Interest Rate Swap Futures and 10-Year EUR Interest Rate Swap Futures Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-7008
      • Notice Date
      • 11 April 2014
      • Effective Date
      • 14 April 2014
    • In connection with the launch of the new 2-Year EUR Interest Rate Swap, 5-Year EUR Interest Rate Swap and 10-Year EUR Interest Rate Swap futures contracts on the Chicago Board of Trade (CBOT or Exchange) on trade date Monday, April 14, 2014 (see SER# 7025 dated March 12, 2014), please note below the corresponding single month/all month limits and single month/all month aggregation allocations for the new contracts. Effective trade date April 14, 2014 and pending all relevant CFTC regulatory review periods, the terms and conditions for these contracts will be inserted in the CBOT Position Limit Position Accountability and Reportable Level Table located in the Interpretations and Special Notices Section of Chapter 5 of the CBOT Rulebook, as noted below.

      The commodity code is provided for the Clearing Members that file reports pursuant to CBOT Rule 561.A in a machine-readable format. 

       

      (Bold/underline indicates addition)

       

      Contract Name

      Rule Chapter

      Commodity Code

      Contract Size

      Contract Units

      Settlement

      Single Month Aggregate Into Futures Equivalent Leg (1)

      Single Month Accountability Level  Leg (1) / Leg (2)

      All Month Limit Aggregate Into Futures Equivalent Leg (1)

      All Month Accountability Level Leg (1) / Leg (2)

      2-Year EUR Interest Rate Swap Futures

      55

      T1E

      € 100,000

      IRS Contracts (2 yr interest rate swap)

      Physically Delivered Futures

      T1E

      5,000

      T1E

      5,000

      5-Year EUR Interest Rate Swap Futures

      56

      F1E

      € 100,000

      IRS Contracts (5 yr interest rate swap)

      Physically Delivered Futures

      F1E

      5,000

      F1E

      5,000

      10-Year EUR Interest Rate Swap Futures

      57

      N1E

      € 100,000

      IRS Contracts (10 yr interest rate swap)

      Physically Delivered Futures

      N1E

      5,000

      N1E

      5,000

       

      Please refer questions on this subject to:

      Market Regulation

      Surveillance:                        Chris Reinhardt                    Chris.Reinhardt@cmegroup.com                    (212) 299-2882

      Products:                               Nadine Brown                      Nadine.Brown@cmegroup.com                      (212) 299-2223

      Large Trader Reporting:     Sandra Valtierra                  Sandra.Valtierra@cmegroup.com                   (312) 347-4137