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