• Delisting of CBOT 2-Year, 5-Year, 10-Year On-the-Run Treasury Futures and 5-Year, 7-Year, 10-Year, and 30-Year Interest Rate Swap Futures and Companion Options

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-6712
      • Notice Date
      • 17 June 2013
      • Effective Date
      • 24 June 2013
    • The Board of Trade of the City of Chicago, Inc. (“CBOT” or “Exchange”) shall delist eleven interest rate products, comprising three On-the-Run Treasury Yield (“OTR Treasury”) futures, four Interest Rate Swap (“IRS”) futures, and the four respective suites of companion options on IRS futures, pending regulatory certification of these actions with the Commodity Futures Trading Commission.
       
      IRS futures expire by cash settlement with reference to ISDAFIX US dollar IRS swap rates. OTR Treasury futures expire by cash settlement with reference to ISDAFIX US dollar IRS rates and ISDAFIX US dollar swap spreads. As trading activity in these products is either nil, or low and diminishing, the Exchange intends to delist them according to the following schedule:
       
      OTR Treasury futures, IRS futures for delivery in December 2013 or thereafter, and options on IRS futures shall be delisted on Sunday, 23 June, with effect as of Monday, 24 June.
       
      The last delivery month to be listed for trading in IRS futures shall be September 2013.
       
      Implementation will entail the following amendments to Exchange rules --
       
      a.     Removal of the following chapters from the CBOT Rulebook as of Sunday, 23 June, with effect as of Monday, 24 June:
       
      Chapters 42, 43, and 44, which codify terms and conditions for, respectively, 2-Year On-the-Run Treasury Yield Futures, 5-Year On-the-Run Treasury Yield Futures, and 10-Year On-the-Run Treasury Yield Futures; and
       
      Chapters 23A, 24A, 25A, and 38A, which declare terms and conditions for, respectively, options on 10-Year Interest Rate Swap futures, options on 5-Year Interest Rate Swap futures, options on 30-Year Interest Rate Swap futures, and options on 7-Year Interest Rate Swap futures.
       
      b.    Removal of the following chapters from the CBOT Rulebook, upon termination of trading in CBOT IRS futures for September 2013 delivery:
       
      Chapters 23, 24, 25, and 38, which set forth terms and conditions for, respectively, 10-Year Interest Rate Swap, 5-Year Interest Rate Swap futures, 30-Year Interest Rate Swap futures, and 7-Year Interest Rate Swap futures.
       
      Such termination of trading is scheduled to occur at 10:01am Chicago time on Monday, 16 September 2013.
       
      c.     Amendments to Chapter 5 of CBOT Rulebook in regard to position limit, position accountability, and reportable position thresholds, as given in Appendix A, and in regard to CME Globex non-reviewable ranges, as given in Appendix B.


       
       
      d.    Amendments to CME & CBOT Market Regulation Advisory Notice RA1303-3RR, in regard to block trade thresholds and protocols for futures and options listed for trading on Chicago Mercantile Exchange, Inc. (“CME”) or CBOT, as set forth in Appendix C.
       
       
      Questions in regard to this matter may be referred to:
       
      Steven Dayon, Products & Services                   steven.dayon@cmegroup.com             312 466 4447
      Jonathan Kronstein, Products & Services           jonathan.kronstein@cmegroup.com       312 930 3472
      Frederick Sturm , Research & Development        frederick.sturm@cmegroup.com                        312 930 1282
                 
      Media enquiries concerning this Special Executive Report should be directed to:
       
      CME Group Corporate Communications             news@cmegroup.com                           312 930 3434


      Appendix A --
      Amendments to CBOT Rule 5.C. Position Limit and Reportable Level Table
       
      (Deletions are shown in bold struck-through font.)
       
       
      For implementation with effect as of 24 June 2013 –
       
      Contract Name Rule Chapter Commodity Code Contract Size Contract Units Type Settlement Group 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)
      30-YR INTEREST RATE SWAP  25 & 25A I3 100,000 30-year interest rate swap-notional value Swap futures
      /European swap option      		 Financially settled swap future & options exercisable into financially settled swap future CBT
      INTEREST RATE      		 500 I3 5,000 I3 5,000
      10-YR INTEREST RATE SWAP  23 & 23A 66 100,000 10 yr interest rate swap - notional value Swap futures
      /European swap option      		 Financially settled swap future & options exercisable into financially settled swap future CBT
      INTEREST RATE      		 500 66 5,000 66 5,000
      10-Year On-the-Run Treasury Yield 44 TEN 100,000 10 yr treasury note-face value Futures Financially settled future CBT
      INTEREST RATE      		 25 44 7,500 44 7,500
      7-YR INTEREST RATE SWAP  38 & 38A 7I 100,000 7 yr interest rate swap - notional value Swap futures
      /European swap option      		 Financially settled swap future & options exercisable into financially settled swap future CBT
      INTEREST RATE      		 25 7I 5,000 7I 5,000
      5-Year On-the-Run Treasury Yield 43 FIV 100,000 5 yr treasury note-face value Futures Financially settled futures   CBT
      INTEREST RATE      		 25 FIV 7,500 FIV 7,500
      5-YR INTEREST RATE SWAP  24 & 24A NG 100,000 5 yr interest rate swap - notional value Swap futures
      /European swap option      		 Financially settled swap future & options exercisable into financially settled swap future CBT
      INTEREST RATE      		 500 NG 5,000 NG 5,000
      2-YEAR ON-THE-RUN TREASURY YIELD 42 TWO 100,000 2 yr treasury note-face value Futures Financially settled futures   CBT
      INTEREST RATE      		 25 TWO 7,500 TWO 7,500
       
       
       
      For implementation with effect as of 17 September 2013 --
       
       
      Contract Name Rule Chapter Commodity Code Contract Size Contract Units Type Settlement Group 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)
      30-YR INTEREST RATE SWAP  25 I3 100,000 30-year interest rate swap-notional value Swap futures Financially settled futures CBT
      INTEREST RATE      		 500 I3 5,000 I3 5,000
      10-YR INTEREST RATE SWAP  23 66 100,000 10 yr interest rate swap - notional value Swap futures Financially settled futures CBT
      INTEREST RATE      		 500 66 5,000 66 5,000
      7-YR INTEREST RATE SWAP  38 7I 100,000 7 yr interest rate swap - notional value Swap futures Financially settled futures CBT
      INTEREST RATE      		 25 7I 5,000 7I 5,000
      5-YR INTEREST RATE SWAP  24 NG 100,000 5 yr interest rate swap - notional value Swap futures Financially settled futures CBT
      INTEREST RATE      		 500 NG 5,000 NG 5,000


       
      Appendix B --
      Amendments to CBOT Rule 588.G. Globex Non-Reviewable Trading Ranges
       
      (Deletions are shown in bold struck-through font.)
       
       
       
       
       
      For implementation with effect as of 24 June 2013 –
       

      Options
       
       
      Instrument
      Bid/Ask Reasonability
      Non-Reviewable Range (NRR)
      …
      …
      …
      Interest Rates
       
       
      …
      …
      …
      Interest Rate Swaps
      (5, 7, 10, 30 Yr)
      The greater of the delta times the underlying futures non-reviewable range or 20% of the fair value premium up to the underlying futures non-reviewable range with a minimum reasonability of 5/64ths
      20% of premium up to ¼ of the underlying futures non-reviewable range with a minimum of 1 tick.
      …
      …
      …

       
       
       
       
       
      For implementation with effect as of 17 September 2013 --
       

      Futures
       
       
       
       
      Instrument
      Non-Reviewable Range
      (NRR) in Globex Format
      NRR including
      Unit of Measure
      NRR
      Ticks
      …
      …
      …
      …
      Interest Rate Swaps
       
       
       
      5, 7, 10, 30 Year Interest Rate Swap Futures
      300
      30/32 of 1 point
      60
      30-Year US Dollar Interest Rate Swap Futures
      30
      30/32 of 1 point
      30
      10-Year US Dollar Interest Rate Swap Futures
      300
      30/32 of 1 point
      60
      5-Year US Dollar Interest Rate Swap Futures
      150
      15/32 of 1 point
      30
      2-Year US Dollar Interest Rate Swap Futures
      150
      15/32 of 1 point
      60
      …
      …
      …
      …

       
       
       


       
      Appendix C –
      Amendments to CME & CBOT Market Regulation Advisory Notice RA1303-3RR – Block Trades
       
      (Additions are shown in bold underline font. Deletions are shown in bold struck-through font.)
       
       
       
      For implementation with effect as of 24 June 2013 –
       
      …
       
      4. Block Trade Minimum Quantities for Outrights, Spreads and Combinations
       
      The block trade minimum quantity requirements for outright futures and options are set forth in the list of block trade eligible products in Section 12 of this Advisory Notice. Additional information with respect to spreads and combinations executed as blocks appears below:
       
      a) Intra-Commodity Futures Spreads and Futures Combinations
                 
                  i) All Products Excluding U.S. Treasury, OTR Treasury Yield, 5-, 7-, 10- and 30-Year Interest
                  Rate Swap and GSCI Futures
       
      Intra-commodity futures spreads and futures combinations may be executed as block trades provided that the sum of the quantities of the legs meets the minimum block quantity threshold. For example, 2,000 Eurodollar future calendar spreads executed during RTH hours would meet the Eurodollar futures minimum quantity requirement of 4,000 contracts.
       
      ii) U.S. Treasury, OTR Treasury Yield and 5-, 7-, 10- and 30-Year Interest Rate Swap Futures
       
      Intra-commodity calendar spread block trades are prohibited in CBOT U.S. Treasury futures, OTR Treasury Yield and 5-, 7-, 10- and 30-Year Interest Rate Swap futures. Parties may not execute contingent block trades in outright contracts to circumvent the prohibition on the execution of block trades
      in intra-commodity calendar spreads. Additionally, Tandem spreads (a trade combining calendar spreads in two different Treasury futures) may not be executed as block trades.
       
      iii) GSCI Futures
       
      In GSCI futures and GSCI Excess Return Index futures the block trade minimum is 300 contracts for each leg of the spread or combination. For example, the minimum quantity for a GSCI calendar spread would require 300 contracts in each leg of the spread for a total of 600 contracts while a GSCI futures butterfly would require a minimum volume of 1,200 contracts.
       
      b) Inter-Commodity Futures Spreads
       
      i) Short Term Interest Rate Futures
       
      In Short Term Interest Rate futures (Eurodollars, Eurodollar E-minis, Euribor, T-Bills, OIS, One-Month Eurodollar, Euroyen and 30-Day Fed Funds), inter-commodity futures spreads may be executed as block trades provided that the sum of the legs of the spread meets the larger of the threshold requirements for the underlying products. For example, the minimum quantity thresholds for One-Month Eurodollar and Eurodollars during ETH are 200 and 2,000 contracts, respectively. Therefore, a block trade in the One-Month Eurodollar/Eurodollar spread can be executed provided that the sum of the legs is at least 2,000 contracts.
       


       
      ii) U.S. Treasury, OTR Treasury Yield, 5-, 7-, 10- and 30-Year Interest Rate Swap and10-Year
      Sovereign Yield Spread Futures
       
      In U.S. Treasury, OTR Treasury Yield, 5-, 7-, 10- and 30-Year Interest Rate Swap and 10-Year Sovereign Yield Spread futures, inter-commodity futures spreads may be executed as block trades provided that each leg of the spread meets the minimum threshold requirement for the respective underlying products. For example, the minimum quantity thresholds for 10-Year Notes and U.S. Treasury Bonds during RTH are 5,000 and 3,000 contracts, respectively. Therefore, a block trade in the NOB spread (10-Year Note/Treasury Bond spread) can be executed only if the minimum quantity of the 10-Year Note leg of the spread is at least 5,000 contracts and the minimum quantity of the Treasury Bond leg of the spread is at least 3,000 contracts.
       
      …
       

      CBOT Products
      Futures
      Options
      Flex Options
      …
      …
      …
      …
      2-, 5- and 10-Year OTR Treasury Yield (RTH)
      2,000 contracts**
      Not available
      Not available
      2-, 5- and 10-Year OTR Treasury Yield (ETH)
      1,000 contracts**
      Not available
      Not available
      2-, 5- and 10-Year OTR Treasury Yield (ATH)
      500 contracts**
      Not available
      Not available
      30-Day Fed Funds (RTH)
      2,000 contracts
      1,500 contracts
      Same as
      Non-Flex Options
      30-Day Fed Funds (ETH)
      1,000 contracts
      750 contracts
      Same as
      Non-Flex Options
      30-Day Fed Funds (ATH)
      500 contracts
      375 contracts
      Same as
      Non-Flex Options
      5-, 7-, 10- and 30-Year Interest Rate Swaps (RTH)
      2,000 contracts
      500 contracts
      Not available
      Not available
      5-, 7-, 10- and 30-Year Interest Rate Swaps (ETH)
      1,000 contracts
      500 contracts
      Not available
      Not available
      5-, 7-, 10- and 30-Year Interest Rate Swaps (ATH)
      500 contracts
      500 contracts
      Not available
      Not available
      …
      …
      …
      …

       
      ** Block trading of intra-commodity Treasury, OTR Treasury Yield and 5-, 7-, 10- and 30-Year Interest Rate Swap futures calendar spreads is prohibited.
       
      …
       
       


       
      For implementation with effect as of 17 September 2013 --
       
       
      …
       
      4. Block Trade Minimum Quantities for Outrights, Spreads and Combinations
       
      The block trade minimum quantity requirements for outright futures and options are set forth in the list of block trade eligible products in Section 12 of this Advisory Notice. Additional information with respect to spreads and combinations executed as blocks appears below:
       
      a) Intra-Commodity Futures Spreads and Futures Combinations
                       
                      i) All Products Excluding U.S. Treasury, 5-, 7-, 10- and 30-Year Interest Rate Swap and GSCI
                      Futures
       
      Intra-commodity futures spreads and futures combinations may be executed as block trades provided that the sum of the quantities of the legs meets the minimum block quantity threshold. For example, 2,000 Eurodollar future calendar spreads executed during RTH hours would meet the Eurodollar futures minimum quantity requirement of 4,000 contracts.
       
      ii) U.S. Treasury and 5-, 7-, 10- and 30-Year Interest Rate Swap Futures
       
      Intra-commodity calendar spread block trades are prohibited in CBOT U.S. Treasury futures and 5-, 7-, 10- and 30-Year Interest Rate Swap futures. Parties may not execute contingent block trades in outright contracts to circumvent the prohibition on the execution of block trades in intra-commodity calendar spreads. Additionally, Tandem spreads (a trade combining calendar spreads in two different Treasury futures) may not be executed as block trades.
       
      iii) GSCI Futures
       
      In GSCI futures and GSCI Excess Return Index futures the block trade minimum is 300 contracts for each leg of the spread or combination. For example, the minimum quantity for a GSCI calendar spread would require 300 contracts in each leg of the spread for a total of 600 contracts while a GSCI futures butterfly would require a minimum volume of 1,200 contracts.
       
      b) Inter-Commodity Futures Spreads
       
      i) Short Term Interest Rate Futures
       
      In Short Term Interest Rate futures (Eurodollars, Eurodollar E-minis, Euribor, T-Bills, OIS, One-Month Eurodollar, Euroyen and 30-Day Fed Funds), inter-commodity futures spreads may be executed as block trades provided that the sum of the legs of the spread meets the larger of the threshold requirements for the underlying products. For example, the minimum quantity thresholds for One-Month Eurodollar and Eurodollars during ETH are 200 and 2,000 contracts, respectively. Therefore, a block trade in the One-Month Eurodollar/Eurodollar spread can be executed provided that the sum of the legs is at least 2,000 contracts.
       
      ii) U.S. Treasury, 5-, 7-, 10- and 30-Year Interest Rate Swap and10-Year
      Sovereign Yield Spread Futures
       


       
      In U.S. Treasury, 5-, 7-, 10- and 30-Year Interest Rate Swap and 10-Year Sovereign Yield Spread futures, inter-commodity futures spreads may be executed as block trades provided that each leg of the spread meets the minimum threshold requirement for the respective underlying products. For example, the minimum quantity thresholds for 10-Year Notes and U.S. Treasury Bonds during RTH are 5,000 and 3,000 contracts, respectively. Therefore, a block trade in the NOB spread (10-Year Note/Treasury Bond spread) can be executed only if the minimum quantity of the 10-Year Note leg of the spread is at least 5,000 contracts and the minimum quantity of the Treasury Bond leg of the spread is at least 3,000 contracts.
       
      …
       

      CBOT Products
      Futures
      Options
      Flex Options
      …
      …
      …
      …
      5-, 7-, 10- and 30-Year Interest Rate Swaps (RTH)
      2,000 contracts
      Not available
      Not available
      5-, 7-, 10- and 30-Year Interest Rate Swaps (ETH)
      1,000 contracts
      Not available
      Not available
      5-, 7-, 10- and 30-Year Interest Rate Swaps (ATH)
      500 contracts
      Not available
      Not available
      …
      …
      …
      …

       
      ** Block trading of intra-commodity Treasury and 5-, 7-, 10- and 30-Year Interest Rate Swap futures calendar spreads is prohibited.
       
      …

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