• CME Group announces an increase in the position limits for Nikkei Stock Average futures, Yen Denominated Nikkei Stock Average futures and E-mini Yen Denominated Stock Average futures, effective September 23, 2013

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-6816
      • Notice Date
      • 09 September 2013
      • Effective Date
      • 23 September 2013
    • CME Group announces an increase in the position limit for Nikkei Stock Average futures, Yen Denominated Nikkei Stock Average futures and E-mini Yen Denominated Stock Average futures effective September 23, pending CFTC regulatory review. 
       
      The all month position limit for Nikkei Stock Average futures is currently 5,000 futures contracts. The current combined all month position limit for Yen Denominated Nikkei Stock Average futures (¥500 multiplier) and E-mini Yen Denominated Nikkei Stock Average futures ((¥100 multiplier) is 5,000 Yen Denominated Nikkei Stock Average futures (¥500 multiplier) contract equivalents. 
       
      The new position limit for Nikkei Stock Average futures, Yen Denominated Nikkei Stock Average futures and E-mini Yen Denominated Stock Average futures will be 20,000 Nikkei Stock Average futures or equivalents combined.
       
      To establish equivalency, one Nikkei Stock Average futures contract is equal to one Yen Denominated Nikkei Stock Average futures contract. In addition, one Yen Denominated Nikkei Stock Average futures contract is equal to five E-mini Yen Denominated Nikkei Stock Average futures contract.
       
      A table is included in the Appendix to this Special Executive Report that indicates the new position limits for the relevant futures and options on futures contracts impacted by this position limit change.
       
      These contracts are listed by and subject to the rules of CME.
       
       
      Please contact Mr. John Nyhoff, Research & Product Development at 312-930-2310; or Ms. Lucy Wang, Director, Financial Research & Product Development at (312)648-5478 if you have any inquiries regarding this matter.


       
       
      APPENDIX
       
      Position Limits for Nikkei Stock Average, Yen Denominated Nikkei Stock Average, and E-mini Yen Denominated Stock Average Futures and Options on Futures, effective September 23, 2013.
       
      Contract Name
      Rule Chapter
      Commodity Code
      Contract Size
      All Month Aggregate Ratio Into Futures Equivalents Leg (1)
      All Month Limit (In Net Futures Equivalents) Leg (1) / Leg (2)
      Nikkei Stock Average Futures
      352 & 352A
      NK
      $5
      20,000
      Yen Denominated Nikkei Stock Average
      Futures
       
      352B
      N1
      ¥500
      1 (N1) to 1 (NK) - One Nikkei 225 (Yen) futures contract shall be deemed equivalent to one Nikkei 225 ($) futures contract and positions in the Nikkei 225 ($) Stock and Nikkei 225 (Yen) Stock will be aggregated for the purpose of determining compliance with the contracts’ position limit. 
      20,000
      E-mini Yen Denominated Nikkei Stock
      Average Futures
      370
      ENY
      ¥100
      5 (ENY) to 1 (N1) - Five E-mini contracts are equivalent to one corresponding full-sized contract, and positions in full-sized and E-mini-sized contracts will be aggregated for the purpose of determining compliance with the contracts’ position limit. 
      100,000 E-mini/20,000 standard futures
       

       

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