VOLUME 20 - BULLETIN #358
TO:
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ALL CLEARING MEMBERS
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FROM:
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BUSINESS SYSTEMS GROUP
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DATE:
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December 18, 2000
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SUBJECT:
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CBOT 5-Year Agency Note Futures and Options Specifications
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Effective Friday, January 12, 2001, the Chicago Board of Trade CBOT will begin pit trading for 5-Year Agency Note Futures and Options Contract. The contracts will begin trading on a/c/e at 8:00pm on Monday, January 15,2001. Futures contracts will be eligible for differential spreads. Contract specifications and trading information are detailed below.
FUTURES
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Exchange Code:
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01
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Commodity Code:
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2G
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Ticker Symbol:
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DF - Pit traded 5-year Agency Futures
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AF – Electronically traded 5-year Agency Futures
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Price Quotation:
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Quoted in points. One point equals $1,000.00.
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Minimum Price Fluctuation
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½ of 1/32 or $15.625.
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Trading Unit
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One Fannie May Benchmark Note or Freddie Mac Reference Note having a face value of $100,000 at maturity
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Trade Entry Price
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Actual Price = 71.20
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Format:
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7-Digit = 0071200 5-Digit = 71200
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Daily Trading Limit:
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3 points or $3,000 (Variable limits are $4,500)
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Contract Months:
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March, June, September, December
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Last Trading Day:
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Seventh business day preceding the last business day of the delivery month. The expiring contract ceases trading at 12:00 noon CST on the last day of trading
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Position Limits:
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Spot and aggregate limits of 5,000 contracts.
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Reportable Positions:
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Reportable limit of 100 contracts.
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Trading Hours:
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Open Outcry: 7:20am – 2:00pm(CST), M-F
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A/c/e: 8:00pm - 4:00pm(CST), S-F
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Delivery Standards:
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Non-callable Fannie Mae Benchmark Notes or Freddie Mac Reference Notes maturing at least 4 years, but not more than 5 years 3 months (original issuance) from the first day of the delivery month, an original issuance of $3 billion or greater, and semi-annual fixed coupon payments.
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Calculation of invoice price at settlement:
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Invoice Price = (Futures Settlement Price x Conversion Factor) + Accrued Interest.
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The conversion factor is the price per $1 of a security with a $1 original principal value that yields 6%.
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OPTIONS
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Exchange Code:
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01
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Commodity Code:
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2G
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Ticker Symbol
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DFC - Pit traded 5-Year Agency Calls
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DFP - Pit traded 5-Year Agency Puts
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OAF- Electronic Trading
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Price Quotation:
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1/64 of one point($1,000)
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Unit of Trading:
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One CBOT 5-Year Agency Note futures contract.
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Trade Entry Price
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Actual Price = 3 16/64
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Format
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4-Digit = 0316 5-Digit = 00316 7-Digit = 0003160
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Strike Prices:
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½ of one point($1000), 12 up and 12 down from the at-the-money strike price
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Exercise:
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A buyer of a futures option may exercise the option on any business day that the option is traded.
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Expiration Procedures:
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Unexercised options will expire at 10.00am (CST) on the first Saturday following the last day of trading.
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Trading hours:
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Open Outcry: 7:20am – 2:00pm (CST),M-F
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a/c/e: 8:00pm – 4pm (CST), S-F
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Daily Price Limits:
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Same as Futures
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Contract Months:
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Quarterly and Monthly (serials)
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Last Trading Day:
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The last Friday which precedes by at least five business days the last business day of the month preceding the option contract month. Expiring options will cease trading at the same time as the market close in the underlying futures contract
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Position Limits
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Spot limit of 5,000 contracts on a futures-equivalency basis with an aggregate outright limit of 5,000 contracts and a reportable level of 50 contracts.
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Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
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