VOLUME 21 - BULLETIN #58
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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March 5, 2001
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SUBJECT:
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Mortgage Backed Futures and Options on Mortgage Backed Futures / Margins on Mortgage Backed Futures
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Effective Friday, March 23, 2001 the Chicago Board of Trade CBOT will begin pit trading for Mortgage Backed Futures and Options on Mortgage Backed Future Contracts. On Sunday, March 25, 2001 trading on the a/c/e platform will begin. Contract specifications and margins on Mortgage Backed Futures are detailed below.
CBOT Margin Rates
Mortgage Backed Futures
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Margin Rate
$700
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CBOT Inter-Commodity Spread Credit Rates
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Spread Margin %
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U.S. Treasury Bonds vs. Mortgage Backed Futures (1:3)
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50%
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10-Year Treasury Notes vs. Mortgage Backed Futures (1:2)
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50%
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5-Year Treasury Notes vs. Mortgage Backed Futures (1:1)
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50%
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Long-Term Agencies vs. Mortgage Backed Futures (1:2)
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50%
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Medium-Term Agencies vs. Mortgage Backed Futures (1:1)
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50%
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FUTURES
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Exchange Code:
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01
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Commodity Code:
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2B
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Ticker Symbol:
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Open Outcry: MF
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Electronic Trading: ZG
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Price Quotation:
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Points ($1,000) and ¼ of 1/32 of a point; for example 100-16 equals 100 16/32, 100-162 equals 100-16.25/32, 100-165 equals 100-16.5/32, and 100-167 equals 100-16.75/32.
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Trading Unit
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$1,000 times the Current Mortgage Price Index, for a par value of $100,000.
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Trade Entry Price Format:
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Actual Price = 98-22 ½
7-Digit = 0098225 5-Digit = 98225
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Daily Trading Limit:
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None
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Contract Months:
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January, February, March, April
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Last Trading Day:
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Two business days before Notification Day for To- Be-Announced delivery of Class mortgage-backed securities, as determined by the Bond Market Association.
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Trading Hours:
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Open Outcry Trading – 7:20 a.m. to 2:00 p.m. CST Mon-Fri Electronic Trading – 8:00 a.m. to 4:00 p.m. CST Sun-Fri
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Trading in expiring contracts closes at noon on the last trading day.
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Delivery Standards:
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Cash Settled
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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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2B
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Ticker Symbol
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Open Outcry – MFC for Calls / MFP for Puts
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Electronic Trading – OZG C – Call, P – Put
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Unit of Trading:
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One CBOT Mortgage futures contract (of a specified delivery month).
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Trade Entry Price Format:
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Actual Price = 16 ½
7-Digit = 0000165 5-Digit = 00165
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Strike Prices:
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List the “at-the-money” strike price and 15 strike prices above and below the “at-the-money” price in ½-point ($500) intervals.
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Exercise:
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The buyer of a futures option may exercise the option on any business day up to and including the expiration day by giving notice to the Board of Trade Clearing Corporation by 6:00 p.m. CST. Options that expire in-the-money are automatically exercised into a position, unless specific instructions are given to the Board of Trade Clearing Corporation.
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Expiration Procedures:
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Unexercised options expire at 6:00 p.m. Chicago time on the last day of trading.
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Trading hours:
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Open Outcry Trading – 7:20 a.m. to 2:00 p.m. CST Mon-Fri
Electronic Trading – 8:00 p.m. to 4:00 p.m. CST Mon-Fri Trading in expiring option contracts closes at the same time as the underlying futures (2:00 p.m.) on the last trading day.
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Daily Price Limits:
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None
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Contract Months:
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January, February, March, April
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Last Trading Day:
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Two business days before the Notification Day for To-Be-Announced delivery of Class A mortgage-backed security, as determined by the Bond Market Association.
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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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