VOLUME 23 - BULLETIN #065
TO:
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ALL CLEARING MEMBERS
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FROM:
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CLIENT SERVICES AND SUPPORT
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DATE:
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April 2, 2003
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SUBJECT:
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Revised Pricing Format of CBOT® Fed Funds Futures and Options Contracts
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On Monday, April 21, 2003, the Chicago Board of Trade will begin listing Fed Fund Option Contracts with strike prices of six and one-quarter points (0.0625 on a price basis of 100). To accommodate the new strike price format as well as futures contracts created from exercise and assignment instructions, the Clearing Corporation will change the strike and future price format from the current five-digit format to six.
Cleared future and option positions will be converted to reflect the additional digit at close of business Thursday, April 17, 2003. Unmatched Fed Fund futures and options will not be converted. Firms will be required to resubmit prior unmatched transactions using the new price format.
It is important to note that the change in the price format of the Fed Funds future does not change minimum tick size or the manner in which the trades are executed.
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Clearing Strike Format
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Strike Price
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Current Clearing Strike Format
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New Clearing Strike Format
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98.25
98.3125
98.375
98.4375 |
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982500
983125
983750
984375 |
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Clearing Salient Future Price Format
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Future Price
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Current Clearing Future Price Format
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New Clearing Future Price Format
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98.25
98.3125
98.375
98.4375 |
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982500
983125
983750
984375 |
Fed Fund Pays and Collects for Futures Created from Exercise and Assignment
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Basis Point
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Difference
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Value
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Should you have any questions, please call or e-mail one of the following Client Services and Support Representatives:
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