Changes to Position Limits in Expiring Treasury Futures – MARCH 2014 Delivery Months and Thereafter

Effective on the dates below (first effective date December 20, 2013), and pending all relevant CFTC regulatory review periods, position limits for the Treasury futures products listed below are being revised for March 2014 delivery months and thereafter. Terms and conditions of Treasury Bond and Note futures listed for trading on the Chicago Board of Trade (“CBOT” or “Exchange”) establish position limits applicable during an expiring contract’s last 10 trading days. The Exchange periodically reviews these position limits to ensure they comport with the scale and characteristics of the supply of deliverable-grade Treasury bonds and notes.

 

Pursuant to the latest such Exchange review, the Exchange plans to revise the position limits applicable to Treasury futures FOR DELIVERY IN MARCH 2014 and thereafter, as shown in Exhibit 1. No exemptions from these position limits are permitted.

 

CBOT Treasury Futures Contract	Position Limit During Last Ten Trading Days		New Position Limit Takes Effect as of Close of Business on…
	Old	New
Long-Term Bond	65,000	Unchanged
Bond	30,000	20,000	6 March 2014
10-Year Note	95,000	70,000
5-Year Note	115,000	85,000
3-Year Note	20,000	Unchanged	17 March 2014
2-Year Note	50,000	40,000

 

Rule changes pertaining to these revised position limits will be made to the CBOT Rulebook effective the trading day after trading in the December 2013 contracts ceases, which will be Friday, December 20, 2013 for Bond futures and 10-Year Note futures and Thursday, January 2, 2014 for 5-Year Note futures and 2-Year Note futures.

 

Please refer questions on this subject to:

 

Bill Kokontis, Senior Director, bill.kokontis@cmegroup.com, 312-435-3665

Nancy Dickman, Senior Analyst, nancy.dickman@cmegroup.com, 312-341-7596 

Michael Joubert, Lead Analyst, michael.joubert@cmegroup.com, 312-341-7714