The CBOT® will implement this change on Wednesday, August 1 when the July 2001 contract expiration is scheduled to be liquidated by cash settlement according to the normal variation margin procedures as established by the Board of Trade Clearing Corporation. Prior to expiration, Federal Funds futures contracts in the current delivery month will continue to be traded, marked-to-market, and margined on a daily basis in price increments of one-half of one basis point.
The reduced pricing basis would only be applied to expiring Federal Funds futures contracts at final settlement. The attached document summarizes the amended regulation pertaining to this change and provides a table of the dollar values that BOTCC will use to calculate the pay and collect amounts for expiring Federal Funds futures contracts at final settlement.
Contact CBOT® Senior Economist Dan Grombacher at +1 312 435 3787 or dgrombacher@cbot.com for more information.
