Approximately 100 Exchange members participated in pit trading of the contract throughout the day, helping to establish very tight markets in which price spreads were typically in the one-half tick to one-tick range. Final volume for the contract will not be determined until early Wednesday when final processing is completed by the CME's Clearing House.
Estimated volume in the 5-year futures was 7,690 contracts and in the 10-year futures was 6,215 contracts. The CME's agency note futures contracts trade in the CME's interest rate complex, adjacent to the CME's Eurodollar contract, the most actively traded U.S. interest rate contract. Approximately 3,400 Eurodollar contracts were traded on its inaugural day in December 1981.
The agency note futures contracts are based on Freddie Mac's Reference Notes and Fannie Mae's Benchmark Notes. The two agencies are the nation's largest home funding companies. The new 5- and 10-year agency note futures contracts are sized at $100,000 and listed with quarterly expirations. The contracts are settled through physical delivery of eligible securities of either Freddie Mac or Fannie Mae, both of which are AAA-rated.
CME agency note futures bear a notional coupon of 6.5 percent and have a minimum price movement of one-half of 1/32nd of 1 percent of par value, or $15.625 per tick. The contracts trade via open outcry during Regular Trading Hours of 7:20 a.m. to 2 p.m. Central Time. The contract will also begin trading via the CME's GLOBEX2 electronic trading system on Sunday, March 19, at 5:30 p.m. and will trade electronically throughout the week from 2:10 p.m. to 7:05 a.m. the following day.
