A Chicago Board of Trade (CBoT) rule change to its interest rate futures contracts has angered some industry participants and triggered a lengthy letter from Futures Industry Association (FIA) opposing the move.
The exchange confirmed a rule change on 25 July to its two-year, five-year and ten-year notes and 30-year bond futures contracts that imposes position limits during the last ten days of trading prior to expiry. The new position limits seem to be connected to a short squeeze on ten-year notes in May and June, which sharply drove up prices.
Under the new rule CBoT will limit ten-year positions to 50,000 contracts per individual in the last ten days of the contract, beginning with the December contract. Bonds will be limited to 25,000 contracts, five-year notes will be limited to 35,000 contracts and two-year notes 25,000 contracts.
A CBoT memo to members said the rule...