(n)

(0)

()

Gi)

(iii)

the time to maturity of a given issue is calculated in complete one-
month increments (e.g. 3 years, 1 month, 17 days is taken to be 3 years,
1 month) from the first day of the delivery month. All notes delivered
against a contract must be of the same issue. To be delivered in the
current month, the note must have been issued by the Treasury before
the last day of trading in the current month. Conversion factors to be
applied to deliverable issues shall be agreed with the Clearing
Organization and published on the Exchange’s website. The conversion
factor is the price ($1 par value) at which a deliverable note with such
note’s coupon and remaining time to maturity would yield 6% as
calculated by a standard yield-to-maturity formula .

New issues of U.S. Treasury notes which satisfy the standards in this
regulation shall be added to the deliverable grades as they are issued. If
during the auction of a note which will meet the standards of this
chapter the Treasury re-opens an existing issue, thus rendering the
existing issue indistinguishable from the newly auctioned one, the older
issue is deemed to meet the standards of this chapter and would be
deliverable. The exchange shall have the right to exclude any new issue
from deliverable status or to further limit outstanding issues from
deliverable status.

The purchaser shall pay the tender price. The tender price shall be
$200,000, multiplied by the price of the contract at the close of trading
in the contract, multiplied by the conversion factor for the tendered
note, plus interest accrued in accordance with department of the
Treasury Circular 300, Subpart P.

Delivery and Payment Procedures: Delivery of and payment for notes
pursuant to this rule shall be made in accordance with the rules of the
Clearing Organization.

Reportable Positions: A Person shall report any position that such Person
owns or controls in Three-Year U.S. Treasury Note Futures of 750 contracts
or more in any one delivery month.

Position Accountability:

@

Gi)

A Person who owns or controls an aggregate position in Three-Year
USS. Treasury Note Futures of more than 7,500 futures contracts and/or
futures-equivalent contracts, or 20,000 option contracts for all months
and all strike prices combined in each option category shall thereby be
subject to the requirements of this Rule as set forth herein.

The term “futures equivalent position” means, in the case that a
person’s position includes option contracts, that each option contract in
such position has been adjusted by the prior day’s risk factor, or delta
coefficient, for that option which has been calculated by the Clearing
Organization and that the adjusted number of contracts are totaled.
Long futures contracts in the position shall have a delta factor of +1,
and short futures contracts shall have a delta factor of -1. Long call



Specifications for Futures Contracts on Three-Year (“3 Year”) U.S. Treasury
Notes.

Each futures contract on three-year U.S. Treasury notes shall be a contract whereby
the seller agrees to sell and deliver, and the buyer agrees to buy, one three-year U.S.
Treasury note of deliverable grade having a principal amount of $200,000 for delivery
in a specified month. Futures contracts in three-year U.S. Treasury Notes shall be
traded and performed in accordance with the following specifications:

(i) Trading Sessions: Trading shall take place at such hours as may be specified
from time to time by the Exchange; provided that trading in any futures
contract for any delivery month shall terminate at 12:01 p.m. Chicago time on
the last trading day for such delivery month.

(0) Delivery Months: Five consecutive delivery months following the current
month (including the current month if it is a delivery month that is still listed
for trading) are listed; provided, however, that the Exchange may determine to
list futures contracts for additional delivery months or not to list any delivery
month. Delivery months are March, June, September and December. Effective
the first trading day following the last trading day of a futures contract for any
delivery month, the next eligible delivery month shall automatically be listed
for trading.

(k) Last Trading Day: The last day on which trading shall be permitted in futures
contracts for delivery in any delivery month (the “last trading day”) shall be
the Jast Business Day pf the month.

() Minimum Price Ticks: Minimum price ticks shall be one-quarter of one
thirty-second of a point (or $15.625).

(m) Permissible Delivery Days, Deliverable Grades, Performance: Delivery of
three-year U.S. Treasury notes may be made by the short upon any
permissible delivery day of the delivery month the short may select. Delivery
of three-year U.S. Treasury notes must be made no later than the last Business
Day of that month; except that by mutual agreement settlement may be made
after the last trading day but no later than the second Business Day
immediately preceding the last Business Day of the delivery month by
exchanging any open three-year U.S. Treasury Note Futures contract for
$200,000 three-year U.S. Treasury notes or comparable instruments or for a
swap in accordance with Rule 417. Notwithstanding the requirements of
Rules 416 and 417 that EFPs and EFSs be entered directly into the Trading
System, EFPs and EFSs involving the expiring futures delivery month may be
transacted after trading has ceased in that delivery month pursuant to
procedures that the Exchange may from time to time promulgate. A
permissible delivery day is any Business Day on which the Federal Reserve
Wire is open.

(i) In order to be deliverable, three-year U.S. Treasury notes must have an
original maturity of not more than five years, three months and a
remaining maturity on the first day of the delivery month of not less
than two years, eight months and not more than three years, one month
and must carry semi-annual interest payments. In determining maturity,


: options and short put options shall have positive delta factors. Short
call options and long put options shall have negative delta factors.

(iii) | The “option categories” are long calls, short calls, long puts, and short
puts.

(q) Settlement Prices: The Exchange will base its settlement price recommendations
on trading conditions at 2:00 p.m. except that:

() On the last day of trading in a delivery month the settlement price
recommendation for that delivery month will be based on
conditions in that contract at the close of trading; or

(ii) If the Exchange alters its Trading Session, the Exchange may
change the time for determining the settlement price.


902. Specifications for Futures Contracts on Medium-Term (“5 Year”) U.S. Treasury
Notes.

2
Each futures contract on medium-term U.S. Treasury notes shall be a contract 9 og
whereby the seller agrees to sell and deliver, and the buyer agrees to buy, one U.S. am
Treasury note of deliverable grade having a principal amount of $100,000 for delivery ox
in a specified month. Futures contracts in medium-term U.S. Treasury Notes shall be . a

traded and performed in accordance with the following specifications:

(a) Trading Sessions: Trading shall take place on each Business Day at such
hours as may be specified from time to time by the Exchange; provided that
trading in any futures contract for any delivery month shall terminate at 12:01
p.m. Chicago time on the last trading day for such delivery month.

(b) Delivery Months: Five consecutive delivery months following the current
month (including the current month if it is a delivery month that is still listed
for trading) are listed; provided, however, that the Exchange may determine to
list futures contracts for additional delivery months or not to list any delivery
month. Delivery months are March, June, September and December. Effective
the first trading day following the last trading day in a delivery month, the
next eligible delivery month shall automatically be listed.

(c) Last Trading Day: The last day on which trading shall be permitted in futures
contracts for delivery in any delivery month (the “last trading day”) shall be

Deleted: prior to the end of such

(d) | Minimum Price Ticks: Minimum price ticks shall be one-half of one thirty-
second of a point (or $15.625). Provided, however, that the Exchange may
permit Members to enter quotes and orders for Calendar Time Spreads in one-
quarter of one thirty-second of a point (or $7.8125).

(e) Permissible Delivery Days, Deliverable Grades, Performance: Delivery of
medium-term U.S. Treasury notes may be made by the short upon any
permissible delivery day of the delivery month the short may select. Delivery
of medium-term U.S. Treasury notes must be made no later than the last
Business Day of that month; except that by mutual agreement settlement may
be made after the last trading day but no later than the fifth Business Day
immediately preceding the last Business Day of the delivery month by
exchanging any open Medium-Term U.S. Treasury Note Futures contract for
$100,000 medium-term U.S. Treasury note or comparable instruments or for a
swap in accordance with Rule 417. Notwithstanding the requirements of
Rules 416 and 417 that EFPs and EFSs be entered directly into the Trading
System, EFPs and EFSs involving the expiring futures delivery month may be
transacted after trading has ceased in that delivery month pursuant to
procedures that the Exchange may from time to time promulgate. A
permissible delivery day is any Business Day on which the Federal Reserve
Wire is open.

(0) In order to be deliverable, medium-term U.S. Treasury notes must have
an original maturity of not more than five years, three months and a
remaining maturity on the first day of the delivery month of not less
than four years and two months and must carry semi-annual interest


()

(g)

(h)

(ii)

(iii)

payments. In determining maturity, the time to maturity of a given issue
is calculated in complete one-month increments (e.g. 4 years, 5 months,
14 days is taken to be 4 years, 5 months) from the first day of the
delivery month. All notes delivered against a contract must be of the
same issue. To be delivered in the current month, the note must have
been issued by the Treasury before the last day of trading in the current
month, Conversion factors to be applied to deliverable issues shall be
agreed with the Clearing Organization and published on the
Exchange’s website. The conversion factor is the price ($1 par value)
at which a deliverable note with such note’s coupon and remaining time
to maturity would yield 6% as calculated by a standard yield- to-
maturity formula.

New issues of U.S. Treasury notes which satisfy the standards in this
regulation shall be added to the deliverable grades as they are issued. If
during the auction of a note which will meet the standards of this
chapter the Treasury re-opens an existing issue, thus rendering the
existing issue indistinguishable from the newly auctioned one, the older
issue is deemed to meet the standards of this chapter and would be
deliverable. The exchange shall have the right to exclude any new issue
from deliverable status or to further limit outstanding issues from
deliverable status.

The purchaser shall pay the tender price. The tender price is $100,000
multiplied by the price of the contract at the close of trading in the
contract, multiplied by the conversion factor for tendered note, plus
interest accrued in accordance with department of the Treasury Circular
300, Subpart P.

Delivery and Payment Procedures: Delivery of and payment for notes
pursuant to this rule shall be made in accordance with the rules of the
Clearing Organization.

Reportable Positions: A Person shall report any position that such Person
owns or controls in Medium-Term U.S. Treasury Note Futures of 800
contracts or more in any one delivery month.

Position Accountability:

@)

(ii)

A Person who owns or controls an aggregate position in Medium-
Term U.S. Treasury Note Futures of more than 7,500 futures contracts
and/or futures-equivalent contracts, or 20,000 option contracts for all
months and all strike prices combined in each option category shall
thereby be subject to the requirements of this Rule as set forth herein.

The term “futures equivalent position” means, in the case that a
person’s position includes option contracts, that each option contract in
such position has been adjusted by the prior day’s risk factor, or delta
coefficient, for that option which has been calculated by the Clearing
Organization and that the adjusted number of contracts are totaled.
Long futures contracts in the position shall have a delta factor of +1,
and short futures contracts shall have a delta factor of -1. Long call


options and short put options shall have positive delta factors. Short
call options and long put options shall have negative delta factors.

(iii) The “option categories” are long calls, short calls, long puts, and short
puts.

(i) Settlement Prices: The Exchange will base its settlement price
recommendations on trading conditions at 2:00 p.m. except that:

i. On the last day of trading in a delivery month the settlement price
recommendation for that delivery month will be based on
conditions in that contract at the close of trading; or

ii. If the Exchange alters its Trading Session, the Exchange may
change the time for determining the settlement price.