90-Day commercial paper in the futures market

One of the most important and rapidly growing money market instruments today is the short-term marketable debt obligations issued by major corporations, known as commercial paper ranges in original maturity from nine months to as short as three or four days. However, the Chicago Board of Trade as ruled that commercial paper traded in the futures market must mature either 30or90 day from date of delivery. It must be of the highest quality, rated either A-1 by standard& Poor's Corporation or P-1 by Moody‘s investor‘s Service, and be approved by the Chicago Board of Trade. The basic trading unit for 90-day paper is a face value at maturity of $1 million, while contracts for 30-day paper are based on a $3 million face value. Prices are quoted on an annual discount basis, with minimum price fluctuations of one basis point or $25 per contract.
A futures trading in commercial paper is extremely light compared to the other securities represented on the major contract exchanges. For example, a survey by the Commodity Futures Trading Commission in March 1979 found that daily trading volume in 90-day commercial paper contracts was less than 5 percent of T-bill contract trading volume. One major problem with paper futures is that the contracts do not specify precisely what issue of commercial paper is to be delivered to fulfill each contract. Because paper issued by any numbers of firms may be used to satisfy the contractual agreement, investors face an unusual degree of uncertainty in this market. In addition, a substantial volume of commercial paper is issued in original maturities of less than 90 days; so the supply of 90-day paper is often quite limit