VOLUME 20 - BULLETIN #124 Open Interest Reporting

TO:	ALL CLEARING MEMBERS
FROM:	BUSINESS SYSTEMS GROUP
DATE:	April 26, 2000
SUBJECT:	Open Interest Reporting

The Board of Trade Clearing Corporation would like to remind firms of the importance of accurate Open Interest reporting. Open Interest can be a significant factor in the decision to execute trades on the Exchange floor by market participants. In particular, delivery activity in the spot month requires special handling. Firms must make sure that delivery offsets are correctly reflected in their Open Interest submissions. This bulletin provides examples of how Open Interest should be reported when firms participate in the delivery processing. The importance of accurate, reliable and timely Open Interest reporting by clearing members cannot be over emphasized.

Listed below are deadlines for the submission, processing and adjustment of Open Interest.

5:30 am	Deadline for submission of Open Interest
6:00 am	OTIS® is available for adjustments
6:45 am	Deadline for adjustments to preliminary Open Interest for balancing discrepancies, keypunching errors, exercise and assignments, cash exchange and deliveries.
10:00 am	Deadline for adjustments to final Open Interest for corrections due to unmatched trades.

These deadlines will ensure the accurate and timely production and delivery of Preliminary Open Interest to users and to the Exchange floor before the market opens.

1. .	Firms MUST OBTAIN TIMELY OFFSETS FOR ALL ACCOUNTS, INCLUDING OMNIBUS ACCOUNTS, in order to accurately report Open Interest prior to the 6:45 am deadline
2.	Issues and Stops should be recognized with the same day’s business as the BOTCC enters the delivery offset position.

EXAMPLE I:	On Day One, Firm “A” is long 20 contracts of wheat. On the morning of Day Two, it is assigned delivery of 1 contract of wheat for delivery on Day Three.
	As of the close on Day One, Firm “A “ reports its position as 20 long.
	As of the close on Day Two, Firm “A” reports its position as 19 long (20 less the 1 it stopped today to be delivered on Day Three).
	If Firm “A” determines that it wants to re-deliver immediately, it can sell the desired amount (1 contract) in the market on Day Two and tender notice of its intention to deliver to the Clearing Corporation that evening. In this case, Firm “A” reports its position as 19 long and 1 short as of the close on Day Two.

As of Day Three, Firm “A” receives the 1 delivery (which was offset against its reported position on Day Two). If the 1 contract was redelivered, Firm “A” removes the 1 contract tendered from its reported short position and reports its position as 19 long.

As of Day Four, Firm “A” redelivers the 1 contract (which was offset against its reported short position on Day Three).


		No		Redelivery
Firm “A”	Redelivery		Of Commodity
Day One	20 L		20 L
Day Two	19 L		19 L and 1 short
Day Three	19 L		19 L
Day Four	19 L		19 L

EXAMPLE II: On the beginning of Day One, Firm “B” is long 20 contracts of wheat. On Day One, Firm “B” sells 1 contract of wheat and tenders notice that evening to the Clearinghouse of its intention to deliver. In this case, Firm “B” would report its positions as 20 long and 1 short. As of Day Two, Firm “B” reports its position as 20 long. On Day Three, Firm “B” would redeliver.

Volume 20 - Bulletin #124 Page 3

3. Futures positions which are the result of exercises or assignments of options should be recognized with the same day’s business as the BOTCC recognizes them (Exercise day). These futures should have the trade date of the exercise day. In the case of Saturday expiration(i.e.- exercises and assignments), the resulting futures positions should be reflected as of Friday’s trade date.

EXAMPLE I:	On Day One Firm “A” is long 100 T-Bond calls and short 75 T-Bond puts for its only customer. That afternoon firm “A” exercises its calls and is assigned on its puts.
	As of the close on Day One, Firm “A” position is 0 long calls, 0 short puts and it reports 175 long futures.
EXAMPLE II:	On Friday before expiration Firm “A” is long 100 T-Bond puts, short 75 T-Bond calls and long 110 T-Bond futures for its only customer. Firm “A” exercises its puts and is assigned on its calls.
	As of the close of business on Friday, Firm “A” reports its position as 65 short futures.

4. Corrections to unmatched trades which affect position reporting must be reflected in your Open Interest on the same morning. Remember, if the correction is to add or bust positions, this not only affects Open Interest but also volume. You are required to correct volume reported, including cash exchanges and transfers/give-ups due to ‘trade checking session’ corrections by 10:00 am each day using the Open Interest correction screens in OTIS.

Failure to accurately report Open Interest is considered a serious violation and will result in a fine.

Should you have any questions, please contact Business Controls and Proofing at 786-5745.