On March 7, 2000, Bulletin #72 was published announcing a tentative implementation date of June 26, 2000 for SLEDS in the Financial and Index products. The scheduled implementation dates for Single Line Differentials has changed as follows:

Although differential spread matching is currently supported for financial products, firms are required to submit the buy and sell legs of the spread, which are then paired up in the matching process. This new process will involve the submission of one record that identifies the two spread months, the buy and sell indicator and trade prices for those spread months and the differential amount. The entry of trade prices for the legs of the spread will be optional. If left blank, Clearing will populate the trade price of the nearby leg with the previous day’s settlement price. The deferred month price will be calculated using the differential amount. Firms will be allowed to change the prices on the legs of the spread for matched and unmatched trades. As with current differential spread pricing, firms that wish to enter leg prices will be required to use even prices (no fractions) on the front or near month. Clearing will assign record ID numbers, for the legs of the spread, in the range of 75000 through 79999.

A new selection, #17, on the OTIS Main Menu, will access Single Line Differential Entry screens (trade entry, inquiry and update). Future bulletins will highlight the new screens. A new spread block (S1) of the TREX record will be required to support these changes. No changes to the main body of the TREX record are required for single line differential spread records. Please find attached a copy of the new spread block. Required fields for the initial implementation which will cover intra-commodity equal quantity calendar spreads for futures only are:

Clearing will generate the legs of the spread from the single line record and transmit them on a real time basis to firm’s bookkeeping systems via MQM. The transmission of the legs will be in the TREX record format and will include the ‘M-1’ block.

Firms are reminded that Single Line Differential Spreads will NOT support Average Price System (APS) transactions. On April 28, 2000, a new APS Memo Give Up screen was implemented that will allow the entry of a give-up at an average price. Differential spreads that are to be given up at an average price can b entered using this new screen. The average price calculation, however, cannot be performed in OTIS. Refer to Volume 20 - Bulletin #112.

The following reports will be used to identify Differential Spreads:

UNMATCHED TRADES REPORT (CLR00005)

Unmatched SLEDS legs will be included in the Unmatched Trades report sorted by commodity and contract month. The legs of the spread will not be grouped together. However the differential amount will be identified below the record ID. The record ID referenced with the individual legs will be the record ID of the SLEDS transaction. In other words the record IDs for the buy and the sell legs will be identical. Firms should use this record ID when inquiring on or changing data in their SLEDS records.

UNMATCHED DIFFERENTIAL SPREADS (CLR00057)

This report lists the unmatched Differential Spreads Trades and will include unmatched SLEDS transactions. On this report, the buy and sell legs of differential spread trades are grouped together. In addition the differential amount will be denoted under each buy and sell that can be grouped together. Trade information from the opposition will be listed in the same manner. Please note that the record ID numbers listed on this report will be the record ID of the SLEDS transactions, not the legs of the spread.

SPREAD DIFFERENTIAL DETAIL REPORT (CLR00052)

This report is produced during the final reconciliation everyday and will detail all matched and unmatched trading activity that occurred for differential spreads. Activity will be listed by commodity and card order with opposing firm, broker and trade price information detailed.

Differential spreads will be denoted on the Daily Trade and Position Register with the description >DIF SPRD= under the Transaction Type column.

These reports are identical to the ones currently produced for differential spreads and will not change with the implementation of SLEDS.

Should you have any questions, please call or e-mail one of the following Business Systems Analysts: