VOLUME 20 - BULLETIN #320
TO:
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ALL CLEARING MEMBERS
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FROM:
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BUSINESS SYSTEMS GROUP
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DATE:
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November 9, 2000
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SUBJECT:
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Variable Leg Pricing for SLEDS Transactions
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Effective Friday, November 10, 2000, the Clearing Corporation will update the SLEDS (Single Line Entry of Differential Spreads) system to give firms the option of pricing the deferred month leg. Firms will be allowed to enter the deferred month in the first Month/Year field (positions 58 – 65 in the Main TREX block) and the nearby month in the second Month/Year field (positions 45 – 52 in the TREX S-1 block). Entering a trade price in the Trade Price field will apply that price to the first month entered. The Clearing Corporation will calculate the second month price using the following formula:
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Nearby Month– Deferred Month = Differential Price
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If nothing is entered in the Trade Price field The Clearing Corporation will price the nearby month using the settlement price from the previous night.
Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
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