VOLUME 20 - BULLETIN #339
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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December 1, 2000
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SUBJECT:
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1/4 Tick Calendar Spreads in Financial Products
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As a reminder, the Chicago Board of Trade allows trade prices in quarter tick increments for calendar spreads on the following financial products:
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Commodity Code
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30 Yr. Treasury Bonds
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17
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10 Yr. Treasury Notes
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21
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5 Yr. Treasury Notes
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25
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Long-Term Agency Notes
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2F
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The above listed financial products can be submitted to Clearing with prices in a minimum tick of 1/4 of 32nd only if they are also submitted as SLEDS (Single Line Entry of Differential Spreads). In addition the 1/4 tick trade price must be submitted in the back/deferred month. The new price formats and tick values per contract are detailed below:
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Tick
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Value per
Contract
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Sample Price
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Price Format
submitted to Clearing
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Print Format on
Clearing Reports
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1/4
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$7.81
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100 16.25/32nd
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0100162
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100 16.2/32
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1/2
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15.63
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100 00.50/32
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0100005
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100 .5/32
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3/4
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23.44
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101 01.75/32nd
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0101017
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101 1.7/32
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whole
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31.25
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101
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0101000
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101
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The price format for submission to clearing is the same that is used for the Two Year Treasury Note contract that is currently quoted in 1/4 tick increments.
Firms are also reminded that SLEDS screens do not support Average Pricing. To average the prices of SLEDS legs, firms must calculate the actual average price, rounded average price and residual on their own bookkeeping system or use the spreadsheet provided by the Clearing Corporation and then enter this information in the APS Memo Group Screen (#15 on the Giveup and Average Price Menu). APS Memo Group transactions will be available for allocation to another firm through the APS Group Display screen.
Firms can access a spreadsheet that will calculate the average price on trades via the BOTCC web page at: http://www.botcc.com/faq/misc/apsworkbook.html
Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
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