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The Board of Trade Clearing Corporation is in the process of developing a system for the submission of a single line record for differential spreads. 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. Initial implementation of Single Line Differentials will be in the Financial and Index contracts and is tentatively scheduled for Monday, June 26, 2000. SLEDS will be made available in the Agricultural contracts in late July. A new selection, #17, on the OTIS Main Menu, will access Single Line Differential Entry screens (trade entry, inquiry and update). Also, SLEDS reports are currently being developed. 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: Spread Differential - will be formatted to match the trade price format of the commodity; i.e. Treasury bond differentials will be in 32nds. Spread Sign - can be positive or negative. Blank will default to a positive. Buy/Sell - can be submitted by the firm or automatically populated based on the buy/sell indicator on the main body of the TREX. Contract Month - contract month for the other leg of the spread. 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. A duplication file of the spread legs will also be made available. Service bureaus have been involved with the development of this process and have been informed of changes in the TREX record. Volume 20 - Bulletin #72 Page 2 Firms are reminded that Single Line Differentials Spreads will NOT support APS transactions. BOTCC is developing screens to facilitate APS Memo Adds. As this project progresses, Clearing will be publishing additional information. Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
SPECIAL BLOCK S1 - SPREAD TRANSACTIONS (For BOTCC inbound differential spread records only and CME GLOBEX outbound records only.)
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