VOLUME 20 - BULLETIN #80

TO:	ALL CLEARING MEMBERS
FROM:	BUSINESS SYSTEMS GROUP
DATE:	March 8, 2000
SUBJECT:	New APS Screen for Give-up Processing

In February 2000, the Commodity Futures Trading Commission (CFTC) announced that firms would no longer be required to use an exchange supported Average Price System (APS). Refer to Federal Register/Volume 65, No. 21. This initiative has been broadly supported by clearing FCMs and the FIA. The approval by the CFTC allowing Futures Commission Merchants (FCMs) to calculate the average price through their own bookkeeping system represents a significant step in providing FCMs the flexibility and control to meet the needs of the marketplace. Due to the CFTC’s decision, the Board of Trade Clearing Corporation (BOTCC) is announcing that the Average Price System accessed through the Clearing Corporation’s OTIS system will no longer be supported. The ability to average price trades through OTIS will continue until the end of 2000, however, maintenance to APS applications to support new products or changes to existing products will not be part of BOTCC system requirements nor included in any project implementation.

The first project impacted by this decision will be Single Line Entry of Differential Spreads (SLEDS). See Volume 20 – Bulletin # 72. The ability to average price differential spreads will not be included in the SLEDS project requirements. However, the ability for a firm to give-up a trade at either an actual average price (APS Plus 5) or rounded average plus residual for differentials will be accommodated with the implementation of a new Average Price System (APS) screen. This new screen will provide for the ability to enter an average price group and the quantities by broker that make up the group for purposes of allocating a give-up. No average price calculation will be performed in OTIS and there will be no link to the original executed trade records. The screen was designed as a temporary solution to accommodate a give-up of an average priced differential spread. This functionality has been defined for a new generic allocation and claim transaction system that will be web based. Bulletins detailing the new APS screen in OTIS and how it functions will be published in the near future.

The maintenance of APS functionality has created additional overhead for BOTCC not only in system processing, but also in resource allocation that would be better utilized for enhancing the clearing system. The CFTC’s decision will allow the Clearing Corporation to focus efforts on the development of Single Line Entry of Differential Spreads (SLEDS) and the one sided transaction system for EFPs, misclears, transfers and give-ups (including those with an average price) that will be based on a generic allocation and claim design.

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