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CCorp OTC
Benchmark Treasury Futures
As part of its Concero service
platform for over-the-counter (OTC) derivatives clearing, The Clearing
Corporation is launching an initiative for OTC futures based on single
issue treasuries. This page
describes The Clearing Corporation’s new OTC Benchmark Treasury
Futures products which are available as part of the Concero
initiative.
OTC Benchmark Treasury Futures
Products
OTC Benchmark Treasury Futures products will be available for the
Two, Three, Five, Ten, and Thirty Year maturities on the
business day following each auction. Additonally, monthly
OTC Benchmark Treasury Futures contracts will be listed
based on the following schedule. Furthermore, each Clearing Participant
will be responsible to fulfill its delivery obligations
with the underlying Treasury instrument via the Fixed Income
Clearing Corporation (FICC) on the business day following
the last Clearing Day indicated below.
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Maturity
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Current Auction Cycle
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Number of Months for each Issue
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Last Clearing Day
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Two Year
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Monthly
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* For the Non-quarterly auction 2 successive calendar
months. For the quarterly
auction 3 successive calendar months.
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If the last day of the expiring month is a business day, then
the Last Clearing Day is the second last business day of the expiring
month; otherwise, the last clearing day is the last business day of the
expiring month. Provided, however, for the third successive month
listed for the issue associated with the quarterly auctions, the last
clearing day shall be one business day prior to the 15th calendar
day of the expiring month.
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Three Year
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Quarterly
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Six successive calendar months
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One business day prior to the 15th calendar day of the
expiring month.
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Five Year
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Monthly
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* For the Non-quarterly auction 2 successive calendar
months. For the quarterly
auction 3 successive calendar months.
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If the last day of the expiring month is a business day, then
the Last Clearing Day is the second last business day of the expiring
month; otherwise, the last clearing day is the last business day of the
expiring month. Provided, however, for the third successive month
listed for the issue associated with the quarterly auctions, the last
clearing day shall be one business day prior to the 15th calendar
day of the expiring month.
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Ten Year
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Quarterly, with a reopen one month after the quarterly auction
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Six successive calendar months
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One business day prior to the 15th calendar day of the
expiring month.
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Thirty Year
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Semi Annually in February and August with a scheduled reopening
of the February issue in May and a scheduled reopening of the August
issue in November.
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Twelve successive calendar months
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One Business Day prior to the 15th calendar day of
the expiring month.
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* The 2 Year and 5 Year
monthly auctions are divided into two groups. A non-quarterly auctions those 2, and 5,
Year auctions held in January, March, April, June, July, September,
October, and December and a quarterly auction those 2, and 5, Year auctions held in February, May,
August, and November.
Price Basis
The price basis shall be quoted in points, thirty-seconds of a
point and eighths of one-thirty-second of a point. Par shall be on the
basis of 100 points
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Futures Contract
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Contract Size
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Minimum Price Fluctuation
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Two Year OTC Benchmark Treasury Future
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$100,000
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1/8 of 1/32
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Three Year OTC Benchmark Treasury Future
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$100,000
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1/8 of 1/32
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Five Year OTC Benchmark Treasury Futures
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$100,000
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1/8 of 1/32
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Ten Year OTC Benchmark Treasury Future
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$100,000
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1/8 of 1/32
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Thirty Year OTC Benchmark Treasury Future
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$100,000
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1/8 of 1/32
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Reference Table of 1/8 of 32nds
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1/8 of 32nd
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0.0039062
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2/8
of 32nd
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0.0078125
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3/8
of 32nd
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0.0117187
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4/8
of 32nd
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0.0156250
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6/8
of 32nd
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0.0195312
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7/8
of 32nd
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0.0234375
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8/8
of 32nd
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0.0273437
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Commodity Codes
Commodity codes will be assigned after each treasury auction to
represent the new On-The -Run issue.
There will be a separate commodity code for each treasury issued
within a calendar year. Codes will
not be reused during a given calendar year but are planned to be used
each following calendar year. For
a full listing of commodity codes, please click here.
Clearing Participant Trade
Submission
Clearing Participants that wish to participate in OTC Benchmark
Treasury Futures must inform The Clearing Corporation to insure they meet
the eligibility requirements.
Eligible CCorp Clearing Participants may
submit OTC Benchmark Treasury Future transactions for eligible contract
participant(s) within the meaning of Section 1a (12) of the Commodity
Exchange Act, as amended. All OTC Benchmark Treasury Futures
will be cleared in the non-customer origin.
Clearing Participants can submit an OTC Benchmark Treasury
Future trade through the CCorp ACT OTC Trade
initiate screen. An OTC trade
entered through the ACT system is a single side entry by the initiating
Clearing Participant who allocates the transaction to the opposing
Clearing Participant. The opposing Clearing Participant claims the trade
in the ACT accept screen.
MQM add duplication
messages will be sent to the initiating Clearing Participants back office
system in the TREX record format upon entering the trade through the ACT
OTC initiate screen. MQM add
duplications messages will be sent to the accepting Clearing Participants
back office system in the TREX record format when the trade is accepted
on the ACT OTC trade accept screen. Clearing Participants are reminded
that there are no alert messages sent to their back office queue when an
opposing Clearing Participant initiates a trade to them. Clearing
Participants will need to actively monitor the ACT system for allocations
that need to be claimed for their customers.
Changes to the original OTC trade record can only be
accomplished through the ACT OTC trade initiate screen. Clearing
Participants can only delete an unaccepted initiated OTC trade record. MQM change or delete records will not
be accepted from a Clearing Participant.
Position Management
All OTC Benchmark Treasury Future trades will clear as
non-segregated, under CCorp exchange 03.
Details of the OTC trade will appear on the daily trade and position
register report and register data file (regdata).
Clearing Participants can mark OTC trades as give-up
transactions directly from the ACT OTC trade deal screen or by creating a
give-up summary record in the ACT give-up system. Current GAPI message
processing between CCorp and the Clearing
Participant will be used for OTC trades that are marked as give-ups.
Transfer and Misclear transactions
will also use the ACT system and the established MQM API message
processing. EFP trades are not a valid transaction type for OTC products
and the clearing system will not accept them.
Broker Trade Submission
Clearing Participants are reminded that brokers will have access
to an OTC deal trade entry screen in Trade Management and are able to
enter OTC deals on behalf of the Clearing Participants. The broker will
enter both the selling Clearing Participant and the buying Clearing
Participant of the transaction on the Trade Management deal entry screen.
When a transaction is entered by a broker the opposing side of the trade
will remain anonymous to the Clearing Participants of the deal. Opposite Clearing
Participant will be indicated as “990” on all screens,
reports and data files.
The broker will not be able to change, delete or mark the OTC
trade as a give-up. A Clearing Participant will receive an MQM add
duplication record to their back office system queue in the TREX record
format. Clearing Participants will be able to change non-critical data on
the trade record or mark a trade for give-up by submitting an MQM change
record to CCorp or by making the changes
directly on the Trade Management update screen. Trades that are marked as
give-up will load into the ACT give-up system. Current GAPI message
processing between CCorp and the Clearing
Participant will be used for OTC trades that are marked as give-ups.
Reporting
Please note that Clearing Participants are not required to
submit open interest reporting or large trader reporting for OTC
products.
Data files
OTC Benchmark Treasury Futures will be incorporated into the
traditional mid-day variation process at CCorp. In addition, OTC Benchmark Treasury
Futures are marked to a daily settlement price which will be available on
the futures settlement price file at approximately 5:00 p.m. The Span file will reflect current
margin requirements for OTC Benchmark Treasury Futures.
Deliveries
The contract grade for delivery will be the underlying US
Treasury Note.
An OTC Treasury Benchmark Future product that has not been
liquidated or offset by a Clearing Participant prior to the termination
of clearing on the Last Clearing Day shall be settled by delivery through
the Fixed Income Clearing Corporation (FICC). Accordingly, Clearing Participants must
have a relationship with a member of FICC that permits the Clearing
Participant to satisfy its delivery obligations through FICC. CCorp will
inform each buying participant with the name of the selling participant
obligated to deliver US Treasury Notes.
CCorp will also inform each selling
participant the name of the buying participant obligated to receive US
Treasury Notes.
Clearing Participants will also be informed of the maturity,
coupon, CUSIP; the amount the buying participant owes the seller,
quantity of contracts and the delivery date.
Delivery will be net by Clearing Participant. Clearing Participants will be able to
submit transactions and effect post trade management on expiring
transaction until 2:15 p.m. (Chicago
time) on last clearing day. A final settlement price will be determined
by 2:45 p.m. By 3:15 p.m. CCorp will have delivery assignment notices, and confirmed
invoices available. Clearing Participants will have until 7:00 p.m. to
have the delivery instructions entered into FICC.
Should you have any questions, please call or e-mail one of the
following Client Services and Support Representatives:
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