Client Management Advisory Notice
From | Client Management
Subject | One Chicago (ONE) Security Futures and the CME Trade Register File
Effective Date | 04/03/02
Notice Number | NP#0175
Following is a description of the usage of certain fields in the CME Trade Register file, related to positions in One Chicago (ONE) security futures contracts. First, we will explain how fields are used if a corporate event, such as a stock split, affects the underlying stock of a ONE security future, and second, we provide details on two new origin codes reserved for future use. Fields Affected by Corporate Events There are several fields on the Position Detail record which can be affected by a corporate event on the underlying stock of a security future. These fields are: Longs Adjusted Today (positions 40-43) Shorts Adjusted Today (positions 44-47) Prior Day Settlement Price (positions 56-59) Cash Adjustment (positions 138-143) Longs Adjusted Today and Shorts Adjusted Today The quantities in these fields will include position changes resulting from automatically-created corporate event position adjustments, which adjust position quantities as a result of corporate events, such as stock splits. For example, suppose that on March 20th, the ending position in a ONE security future was 20 long by 30 short, and that the effective date of a three-for-one stock split was March 21st. On March 21st, the start-of-day position would be tripled, to 60 long by 90 short. In the Trade Register data file produced at the end-of-day on March 21st, the Longs Adjusted Today field for this position would contain a value of positive 40 (increasing the long position from 20 to 60), and the Shorts Adjusted Today field would contain a value of positive 60 (increasing the short position from 30 to 90). Prior Day Settlement Price On the effective date of a corporate event, such as a stock split or extraordinary dividend, which affects the underlying stock of a ONE security future, this field will contain the prior-day price as adjusted by the corporate event. On the effective date of the event, the adjusted start-of-day position in such a future�s contract is marked from this adjusted prior-day price to the new day�s settlement price. Taking the same example, suppose that an affected ONE security future settled on March 20th at $60.00 per share, and again, that the effective date of a three-for-one stock split was March 21st. On March 21st, the prior-day price would be adjusted from 60.00 down to 20.00. In the Trade Register data file produced at the end-of-day on March 21st, the Prior Day Settlement Price field would contain 20.00. Cash Adjustment The Cash Adjustment field will contain the amount of any cash flow associated with a position other than its variation, premium, or APS residual amounts. Certain types of corporate events affecting the underlying stock of a ONE security future can result in a special cash adjustment being paid or collected by holders of positions in that future. If this occurs, the amount of this cash adjustment will be contained in this field. For example, suppose that a merger affects the underlying deliverable of a ONE security future, with an effective date of March 21st, such that the holder of each long position at the start of business on March 21st receives a special cash adjustment of $2.00 per share. In the Trade Register data file produced at the end-of-day on March 21st, the Cash Adjustment field would contain a positive value if the start-of-day position were net long and a negative value if the start-of-day position is net short. The amount of the cash adjustment would be equal to the cash adjustment amount per share ($2.00 in this example), times the underlying deliverable amount (typically 100 shares per contract), times the position quantity. Previously, for the CME�s Rolling Spot� currency futures, this field contained the amount of the cash flow associated with the interest cost of rolling the position from one day to the next. If the CME again introduces a rolling spot or similar product which has a cash flow associated with the interest cost of rolling a positions from one day to the next, these values will also be provided in the Cash Adjustment field. Please note that it has been several years since this field was last used, and it has been omitted from versions of the Trade Register file layout document published since that time. The CME will publish shortly, detailed examples of corporate events and their affect on the underlying stocks of ONE security futures. It is important to note, however, that CME and the Options Clearing Corporation (which will function as an alternate clearing house for ONE security futures) will handle these events in exactly the same way. New Origin Codes We are reserving two new values for the Origin field for future use: Origin code 5, for Customer Reserve (CRES) Origin code 6, for Market-Maker (MM) CRES and MM are thus joining CUST and HOUS as allowable values for the Origin field in positions 198-202 on the Header Record, Matched/Unmatched and Position Detail records. In addition, the digits 5 and 6 join 1 (customer) and 2 (house) as allowable values in the Origin Field in position 4 of the Matched/Unmatched and Position Detail records Revised Layout for the Trade Register File The revised layout for the Trade Register File is available on the Web at www.cme.com, and can be accessed under Clearing Services/Client Management/Layouts or you can quickly link to the Trade Register File layout at: http://www.cme.com/files/traderegisterlayout.pdf. We wish to emphasize that ONE security futures will result no new record types. For questions concerning the Trade Register File, please contact Karen F. McCoy at (312) 930-4524. Thank you.