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Delta1 provides for a combination instrument called an SSF Spread. An SSF spread is comprised of two product-contracts more commonly referred to as “legs,” where the quoted price of the spread is expressed as the price of the back leg minus the price of the front leg. When bids and offers in spread markets transact, two trade records are generated, one for each leg. The price of the font front leg is assigned by Delta1 (at fair-market value) and the back leg is calculated by adding the font front leg assigned price to the matched spread price. The resulting two legs are then sent to clearing as individual SSF trades each having a spread designation.


Spread instruments traded on Delta1 are cleared as two separate SSF transactions and linked using the ExchSpeclInstr field. The below fields are populated identically for both clear cleared legs of a traded spread instrument: