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SLEDS Spread Pricing in Treasury Products

This Notice is being issued as a reminder regarding the Single Line Clearing of Differential Spreads (“SLEDS”) for Treasury Products in both Open Outcry and on e-cbot®.

Open Outcry
-SLEDS must be submitted with a trade type “D”.

-Spread prices should be submitted as negative if the nearby month is trading under the deferred and positive if the nearby is trading over the deferred.

Leg Pricing
-If a trader wants to designate specific leg prices, he/she must record the price of the differential at which the spread was executed and either or both leg prices.
-If the differential price is a whole 32nd, the nearby leg can be priced at any whole or fractional 32nd.
-If the differential price includes a fractional 32nd, then the nearby leg must be priced at a whole 32nd.

Price Assignment

-If no leg prices are specified, the previous day’s settlement price will be used on the nearby leg of the spread and the deferred leg price will be calculated based on the differential.

-If the differential price is not a whole number of 32nds and if the previous day’s settlement price for the nearby leg of the spread is not a whole number of 32nds, then:

-for a buy of the SLED (buying the nearby), round the previous day’s settlement price up to the next whole 32nd

-for a sell of the SLED (selling the nearby), round the previous day’s settlement price down to the lower whole 32nd.

-Once an open outcry SLED has been matched, leg prices may be changed to any valid tick and do not necessarily have to be priced at whole 32nds.

e-cbot
-SLEDS must be entered using Strategy Code “Z”- Reduced Tick Spreads.

Price Assignment
-The Clearing system will assign leg prices for the nearby leg of the spread as the previous day’s settlement price, rounded, if necessary, to the nearest full tick.

-Subsequent to a SLED trade on e-cbot, leg prices may be changed to any valid tick and do not necessarily have to be priced at whole 32nds.

If you have any questions regarding this Notice, please contact Jennifer Baum (312-341-3124), Melissa Kemp (312-435-3681) or Shelly Goodwin (312-347-4123) of the Office of Investigations and Audits.

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