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Leg Pricing in Pit Executed SLEDS in Treasury Products

Beginning on February 5, 2007, pricing restrictions on the nearby leg of a SLEDs transaction that is not executed at a whole 32nd will be lifted.

Currently, if the differential price of a SLEDs trade includes a fractional 32nd, the nearby leg must be priced at a whole 32nd. Beginning on February 5th, leg prices on SLEDs differentials that include fractional 32nds may be submitted at any valid value. Additionally, prices on legs of a SLEDs transaction that have been submitted for clearing may be changed to any valid value, even if the trade has not matched.

Additional changes have been made regarding SLEDs leg pricing on e-cbot®, which will allow users to specify for each order routed to e-cbot whether leg prices should be engine-assigned or based upon the previous-day's settlement prices. Additional information regarding this change can be found in the following CME Advisory Notice http://www.cme.com/files/Chadv07-10.pdf.

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

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