Clearing House Advisory Notices
To | Clearing Member Firms
From | Clearing House Department
Subject | Firms May Now Choose Engine-Assigned E-CBOT SLEDS Leg Prices
Notice Date | 2006-08-10
Notice Number | 06-197
Effective Date | 2006-08-21
We are pleased to announce that beginning Monday, August 21, 2006, firms will have the option of receiving leg prices assigned by e-cbot ("engine-assigned leg prices") for their electronically-executed calendar spread trades in CBOT products. The identical capability was previously provided to firms for calendar spread trades executed on Globex for CME products. Also, as previously announced in Clearing Advisory 06-189 (July 28, 2006), beginning this Monday, August 14, 2006, changes will be made to simplify the assignment of SLEDS leg prices for CBOT Treasury products. For Five-Years, Ten-Years and 30-Years, the front leg will always be assigned at previous day's settlement, rounded as needed to a whole 32nd. For Two-Years, the front leg will always be assigned at previous day's settlement, rounded as needed to a whole or half 32nd. These changes apply to pit-executed calendar spread trades, and to e-cbot-executed calendar spread trades, provided that the firm has not requested engine-assigned leg prices. For the full text of this advisory...