Clearing House Advisory Notices
To | Clearint Member Firms, Back Office Managers, Bookkeeping Service & System Providers
From | Clearing House Department
Subject | SLEDS for CME Interest Rate Futures to be Launched on Monday, July 17, 2006
Notice Date | 2006-07-12
Notice Number | 06-177
Effective Date | 2006-07-17
On Monday, July 17, 2006 CME will begin processing Single Line Entry of Differential Spreads (SLEDS) for CME Interest Rate Futures products. These products (and their Clearing Product Codes) include: Eurodollar Futures (ED) LIBOR (EM) 10-year Swap Rate (S0) 13 Week US T-Bill (T1) 2-year Swap Rate (S2) 5-year Swap Rate (S5) Consumer Price Index (CU) Euroyen (EY) Euroyen-LIBOR (EL) Eurozone Harmonized Index of Consumer Prices (HC) Fed Fund Turn Rate (TZ) Japanese Government Bond (JB) Mexican 28 Day TIIE (MR) Mexican 91 Day Cetes (MB) With this launch, clearing firms will have the option to either receive engine assigned leg prices or prior day settlement leg prices for electronically matched spreads. Firm who choose not to receive engine assigned leg prices will automatically receive prior day settlement prices. Pit SLEDS will always default to previous days settlement unless leg prices are defined. For additional info on this launch, please refer to the CME advisory notice # 06-130, published May 24, 2006. If you have any questions, please call CME Clearing Services at 312-207-2525 or e-mail ccs@cme.com. Printer Friendly Version. . .