Clearing House Advisory Notices
To | Clearing Member Firms; Back Office Managers; Service Bureaus
From | Clearing House Department
Subject | Upcoming Changes to SLEDS Leg-Price Assignment for CBOT Treasury Products
Notice Date | 2006-07-28
Notice Number | 06-189
Effective Date | 2006-07-28
Effective Monday August 14th, changes will be made to the way leg-prices are assigned in SLEDS for CBOT Treasury products. Currently, there are some inconsistencies in leg-price assignments based on the venue (e-cbot or Pit) the spread was traded. Further inconsistencies exist depending on whether the differential price was at a whole 32nd'or a fractional of a 1/32nd. For the full text of this advisory...