We are pleased to inform you that effective today, July 14, 2006, CME interest rate product calendar spreads are eligible for processing through the Exchange’s SLEDS (Single Line Entry of Differential Spreads) application.    The SLEDS application allows calendar spreads to match based on the differential price only.   Accordingly, the buy and sell sides of calendar spreads can record different leg prices provided the differential spread price remains the same for both sides.   The primary benefit is that customers can define their preferred leg prices post-execution.  An added benefit is that executing brokers can expect a lower incidence of unmatched trades that typically result from leg price discrepancies.   

The carding and order recordation requirements for successful SLEDS processing are described on the attached advisory.

Clearing House Advisory 06-180