Clearing House Advisory Notices
To Back Office Managers and Software Providers
From CME Clearing
Subject CME and CBOT SLEDS at True Prior Day Settlement Prices Coming August 4, 2008.
Notice Date 2008-07-18
Notice Number 08-155
Effective Date 2008-08-03
At the request of firms, effective Sunday, August 3, 2008, for trade date Monday, August 4, 2008, the "prior day settlement" method of pricing SLEDS trades will anchor all SLEDS front month trade prices, regardless of product, to the prior day's actual settlement price in Clearing. The back month price, as always, will be equal to the front month trade price minus the differential price. This removes all rounding currently used when treasuries settle off the whole tick.