GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | Leg Execution Reports for CME Libor-Eurodollar Inter-Commodity Spreads
Notice Date | 2006-04-20
Notice Number | 042006b
Effective Date | 2006-04-20
Dear CME Globex Customers, Effective Sunday, May 7, 2006 (for trade date Monday, May 8), to further enhance the transparency of the electronic market, leg execution reports will be disseminated for the CME Libor-Eurodollar inter-commodity spread (LEDS). To facilitate this enhancement to the LEDS, CME will cancel all GTC and GTD orders at the close of trading, and replace the current instrument group code "LD" with the new instrument group code "EM" on Friday, May 5. Customers will need to reload the LEDS contracts from the CME market data Instrument Creation (MO (m-oh)) message on Sunday, May 7. As a reminder, position 777 of the MO message indicates whether a product will return legs and create implied orders. For more information, please see CME Market Data Platform Message Specifications, page 30, or CME Market Data API Message Specifications, page 64. If you have any questions or concerns, please contact Peter Barker, CME Interest Rate Products, at 312.930.8554; or your CME Globex Account Manager at 312.634.8700, or in Europe at +44.207.623.2550. Thank you, CME ©2006 Chicago Mercantile Exchange Inc (CME). All rights reserved. The Globe Logo, Globex® and CME® are trademarks of CME