• CME and CBOT SLEDS at True Prior Day Settlement Prices Coming August 4, 2008

      • To
      • Back Office Managers and Software Providers
      • From
      • CME Clearing
      • #
      • 08-155
      • Notice Date
      • 18 July 2008
      • Effective Date
      • 03 August 2008
    • 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.

       

      For the full text of this advisory, please click here.

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