Date:                                          August 10, 2006

Recipients:                                Members and Independent Software Vendors

Authorized by:                           Jeffrey S. Hersh

Title:                                          Firms May Now Choose Engine-Assigned e-cbot SLEDS Leg Prices

Action Date:                              August 21, 2006

Document Recommended for: All Departments

Related Bulletins:                     Bulletin #99/2006, Bulletin #95/2006, Bulletin #26/2006, Bulletin #12/2006

Attachment:                               n/a

SUMMARY:

CME Clearing House has released Advisory Notice #06-197 announcing firms will have the option of receiving leg prices assigned by e-cbot (engine-assigned leg prices) for their electronically-executed calendar spread trades in CBOT products.  By default, the clearing system will continue to ignore the engine-assigned leg prices and assign leg prices at the previous day’s settlement for the front leg, according to the leg-price assignment as contained in Bulletin #95/2006.  But firms may request that the clearing system not perform this assignment, and instead provide SLEDS leg prices as the same values provided by e-cbot.

This capability is now available for firm testing in the clearing certification environment.  To request that it be turned on for your firm, either for testing or in production, please contact CME Clearing via e-mail at ccs@cme.com or 312-207-2525.

A copy of the Advisory is available at http://www.cme.com/files/Chadv06-197.pdf.  For more information, please contact CME Clearing at 312-207-2525.

If you have any questions about this Bulletin, please contact your Key Account Manager.