LIFFE CONNECT^® will allow Reduced Tick Spread calendar spreads in addition to normal calendar spreads within the same product. For example, the outright months and strategy markets in one product will trade in 1/32, while the reduced tick spread market will trade in ¼ of 1/32. The Reduced Tick Calendar spread markets will function in much the same way as a normal Calendar Spread markets on the LIFFE CONNECT^® platform.  Traders subscribed to the physical commodity will receive notification of new Reduced Tick calendar spreads being created and, should they trade, they will also receive notification of the last traded price and volume.  This will include the leg prices and volumes, all without having to explicitly subscribe to the new contract. Reduced Tick Spread markets will have a recognized strategy code of ‘Z’.

Reduced tick spread products:

• US Treasury Bond Futures 
• 10 Year Treasury Note Futures
• 5 Year Treasury Note Futures
• 2 Year Treasury Note Futures 
• 10 Year Interest Rate Swap Futures 
• 5 Year Interest Rate Swap Futures
• mini-sized Dow and Big Dow* 

* Reduced Tick Calendar Spreads for mini-sized Dow and Big Dow do not actually trade in reduced ticks, but use Strategy Code Z to enable Single Line Entry Differential Spread (SLEDS) pricing.

Reduced tick spreads will:

• Send volume updates for trades to the outright legs
• Trade in the same denominator as the other strategies and outrights
• Reference to legs for the calculation of the strategy leg prices
• Use a different price format from that used in the other strategies and outright months  

Reduced tick spreads will not:

• Support implied in and out prices 
• Settle in a tick size less than the outright markets

The following additional information is available regarding SLEDS pricing for CBOT Products.

e-cbot Bulletin # 100/2006 
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.

e-cbot Bulletin # 95/2006 
CME Clearing House has released Advisory Notice #06-189 announcing an Upcoming Change to Simplify Leg-Price Assignment for CBOT^® Treasury Products.  Effective Monday, August 14^th, changes will be made to the way leg-prices are assigned SLEDS for CBOT Treasury Products.