|Topics in this issue include:
|Critical System Updates|
These changes and the new message templates are now available for customer testing in the New Release environment.
Order Status Enhancements
These enhancements provide:
A Client Impact Assesment is now available with detailed information. CME Group strongly recommends all front-end trading systems completely test the enhanced order status messaging in New Release, available now.
Implied Functionality Enhancements & Implied Treasury Intercommodity Spreads
With this launch, Eurodollar Pack Spreads, including Pack Butterflies, will support implied functionality for the first 10 years listed.
Customers and system providers are not required to certify for these enhancements; however, CME Group encourages all system providers to complete testing with these new instruments and functionality in the New Release environment starting September 11. The new implied intercommodity Treasury spreads will be available in New Release on September 29.
A Client Impact Assesment is now available with detailed information.
Risk administrators will be able to define trading limits and select real-time actions if those limits are exceeded, including:
CME Globex Credit Controls functionality will be made available in two phases.
The new OIS futures will track the overnight effective Federal Funds rate, a major benchmark for the U.S. short-term interest rate market. The contract will reflect the Federal Funds rate compounded over a three-month period that ends on the contract's expiration date. Because the OIS futures contract will cover the same time period as a Eurodollar future, the contract will provide market participants with a direct and efficient way to trade the spread between 3-month LIBOR and 3-month overnight financing costs.
Calendars, packs and bundle spreads will also be available for trading with this launch, along with intercommodity spreads for OIS vs. Eurodollar futures.
†MY = maturity Month and Year
These products are currently available in New Release for customer testing.
These new futures will provide even more flexibility in developing risk management and trading strategies for the medium term sector of the yield curve. In addition, the launch of 7-Year Interest Rate Swap futures offers spread opportunities with 10-Year Treasury Note futures, which will be enhanced by the November introduction of implied intercommodity spreads for U.S. Treasury and CBOT Interest Rate Swap futures.
Reduced tick calendar and butterfly spreads will also be available for trading with this launch.
†MY = maturity Month and Year
These products will be available for customer testing in New Release this Monday, September 8.
NYMEX LCH ECM & MTF Products on CME Globex
This historic alliance will deliver improved capital and operational efficiencies through wider execution capabilities, broader credit intermediation and margining benefits for customers and market participants.
More information on the arrangement and benefits for market participants is available at www.nymexonlchclearnet.com.
Please note: the NYMEX ECM contracts require development to support trading of these unique products. Detailed development information is available in the NYMEX ECM and NYMEX MTF Products on CME Globex Client Impact Assessment. The complete lists of new products are available in the NYMEX ECM Snapshot and NYMEX MTF Snapshot.
These products are currently available for customer testing in the New Release environment. The mock trading session previously scheduled for June 28 has been cancelled. End-to-end testing to the LCH Clearing House is available in the New Release environment for configured customers. Please contact CSET at 312.930.2322 or your CME Globex Account Manager at 312.634.8700 to be configured.
FX Strike Harmonization
The expanded strike listings will provide greater flexibility for customer strategies focused on out-of-the-money options. This change will also provide a consistent quoting surface across CME Globex European- and American-style options, and across the same options traded electronically and via open outcry.
In addition, the listed strikes will be reduced to ATM ± 2 for all of the following options on FX cross rate futures:
These changes are now available for customer testing in New Release.
Russell 2000 Future Extension of CME Globex Listing for September 2008
Termination of trading for the Russell 2000 futures on CME Globex will be the same as the E-mini Russell 2000 futures and options - 8:30 a.m. CT on Friday, September 19, 2008. For more information, please contact:
Equity Options Strike Changes
These options will be available for customer testing in New Release Monday, September 8.
|Events & Announcements|
CME Group - BM&FBOVESPA Mock Trading Session
Mock trading accounts, broker requirements and credit controls configuration details will be published by BM&FBOVESPA to the brokerage community next week. English-language versions will also be available in the Documents section of the joint web site.
More information on the CME Group and BM&FBOVESPA partnership is available online. The Client Overview, with development and certification information to support CME Globex-BM&FBOVESPA order routing, is also available.
Please contact your CME Globex Account Manager at 312.634.8700 with any questions.
The mandatory certification for FIX/FAST can be completed through AutoCert+ in Certification. More information is available in the AutoCert+ User Guide. FIX/FAST is currently available for customer testing in the New Release and Certification environments.
After October 17, support surcharges will be assessed for each site still receiving RLC format market data:
The legacy RLC format market data will be eliminated no later than the end of December 2008. Please note that we cannot extend RLC broadcast beyond the December deadline, due to internal system dependencies. The FIX/FAST Software Development Kit, including Market Data Platform channel definitions and reference code, is available online.
Production Market Data Platform Channel Information Now Available
Information on accessing production FIX/FAST channels and templates is available in the Core Functionality module of the FIX/FAST SDK.
Saturday FIX/FAST Testing
There will be no replay window on Saturday, September 20.
The data disseminated during each Saturday's replay window will be captured during the prior mid-week trading.
CME Group recommends all system providers purge and reload their instrument databases every week. To support testing during these replay windows, the FIX/FAST Security Definition (tag 35=d) and RLC Instrument Creation (MO) messages from the prior week will be available on the instrument definition channels each Saturday morning starting at 10:00 a.m.
Support will be available; customers may call 312.715.6003 with any questions during the replay windows.
The attached market data channels for FIX/FAST and RLC formats will be available.
Please contact your CME Globex Account Manager with any questions at 312.634.8700; in Europe at +44.20.7796.7100; or in Asia at +852.3101.7696.