• CME Globex Notices: July 6, 2009

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20090706
      • Notice Date
      • 06 July 2009
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements


      Critical System Updates

      New FIX/FAST Template and ITC 2.1 Decommission
      To allow more time for customer testing, the FIX/FAST enhancements scheduled to launch this weekend have been postponed. The new launch date will be announced in the CME Globex and Market Data Notices. Information on current testing opportunities and required customer actions are detailed below.

      CME Group has published a new FIX/FAST template in production for the X message, with the new tags for:

      • Theoretical Settlement Data Block
      • Open Interest Data Block
      • Cleared Volume Data Block
      • Fixing Price Data Block

      These tags are not published in production on any of the existing channels. However, CME Group recommends customer systems pull the templates from the  CME Group ftp site every week, prior to Sunday start.

      The template.xml file on the CME Group ftp site includes the new template for the X message, template ID 77. Customers who download the templates every week, as recommended by CME Group, will be able to test the new data blocks on the new Market Data Platform channels.

      All existing channels will continue to use their current templates.

      Testing FIX/FAST market data with New Data Blocks
      Market data messages with the new tags are published in production on two new Market Data Platform channels. These parallel channels 7, CME Equity futures, and 11, CME FX futures. To test with these new channels, customers must download the new template for the X message.

      The configuration information for these two parallel channels is:

      ID Feed Multicast Port Source IP
      Mirror 7 A 224.0.26.59 10301 65.164.7.45
      65.164.7.46
      B 224.0.27.58 10301 209.133.24.54
      209.133.24.55
      Snapshot 7 A 224.0.26.66 11301 65.164.7.34
      65.164.7.35
      B 224.0.27.59 11301 209.133.24.15
      209.133.24.16
      Mirror 11 A 224.0.26.71 10311 65.164.7.45
      65.164.7.46
      B 224.0.27.71 10311 209.133.24.54
      209.133.24.55
      Snapshot 11 A 224.0.26.72 11311 65.164.7.40
      65.164.7.41
      B 224.0.27.72 11311 209.133.24.49
      209.133.24.50

      The information for these new channels is not available in the config.xml file.

      Testing New Data Blocks Only

      Customers can test these new data blocks and the template for the enhanced Incremental Refresh messages in Certification, on a new Market Data Platform Channel. This channel in certification publishes only the new data blocks; normal FIX/FAST market data is not available. Customers must access the new channels in production to receive the full complement of FIX/FAST market data, including the new data blocks.

      Feed Multicast Port Source IP
      A 224.0.25.86 15026 10.132.19.65
      B 224.0.25.211 15026 10.132.19.72

      More information on these changes to the Incremental Refresh messages, and the elimination of ITC 2.1, is available  online.


      iLink Infrastructure Changes and Performance Enhancements
      CME Group is implementing an iLink infrastructure upgrade to the CME Globex electronic trading platform that will result in reduced message response times. Already among the fastest in the industry, this upgrade is expected to ultimately reduce average round trip times by 10%. As a result, bandwidth utilization is expected to increase by as much as 10%. This upgrade is designed to enhance our liquid, efficient and competitive marketplace for participants worldwide.

      To reduce market risk, the upgrades will be phased in over 3 weekends, July 10 through July 24.

      Please contact your  CME Globex Account Manager with any questions; or the CME Globex Control Center at 312.456.2391.


      Elimination of Exchange-Defined Options Strategies on CME Globex
      To allow more time for trader education and systems’ readiness, CME Group has postponed the planned delisting of all options EDS until November 1, 2009.

      CMEG currently prelists approximately 360,000 options spreads per week, known as Exchange-Defined Spreads (EDS). Less than 1% of the more than 360,000 EDS have activity. Due to customer and system provider demand, CMEG has chosen to remove all EDS and make all option strategies user defined. A User-Defined Spread (UDS) is an option spread that a trader creates by defining the spread's legs and ratios. CME Globex receives these legs and creates a tradable instrument that is disseminated to the entire market. If the created spread matches a known CMEG spread type (e.g., straddle), CME Globex will properly identify the spread as that type.

      This Sunday, July 12:

      • CMEG will delist the all options EDS for the following products:
        • Euroyen
        • Euroyen MidCurve
        • E-mini S&P SmallCap 600
        • Hardwood Pulp

      On November 1:

      • CMEG will add the following recognized UDS spread types: Jelly Roll, Iron Butterfly, Guts, 3-way Straddle vs. Call, and 3-way Straddle vs. Put
      • CMEG will no longer pre-list any options spreads. Existing EDS will be removed, and no new EDS will be added. All option spreads must be created by traders using their trading software’s UDS functionality.
      • All system providers that support option spreads must have developed to the UDS functionality properly identifying UDS' that match CMEG recognized spread types
      • Currently available in New Release

      The following resources are available for UDS functionality:

       

      New Functionality

      Equity Futures Enhancements
      In the second half of 2009, a number of enhancements will be introduced for CME and CBOT Equity futures and future spreads on CME Globex.

      This launch will also result in reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce response times by 20 - 40% for CBOT Equity futures, and 40-50% for CME Equity futures.

      Please note: as a result of the reduced message response times, bandwidth utilization in these futures markets may ultimately increase by as much as 20%.

      Title

      Futures Product Complex New Release Launch Mock Trading Session Production Launch
      CBOT Equity Futures Available now Saturday, August 22 Sunday, August 30
      CME Equity Futures Monday, August 3 Saturday, September 26 Sunday, October 4

      The messaging and functionality impacts are documented online in the   Client Impact Assessment.

      Please note: all Equity Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders will be deleted from CME Globex prior to the open on launch weekend.

      We recommend all system providers supporting Equity futures test these changes thoroughly in New Release.

      Product Launches

      Options on 5-, 7-, 10- and 30-Year Interest Rate Swap Futures
      Effective this Sunday, July 12, 2009 (trade date Monday, July 13), options on the 5-, 7-, 10- and 30-Year Interest Rate Swaps will be launched on the CME Globex platform.

      Options on swap futures will be a valuable addition to the risk management toolbox, providing market participants an effective vehicle for hedging medium and long term interest rate exposure and backed by the proven strength of CME Clearing. Options on 5-, 7-, 10- and 30-Year Swap futures will replicate the European-style convention of over the counter (OTC) swap options, with exercise taking place only at expiration, providing market participants with a familiar tool that has the added benefits of central counterparty clearing. More information is available  online.

      Options on Interest Rate Swap Futures

      Options tag 1151-SecurityGroup Outrights
      tag 55-Symbol
      UDS
      tag 55-Symbol
      5-Year Interest Rate Swaps OSA Y5 AT
      7-Year Interest Rate Swaps O7I
      10-Year Interest Rate Swaps OSR
      30-Year Interest Rate Swaps OI3

      These options are currently available in New Release for customer testing.


      European Union Allowance and Certified Emission Reduction Futures
      Effective this Sunday, July 12, 2009 (trade date Monday, July 13), European Union Allowance and Certified Emission Reduction futures will be listed for trading on the CME Globex platform.

      In the European Union, large emitters of carbon dioxide are required to monitor their CO2 emissions and report them to their government. They receive a predetermined number of allowances that corresponds to their level of emissions. If they have more allowances than they need for compliance, they can sell those in a secondary market like the one this EUA product offers or bank them for future compliance purposes. CERs are emission reduction credits issued by the Clean Development Mechanism Executive Board that was established with the Kyoto Protocol. Taking positions in these CER contracts can lead to the delivery of the underlying credits, which can be used by emitting companies to comply in part with their emission caps.

      It is intended that these products will be listed for trading as part of the  Green Exchange venture once that venture has sought and achieved appropriate regulatory status. The Green Exchange venture will be working with U.S. and European regulators and intends to seek recognition in the U.S. as a designated contract market and approval from the FSA in the U.K. CME Group is one of the founding members of Green Exchange Holdings LLC.

      Emissions Futures

      Future tag 1151-SecurityGroup tag 55-Symbol
      European Union Allowance EAF VO
      Certified Emission Reduction CRE

      These futures are currently available for customer testing in New Release.


      NEW Sulfur Dioxide Futures
      Effective Sunday, July 26 (trade date Monday, July 27), Sulfur Dioxide (SO2) emission 25-allowance futures will be listed for trading on CME Globex.

      The CME Globex product codes for these futures will be:

      • SO2 Emission 25-allowance Non-Vintage: SNV
      • SO2 Emission 25-allowance Vintage 2010: V10
      • SO2 Emission 25-allowance Vintage 2011: V11
      • SO2 Emission 25-allowance Vintage 2012: V12
      • SO2 Emission 25-allowance Vintage 2013: V13
      • SO2 Emission 25-allowance Vintage 2014: V14

      They will be listed with tag 55-Symbol=VO.

      The Environmental Protection Agency's (EPA) Clean Air Act Amendments of 1990 set a goal of reducing annual sulfur dioxide emissions. Reductions in SO2 emissions are facilitated through a market-based cap and trade system - the centerpiece of the EPA's Acid Rain Program. The new sulfur dioxide contracts will allow more flexibility in trading attributable to the vintage mechanism of this product. Compliance emitters under the EPA's Program can now have physically delivered previous vintage SO2 certificates for compliance purposes.

      The contracts will be 25 SO2 emission allowance units in size with a minimum price fluctuation of $0.10 per SO2 emission allowance ($2.50 per contract). The first listed month will be the August 2009 contract. Contracts without a specified vintage year will be listed for 36 consecutive months. Contracts with a specified vintage year will be listed for two front months and two front Decembers.

      The new SO2 emission 25-allowance futures will be available for customer testing in New Release Tuesday, July 21.


      NEW New Options on Commodity Futures Calendar Spreads
      Effective Sunday, July 26 (trade date Monday, July 27), options on the following commodity futures calendar spreads will be available on CME Globex for trading.

      In addition, with this launch the strike interval for all longer-dated Commodity calendar spread options on Corn, Wheat and Soy beans, will be changed to 5 cent increments.

      These products are options on the price differential between two contract months, rather than on the underlying asset itself. Therefore, they offer alternative hedging capabilities compared to standard options, and can provide a more precise hedge against adverse movements in price spreads in the grain and oilseed markets. Calendar spread options are sensitive only to the value and volatility of the spread itself, rather than the price of the underlying commodity. They are more efficient than combining options on 2 different months in an effort to replicate the spread, and provide a better risk management device for hedgers and market participants exposed to calendar spread risks.

      Additional Options on Commodity Futures Calendar Spreads

      Futures Calendar Spread tag 1151-SecurityGroup
      Dec-July Corn CZ8
      Dec-Dec Corn 12C
      July-Dec Wheat WCM
      July-July Wheat 12W
      Jan-May Soybean SZK
      Nov-July Soybean SZ9
      Nov-Nov Soybean 12S

      These options will be listed with the futures calendar spread as the indicated underlying. In line with the current listing of Eurodollar calendar spread options, there will not be a synthetic future listed. These options will support zero and negative strike prices.

      These additional options on Commodity futures calendar spreads will be available for customer testing in New Release Monday, July 13.


      Implied Intercommodity Soybean Crush Future Spread
      Effective Sunday, August 2 (trade date Monday, August 3), implied intercommodity Soybean Crush futures spreads will be listed for trading on CME Globex.

      Implied intercommodity spreads are an exchange-defined spread type created to address specific trader requirements for flexibility in spread trading different instruments. Soybean Crush spreads allow traders to better manage risk using combined components of the Soybean, Soybean oil and Soybean meal markets in a single instrument. The spread is constructed as follows:

      • First leg: 11 Soy Meal futures contracts
      • Second leg: 9 Soy Oil futures contracts
      • Third leg: 10 Soy Bean futures contracts

      The spread price will be anchored to the current market price of the Soy Meal futures and will be calculated: (leg 1 * 0.22) + (leg 2 * 0.11) - leg 3.

      The implied Soybean Crush spreads will use the new value SI (ess-eye) in tag 762-SecuritySubType and will be listed with tag 55-Symbol=ZS.

      Soybean Crush spreads are currently available for customer testing in New Release.

      Product Changes

      FIX tag 55-Symbol Consolidation for Weather Futures and Spreads
      Effective this Sunday, July 12, the Symbols (FIX tag 55) for the Weather complex futures will be consolidated as follows:

      Weather Futures tag 55-Symbol Consolidation

      Product Current tag 55 New tag 55
      Canadian Heating Degree Days (HDD) A2 HW
      European & Asian HDD D0, D3
      US HDD H0, H5
      European & Asian Cumulative Average Temperature (CAT) G0, G3
      US Cooling Degree Days (CDD) K0, K5, KW
      Canadian CDD P2

      These instruments with the new tag 55 are currently available in New Release for customer testing.


      NEW Listing Changes for Energy Futures
      Effective Sunday, July 19 (trade date Monday, July 20), in all customer-facing environments, the following listing changes will be implemented for energy futures on CME Globex.

      • Listing range reduced from 36 to 12 months
        • Gulf Coast Gasoline (LR)
        • Gulf Coast ULS Diesel (LU)
        • NY Harbor ULS Diesel (LH)
        • NYMEX Ethanol (QEN)
      • Delisting intercommodity spreads
        • Gulf Coast Gasoline vs Crude Oil crack spread (LR:CL)
        • Gulf Coast Gasoline vs RBOB spread (LR:RB)
        • Gulf Coast Gasoline vs Gulf Coast ULS Diesel spread (LR:LU)
        • Gulf Coast ULS Diesel vs Crude Oil crack spread (LU:CL)
        • Gulf Coast ULS Diesel vs Heating Oil spread (LU:HO)
        • NY Harbor ULS Diesel vs Crude Oil crack spread (LH:CL)
        • NY Harbor ULS Diesel vs Heating Oil spread (LH:HO)

      FIX tag 55-Symbol Consolidation for SPCTR Futures
      Effective Sunday, July 26, the Symbol (FIX tag 55) for the Financial and Technology SPCTR futures and future spreads will be consolidated:

      SPCTR Complex Futures Symbol Consolidation

      Product tag 1151-SecurityGroup Current
      tag 55-Symbol
      New
      tag 55-Symbol
      Financial SPCTR futures & spreads FIN FS FS
      Technology SPCTR futures & spreads TEC TS FS

      These instruments with the new tag 55 will be available in New Release for customer testing Monday, July 13.


      NEW Minimum Tick Increase for 30-Year U.S. Treasury Bond Futures
      Effective Sunday, August 30, the minimum trading tick for 30-Year U.S. Treasury Bond futures will be increased from the current 1/2 of 1/32nd to a full 1/32nd.

      This change only affects the outright futures. There is no change to the minimum trading tick for the futures spreads.

      Increasing the tick size is designed to broaden participation from active traders who provide much-needed liquidity to this important sector of the Treasury market. For more information about the tick size change, please visit  www.cmegroup.com/ir.

      These futures with the new tick increment will be available for customer testing in New Release on Monday, August 17.

      Events & Announcements

      CME Globex Disaster Recovery Connectivity Testing
      Saturday, July 11, is the monthly CME Globex DR Connectivity test. The testing is designed to ensure that customers can establish a connection to the DR environment in case of an emergency.

      Customers are required to register in advance to participate  online. Disaster Recovery IPs and ports have been distributed by your CME Globex Account Manager.

      Complete information on the CME Group business continuity program and the CME Globex DR Connectivity testing, including testing session dates, is available  online. CME Group encourages all directly connected customers review the  DR Client Overview.

      Twice a year, CME Group offers Simulated CME Globex DR testing and the next such test is scheduled for Saturday, September 19.

      The Simulated CME Globex DR testing is designed to ensure that customers can successfully failover to the DR environment, send orders and fallback to the production environment in case of an emergency. For more detailed information on the Simulated CME Globex DR testing, please contact your  CME Globex Account Manager.