• CME Globex Notices: December 28, 2009

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20091228
      • Notice Date
      • 28 December 2009
    • Topics in this issue include:
      New Functionality
      Product Launch
      Product Changes
      Events and Announcements
      New Functionality

      NEW CME Equity Futures Enhancements
      Effective Sunday, January 31, 2010, CME Group will implement a number of internal improvements to the CME Equity futures and future spreads markets. These changes are expected to reduce iLink order entry round trip times approximately 20%.

      There will be no changes to functionality or messaging format with these performance improvements. Good 'Till Cancelled and Good 'Till Date (GTC/GTD) orders will not be impacted.

      Please contact your  CME Globex Account Manager with any questions or concerns at 312.634.8700.

      CBOT and CME Commodity and Weather, KCBT and MGEX Futures Enhancements

      Effective first quarter 2010, a number of enhancements will be introduced for CME and CBOT Commodity and Weather, Kansas City Board of Trade (KCBT) and Minneapolis Grain Exchange (MGEX) futures and future spreads on CME Globex.

      CBOT and CME Commodity and Weather, KCBT and MGEX Futures Enhancements

      Product Complex New Release Launch Production Launch
      CME Commodity and Weather Futures Available Now Sunday, March 7
      CBOT Commodity Futures
      KCBT Futures
      MGEX Futures
      Monday, January 11 Sunday, March 28

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

      CME Group recommends all system providers supporting Commodity futures test these changes thoroughly in New Release.

      Product Launches

      Long-Term U.S. Treasury Bond Futures and Intercommodity Spreads
      Effective Sunday, January 10 (trade date Monday, January 11), Long-Term U.S. Treasury Bond ("Ultra T-Bond") futures and intercommodity spreads will be listed for trading on the CME Globex platform. Calendar spreads and butterflies will also be available.

      Ultra T-Bond Futures and Spreads

      Product tag 55-Symbol tag 1151-SecurityGroup
      Ultra T-Bond futures ZB UB
      2-Year U.S. Treasury Note vs Ultra T-Bond TUL
      3-Year U.S. Treasury Note vs Ultra T-Bond TOU
      5-Year U.S. Treasury Note vs Ultra T-Bond FOL
      10-Year U.S. Treasury Note vs Ultra T-Bond NOL
      30-Year U.S. Treasury Note vs Ultra T-Bond BOB
      Ultra T-Bond vs 30-Year Interest Rate Swap UOS

      Recent fiscal policy has shifted toward increased issuance on the long end of the Treasury curve. In response to the demand from institutional investors with long duration needs, CME Group is launching these Long-Term U.S. Treasury Bond futures. Ultra T-Bond futures will be a natural complement to the U.S. Treasury futures complex, providing market participants with a more direct way to manage long-term risk and add duration to their portfolios.

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

      New Weekly OneChicago Single Stock Futures on CME Globex
      Effective Friday, January 15, 2009, new weekly single stock futures (SSF) from OneChicago will be available for trading on the CME Globex electronic trading platform.

      These contracts will be eligible for trading on Friday and will expire the following Friday, for a total of six trading days. Weekly contracts will not be listed for the week ending on the third Friday of the month, since that is the normal product expiration. The weekly SSFs will trade alongside the current standard, monthly products. Position rolling will not be allowed in these products.

      The tag 1151-SecurityGroup values will be constructed with the following weekly codes appended:

      • Week 1 – 5C
      • Week 2 – 6C
      • Week 3 – none
      • Week 4 – 7C
      • Week 5 – 8C

      The underlying stocks which will have the weekly expiring futures on them will be announced by OneChicago after the close of business of Wednesday, for launch that Friday. The initial weekly SSFs will be for Sears Holding and GE.

      Initial Weekly OneChicago SSFs

      Product tag 1151-SecurityGroup
      Week One Week Two Week Four Week Five
      Sears Holding SHLD5C SHLD6C SHLD7C SHLD8C
      General Electric GE5C GE6C GE7C GE8C

      These weekly SSFs are currently available for customer testing in New Release.

      Green Exchange Venture Products in New Release
      Following submission of an application and formal designation as a designated contract market, the Green Exchange Venture is proposing to launch as an independent exchange during 2010. The new exchange will be called the Green Exchange. Green Exchange products will trade via CME Globex and privately-negotiated transactions may be submitted for clearing through CME ClearPort. Upon designation and launch of the Green Exchange, a number of NYMEX emissions products currently listed on the CME Globex platform will be migrated to the Green Exchange.

      Upon launch, a number of NYMEX emissions products currently listed on the CME Globex platform will be migrated to the Green Exchange. These products will use the same SecurityGroup (tag 1151) as they do today; however the value in tag 207-SecurityExchange will be updated from XNYM to GREE. In addition, the value in tag 55-Symbol will be changed for the Green Exchange products.

      The FIX/FAST market data for these products will continue to be broadcast on channel 32 of the Market Data Platform, as it is today. With this launch, channel 32 will have market data for both NYMEX and Green Exchange products.

      Green Exchange Venture Futures in New Release

      Futures Tag 1151-SecurityGroup Current Tag 55-Symbol New tag 55-Symbol Current tag 207-SecurityExchange New tag 207-SecurityExchange
      Carbon RGGI Emissions RGI VO (v-oh) VX XNYM GREE
      SO2 Emissions RSN
      SO2 Emission 25-Allowance Current 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
      Annual NOX Vintage 2009 WWN
      Annual NOX Vintage 2010 YPN
      Annual NOX Vintage 2011 YQN
      Annual NOX Vintage 2012 YRN
      Seasonal NOX Vintage 2009 YIN
      Seasonal NOX Vintage 2010 YJN
      Seasonal NOX Vintage 2011 YKN
      Seasonal NOX Vintage 2012 YMN

      In addition, with this launch, three new options products will be listed for trading on the CME Globex platform.

      Green Exchange Venture Options in New Release

      Options Tag 1151-SecurityGroup Tag 55-Symbol Tag 207-SecurityExchange
      Carbon RGGI Emissions RGX GY GREE
      SO2 Emissions RSX
      SO2 Emissions 25-Allowance S2X

      These products will be available for customer testing in the New Release environment starting Monday, January 11.

      Product Changes

      Futures Calendar Spreads for NYMEX TAS Futures
      Effective Sunday, January 24 (trade date Monday, January 25), calendar spreads for the following NYMEX TAS futures will be listed for trading on the CME Globex platform.

      • Heating Oil TAS (tag 1151-SecurityGroup=HOT)
      • RBOB TAS (RBT)
      • Crude Oil TAS (CLT)
      • Natural Gas TAS (NGT)

      These calendar spreads will use the value EC in tag 762-SecuritySubType.

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

      FIX tag 55-Symbol Consolidation for FX Options
      Effective Sunday, January 24, the Symbol (FIX tag 55) for FX options will be consolidated:

      FX Options tag 55-Symbol Consolidation

      Product tag 1151-SecurityGroup tag 55-Symbol NEW tag 55-Symbol
      EUR/GBP European-style Weekly options XB# 1P XB
      CAD/USD options 6C OV XD
      CAD/USD European-style Weekly Options XD# 1D
      RMB/USD Weekly Options RB# 1R 0R
      RMB/EUR Options RME 2R
      RMB/EUR Weekly Options RE# 3R
      RMB/JPY Options RMY 4R
      RMB/JPY Weekly Options RN# 5R
      EUR/CHF Options RF RZ X8
      EUR/GBP Options RP OP
      PLN/EUR Options EPL RC
      ILS/USD Weekly Options IS# I1 I0
      JPY/USD Options 6J OJ XJ
      JPY/USD European-style Weekly Options #O 1O
      KRW/USD Weekly Options KR# 1K 0K
      CHF/USD Options 6S OF XS
      CHF/USD European-style Weekly Options XS# 0G

      These instruments with consolidated tag 55 values are currently available in New Release for customer testing.