• CME Globex Notices: October 8, 2012

      • To
      • CME Globex Customers
      • From
      • Global Account Manangement
      • #
      • 20121008
      • Notice Date
      • 08 October 2012
    • Topics in this issue include:
      Critical System Updates
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      Update CME Globex Performance Release
      New information is now available in the  Client Impact Assessment on the move to single IP for iLink sessions in the production and disaster recovery environments. Information on the iLink launch date for the Disaster Recovery environment on November 4, 2012, is also available.

      CME Group is implementing iLink and FIX/FAST infrastructure upgrades to the CME Globex electronic trading platform that will result in reduced message response times and faster market data messaging. This release is expected to significantly reduce iLink round trip times and improve FIX/FAST performance. As a result, bandwidth utilization is expected to increase by 10-20%.

      This release also features iLink messaging changes. Detailed information on this launch, including impacts, launch schedules and fallback procedure, is available in the  Client Impact Assessment.

      An   overview of the mock trading sessions is now available. Customers must register  online to participate.

      Customer certification is not required, but CME Group strongly recommends all system providers test these changes thoroughly in New Release. Good 'Till Cancelled and Good 'Till Date (GTC/GTD) orders will not be impacted.

      For an overview of the Globex Performance Release, please see the  CME Globex Technology Update 2012 webinar or the  presentation is also available.

      Starting on Monday, September 24 through Saturday, October 13, CME Group will have a full technology freeze. The freeze applies to the following:

       

      • New iLink session requests
      • Drop Copy additions
      • New Cancel on Disconnect (COD) configurations
      • COD configuration changes
      • New EOS Trader IDs
      • New CME Direct IDs

      Please contact your  Global Account Manager with any questions or concerns in the U.S. at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5574 for additional information.

      NEW CME Globex Performance Release in Certification Environment
      Effective Monday, October 22, 2012, CME Globex Performance Release will launch in Certification environment. This launch will include a small number of   iLink Messaging changes and FIX/FAST source IP address changes. The new source IPs will be available in the  config.xml.

      In addition, the FIX/FAST multicast source IP addresses and ports for AutoCert+ in the Certification environment will be changed. Customers using AutoCert+ in the Certification environment should download the new   AutoCert+ config.xml.

      If you have any questions, please contact CSET at 312-930-2322.


      Update  FIX/FAST Operators Release
      The removal of the operators previously scheduled for Sunday, October 21, has been postponed to Sunday, November 18.

      The life cycle of the FIX/FAST protocol, including streamlined FIX/FAST, is rapidly approaching its end as an industry standard in the United States. †The OPRA connected exchanges are eliminating FIX/FAST entirely by the end of this year. Given the increased availability of bandwidth as well as high speed connections such as co-location, compression has become less critical. In the short term, we are removing certain field operators (copy, default, delta and increment) from our data feed. In the longer term, CME Group continues to evaluate a next generation market data protocol.

      These operators will be removed from all production FIX/FAST and streamlined FIX/FAST channels on the Market Data Platform by Sunday, November 18, 2012. A detailed schedule of the remaining channels is now available  online.

      New templates will be required for the impacted channels. Per the normal process, the new templates are currently available on the CME Group ftp site for New Release and Production, along with the current and last generation templates. More information on template management is available in the  Client Systems Wiki.

      The current Production channels without operators will also be available in the Certification environment.

      Please Note: CME Group recommends customer systems pull the templates from the CME Group ftp site every week, prior to Sunday startup.

      These changes are currently available on all FIX/FAST channels in the New Release environment.

      As a result of this launch, bandwidth utilization over the Market Data Platform will ultimately increase. CME Group is contacting customers who may have over-subscription risk.

      †Please note: CME Group is not a member of the Options Pricing Reporting Authority (OPRA).

      Product Launches

      Energy Futures and Options
      Effective this Sunday, October 14 (trade date Monday, October 15),   55 energy futures and options will be listed for trading on CME Globex pending regulatory review periods.

      Settlement prices will be published for the synthetic futures to support customer options pricing models .

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

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.


      Natural Gas Futures and Spreads
      Effective this Sunday, October 14 (trade date Monday, October 15), (trade date Monday, October 15),natural gas futures, futures strips and intercommodity spreads will be listed on CME Globex pending regulatory review periods. A complete list product names and codes are available  online.

      With this launch, the following new spread types will be introduced.

      • Futures Strip Spread (tag 762-SecuritySubType=SA)
      • Balanced Strip Spread (tag 762-SecuritySubType=SB)
      • Unbalanced Strip Spread (tag 762-SecuritySubType=WS)
      • Inter-commodity Strip Spread (tag 762-SecuritySubType=XS)

      Detailed descriptions of these spread types are available  online.

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

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.


      Decay Power Futures
      Effective this Sunday, October 14 (trade date Monday, October 15), three decay power futures will be listed for trading on CME Globex pending regulatory review periods.

      Decay Power Futures

      Product tag 1151-SecurityGroup tag 55-Symbol
      PJM Peak Calendar-Month LMP Swap Futures JML PW
      PJM Northern Illinois Hub Peak Calendar-Month LMP Swap Futures UML PW
      PJM AEP Dayton Hub Peak Calendar-Month LMP Swap Futures VML PW

      Prior to the start of the month corresponding to the contract expiration month, decay products behave like an ordinary variable size contract. During their delivery month, the contract value is decremented daily; the decay start date and decrement amount is included in two new tags in the Security Definition message. Thus, the contract size and the cleared quantity for the delivery month will decrease, day by day, as the expiration of the contract approaches. Detailed information regarding these contracts is available in the  Client Impact Assessment.

      The two new tags, 5818-DecayQuantity and 5819-DecayStartDate, are available now in the production FIX/FAST templates. No template updates are required.

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

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.


      Power Futures
      Effective this Sunday, October 14 forty-five power futures will be listed for trading on CME Globex pending regulatory review periods. A complete list product names and codes are available  online.

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

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.


      USD-Denominated Ibovespa Futures
      Effective Sunday, October 21 (trade date Monday, October 22), the USD-Denominated Ibovespa futures (tag1151-SecurityGroup=IBV, tag 55-Symbol=IB) will be listed for trading on CME Globex.

      The USD-Denominated Ibovespa futures are a cross-listing arrangement between CME Group and BM&FBOVESPA (BVMF) involving S&P 500 Index and Bovespa Index (IBOVESPA) futures. This new cross-listing arrangement provides our customers access to Brazil's key benchmark equity index futures product.

      CME Group will calculate the price limits daily for the USD-Denominated Ibovespa futures. The daily price limits will be equal to the prior day BVMF Ibovespa futures settlement price ±10% the prior day settlement price at BVMF.

      Customers are strongly encouraged to utilize Security Status (tag 35-MsgType=f) to obtain the daily price limits (tag 332-HighPx; tag 333-LowPx) to avoid rejection of orders that breach price limit thresholds.

      Customers may also obtain the daily price limits of the Security Definition (tag 35-MsgType=d) from the instrument replay feed (tag 1149-HighLimitPrice; 1150-LowLimitPrice).

      Please note the opening time of USD Denominated Ibovespa futures will vary throughout the year due to Daylight Saving Time changes in Brazil and Chicago.

      The USD-Denominated Ibovespa futures are currently available in New Release for customer testing.

      These contracts are listed with, and subject to, the rules and regulations of CME.


      NEW Fifth Month Lean Hog Calendar Spread Option (CSO)
      Effective Sunday, November 4 (trade date November 5), the fifth month on Lean Hog calendar spread options (CSO) (tag 1151-SecurityGroup=B0E (B-zero-E), tag 55-Symbol=2H) will be listed for trading on CME Globex.

      In addition, a new synthetic future will be launched for the options on fifth month Lean Hog future calendar spread.

      The new future will have tag 1151-SecurityGroup=Y05 and tag 55-Symbol=05. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

      The options (tag 1151=B0E>) will identify Y05 as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

      These products will be available in New Release for customer testing on October 22.

      This contract is listed with, and subject to, the rules and regulations of CME.


      Update Deliverable Interest Rate Swap Futures
      Effective Sunday, November 11 (trade date Tuesday, November 13), USD Interest Rate Swap futures will be listed for trading on CME Globex.

      The   USD Interest Rate Swap futures will be listed for quarterly expiration on IMM dates, for physical delivery of OTC US dollar interest rate swaps at key terms to maturity (2, 5, 10, 30 years). Contracts will be quoted on a price basis, with a fixed coupon for each contract that is set by the Exchange when the contract is listed for trading. At expiration the holder of a long futures position will become the fixed rate receiver and floating rate payer in an OTC interest rate swap cleared by CME Clearing.

      Deliverable USD Interest Rate Swap Futures and Intercommodity Spreads

      Product tag 1151-SecurityGroup tag 55-Symbol
      30-Year USD Interest Rate Swap Futures B1U ZB
      10-Year USD Interest Rate Swap Futures N1U ZB
      5-Year USD Interest Rate Swap Futures F1U ZB
      2-Year USD Interest Rate Swap Futures T1U ZB
      30-Year Treasury Bond Futures vs. 30-Year USD "Deliverable" Interest Rate Swap Futures ZB ZB
      10-Year Treasury Note Futures vs. 10-Yr USD "Deliverable" Interest Rate Swap Futures ZN ZB
      5-Year Treasury Note Futures vs. 5-Year USD "Deliverable" Interest Rate Swap Futures ZF ZB
      2-Year Treasury Note Futures vs. 2-Year USD "Deliverable" Interest Rate Swap Futures ZT ZB
      30-Year "Financial" Swap Futures vs. 30-Year USD "Deliverable" Interest Rate Swap Futures I3 ZB
      10-Year "Financial" Swap Futures vs. 10-Year USD "Deliverable" Interest Rate Swap Futures SR ZB
      5-Year "Financial" Swap Futures vs. 5-Year USD "Deliverable" Interest Rate Swap Futures SA ZB

      These futures and intercommodity spreads will be available in New Release for customer testing on Monday, October 22.

      These contracts are listed with, and subject to, the rules and regulations of CBOT.


      Standard-Size and E-micro USD/Offshore RMB (CNH) Futures
      Effective Sunday, November 18 (trade date Monday, November 19), standard-size and E-micro USD/Offshore RMB (CNH) futures will be listed for trading on CME Globex.

      These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH), priced in interbank terms of Chinese Renminbi per U.S. dollar and associated daily settlement variation banked in Chinese Renminbi offshore in Hong Kong. The new CME USD/CNH futures will help international market participants hedge their U.S. dollar risk exposure to the deliverable Chinese currency.

      Standard-Size and E-micro USD/Offshore RMB (CNH) Futures

      Product tag 1151-SecurityGroup tag 55-Symbol
      USD/CNH Futures CNH UR
      E-Micro USD/CNH Futures MNH UR

      These futures will be available in New Release for customer testing on Monday, October 22.

      This contract is listed with, and subject to, the rules and regulations of CME.

      Product Changes

      NEW Revised Energy Futures and Options Product Name
      During the week of October 15, 2012, several energy futures and options will be renamed to remove "Swap" from the product name. A detailed product list is available  online.

      Please note: These change are administrative only and will not impact the structure of the contracts.

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.


      Maximum Order Quantity Changes for Treasury Futures and Calendar Spreads
      Effective Sunday, October 21 (trade date Monday, October 22), the maximum order quantity for Treasury futures and calendar spreads will be changed as follows:

      Outright Futures:

      • From 30,000 to 19,999 contracts for:
        • 2-Yr. U.S. Treasury Note (tag 1151-SecurityGroup=ZT, tag 55-Symbol=ZB)
        • 5-Yr. U.S. Treasury Note (tag 1151-SecurityGroup=ZF, tag 55-Symbol=ZB)
        • 10-Yr U.S. Treasury Note (tag 1151-SecurityGroup=ZN, tag 55-Symbol=ZB)
        • U.S. Treasury Bond Futures (tag 1151-SecurityGroup=ZB, tag 55-Symbol=ZB)
        • Ultra U.S. T-Bond futures (tag 1151-SecurityGroup=UB, tag 55-Symbol=ZB)

      Calendar Spreads:

      • From 30,000 to 29,999 contracts for the entire Treasury futures complex.

      The maximum order quantity for every instrument listed on CME Globex is identified in tag 1140-MaxTradeVol, in the Security Definition (tag 35=d) message.

      Customers are strongly encouraged to utilize tag 1140-MaxTradeVol, in the Security Definition (tag 35=d) message to obtain the maximum trading volume to avoid rejection of orders that breach maximum trading volume thresholds.

      The maximum order quantity changes are currently available in New Release for customer testing.

      These contracts are listed with, and subject to, the rules and regulations of CBOT.


      NEW Daily Price Limit Changes for Nonfat Dry Milk and Dry Whey Futures
      Effective Sunday, October 28 (trade date Monday, October 29), daily price limits will be increased for Nonfat Dry Milk (tag-1151 SecurityGroup=GNF, tag-55 Symbol=DC) and Dry Whey (tag-1151 SecurityGroup=DY, tag-55 Symbol=DY) futures as follows:

      Nonfat Dry Milk:
       

      • Daily price limits will be increased to 4 cents per pound, with the expandable limit increasing to 8 cents per pound. Currently, the price limit is 2.5 cents per pound, with an expandable limit 5 cents per pound.

       

      Dry Whey:
       

      • Daily price limits will be increased to 6 cents per pound with the expandable price limit increasing to 8 cents per pound, with the expandable price increasing to 12 cents per pound. Currently, the daily price limit is 4 cents per pound with an expandable limit 6 cents per pound.

       

      The new price limits will be available in New Release for customer testing on Monday, October 22.

      These contracts are listed with, and subject to, the rules and regulations of CME.


      NEW CME Globex Equity Index Trading Hours and Daily Price Limit Changes for Futures and Options
      Effective Sunday, November 18 (trade date Monday, November 19), the electronic trading hours on CME Globex for Equity Index futures and options will be expanded to the following:

      • 17:00 Central Time (CT) through 16:15 CT, with a 15 minute market pause (Pre-open) from 15:15 CT to 15:30 CT. This expansion does not impact the current halt in trading on CME Globex from 8:15 CT to 15:30 CT in the following full size Equity Index contracts (SP, ND, MD & DD).

      With this change, the existing 5, 10, 20, and 30 percent daily price limits will be applied to the futures fixing price rather than the daily settlement price. The 5 percent ± price limits will be applied at 15:00 CT and will be in effect until 08:30 CT the following day.

      Daily Price Limits for Equity Futures

      Product tag 1151-SecurityGroup tag 55-Symbol
      E-mini S&P 500 Futures ES ES
      Euro-denominated E-mini S&P 500 Futures EME F3
      S&P 500 Futures SP SP
      E-mini S&P MidCap 400 EMD ME
      S&P MidCap 400 Futures MD MD
      E-mini S&P SmallCap 600 SMC SC
      S&P SmallCap 600 SMP SM
      E-mini NASDAQ 100 Futures NQ NQ
      NASDAQ 100 Futures ND ND
      E-mini NASDAQ Composite Futures QCN QN
      E-mini NASDAQ Biotechnology Futures BIO BQ
      S&P 500 Growth Futures SG SG
      S&P 500 Value Futures SU SU
      Dow Jones U.S. Real Estate Index RX RX
      E-mini Dow Jones ($5) Futures YM YM
      Dow Jones ($10) Futures ZD ZD
      Big Dow Jones ($25) Futures DD DD
      E-mini S&P Select Sector Consumer Discretionary XAY SS
      E-mini S&P Select Sector Consumer Staples XAP SS
      E-mini S&P Select Sector Energy XAE SS
      E-mini S&P Select Sector Financial XAF SS
      E-mini S&P Select Sector Health Care XAV SS
      E-mini S&P Select Sector Industrial XAI SS
      E-mini S&P Select Sector Materials XAB SS
      E-mini S&P Select Sector Technology XAK SS
      E-mini S&P Select Sector Utilities XAU SS

      Customers are strongly encouraged to utilize Security Status (tag 35-MsgType=f) to obtain the daily price limits (tag 332-HighPx; tag 333-LowPx) to avoid rejection of orders that breach price limit thresholds.

      Customers may also obtain the daily price limits of the Security Definition (tag 35-MsgType=d) from the instrument replay feed (tag 1149-HighLimitPrice; 1150-LowLimitPrice).

      This change will be available for customer testing in New Release Monday, October 22.

      If you have any questions, please contact the CME Global Command Center at (+1)312-456-2391, in Europe at +44-20-7623-4708 or in Asia at +65-6223-1357.

      Events & Announcements

      CME Group Regional Failover Mock Trading Session
      On Saturday, November 10, CME Group will conduct a Regional Failover customer mock trading session. The mock trading session is designed to allow customers to test connectivity to the  New York Data Center (NYDC) in the case of a regional event that affects the Chicago metropolitan area. During the regional failover mock, customers who are on the CME Group network and who connect to CME Group from outside the Chicago metropolitan area will automatically be rerouted to the NYDC.

      An  overview of the mock trading session is now available. Customers must register  online to participate.

      Please contact your  Global Account Manager in U.S. at 312-634-8700, in Europe at 44-203-379-3754, or in Asia at 65-6593-5574 for further information.


      NEW Messaging Efficiency Program Q4 Benchmarks
      Effective trade date Monday, October 15, 2012, E-mini S&P 500 futures & spreads Product Group Benchmark Ratio will be revised as follows:

      Product Group Benchmark Ratios

      Product tag 55-Symbol Previous Ratio New Ratio
      E-mini S&P 500 Futures & Spreads ES 5:1 7:1

      The Q4 2012 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available  online.

      The Product Group Benchmark Ratios are published quarterly, unless business circumstances for a particular product or product group require changes to be implemented more frequently.

      The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are billed a surcharge for overly high message rates. Under the CME Globex Messaging Efficiency Program, each clearing member firm (active or inactive clearing member firms which maintain relationships with CME Clearing) must not exceed product-specific benchmarks, tailored to the valid trading strategies of each market. CME Group calculates Product Group Benchmarks based on a per-product Volume Ratio.

       

      Please contact your  Global Account Manager in the U.S. at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5574 with any questions.


      Revised CME Globex Messaging Efficiency Program
      Pending all relevant regulatory review periods, effective January 2, 2013, CME Group will revise the CME Globex Messaging Efficiency Program (“Program”) to more effectively target messaging that can negatively impact system performance, impair efficient access to the market and create unnecessary infrastructure and processing costs for market participants. Under the revised Program, CME Group will apply the Product Group Benchmarks at the executing firm level rather than at the clearing firm level.

      Additionally, the revised Program includes messaging tiers and expanded Product Group Benchmarks as well as a refined appeals process for messaging surcharges.

      Starting in October 2012, CME Group will begin distributing executing firm level messaging statistics to allow sufficient time for appropriate adjustments in messaging practices in advance of the revised Program becoming effective. Enforcement of the revised Program will begin trade date January 2, 2013. Please note that CME Group will continue to enforce the existing Program through December 31, 2012.

      Under the revised Program, exceeding the established Product Group Benchmarks will result in executing firm surcharges of $1,000 per product group, per day. As a result, CME Group strongly encourages executing firms and their customers to evaluate their messaging practices to ensure compliance with the revised Program.

      Detailed information on the CME Globex Messaging Efficiency Program is available  online.

      For additional information, please contact your  Global Account Manager in the U.S. at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5574.

Futures & Options Trading

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