• CME Globex Notices: November 12, 2012

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      • CME Globex Customers
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      • Global Account Manangement
      • #
      • 20121112
      • Notice Date
      • 12 November 2012
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      NEW iLink Cancel Messaging Threshold Increase
      On Sunday, December 2 (trade date Monday, December 3), CME Group will increase the iLink cancel messaging threshold to 1000 from 100 messages per second (MPS) to better support business functionality, during the following hours:

      • Sunday 16:00 - 16:59:30 Central Time (CT)
      • Monday-Thursday 16:45 - 16:59:30 (CT)

      If an iLink session exceeds an average of 1000 cancel MPS over a three-second window, subsequent cancel messages will be rejected via a Session Level Reject (tag 35-MsgType=3) message until the MPS rate falls below the threshold.

      The increased iLink Cancel messaging threshold will be available for customer testing in New Release on Monday, November 19.

      This change does not impact New Order and Order Cancel/Replace messages.

      Detailed information on Messaging Controls is available  online.

      For more information, 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.


      FIX/FAST Operators Release
      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).

      New Functionality

      Drop Copy Enhancement for iLink Tags
      Effective Sunday, December 2, 2012, Drop Copy will be enhanced to support iLink tags 1028-ManualOrderIndicator and 143-TargetLocationID from Source iLink session messages.

      These two tags are mandatory and are used to identify:

      • Automated trading indicator flag – the value returned on iLink Execution Report and Acknowledgement messages in tag 1028-ManualOrderIndicator will be supported in the body of Drop Copy messages.
      • Country of origin - The value returned on iLink Execution Report and Acknowledgement messages in tag 143-TargetLocationID will be supported in the Drop Copy Party block.

      Currently, these tags are not available on Drop Copy messages. These tags are currently available for customer testing in New Release.

      The new value in the Drop Copy Party block are specified below:

      Drop Copy Enhancement for iLink Tags

      Tag FIX Name Valid Values Format Description
      453 NoPartyIDs   NumInGroup Number of PartyID groups. The value represents the number of repeating groups to follow. The tags in the repeating group will contain unique combinations of tag 448-PartyID, tag 447-PartyIDSource, and tag 452-PartyRole
      448 PartyID   String (32) Sender Location from tag 143-TargetLocationID of the original Source session message. Required if PartyIDSource is specified.
      447 PartyIDSource D=proprietary code Char Used to identify class source of PartyID value. Required if PartyID is specified.
      452 PartyRole 54=Sender Location *New Int Identifies the type of PartyID.

      For more information, please see the  Drop Copy Overview.


      New Fixing Prices for Mexican Peso Futures
      Effective Sunday, December 2 (trade date Monday, December 3), CME Group will begin disseminating Fixing Prices via FIX/FAST for the Mexican Peso futures.

      New Fixing Prices for Mexican Peso

      Futures Market Data Platform Channel Tag 1151-SecurityGroup Tag 55-Symbol
      Mexican Peso 60 6M 6M

      The Mexican Peso price fixing prices will be published Monday through Friday, at 9:00a.m., 11:00 a.m., 2:00 p.m. and 3:00 p.m. Central Time (CT). Fixing Price is a volume-weighted average price for the underlying futures contract and is used to determine which options strikes are in-the-money and exercisable.

      Fixing Price data blocks are sent in the FIX/FAST Market Data Incremental Refresh (tag 35-MsgType=X):

      • Tag 279- MDUpdateAction will be set to 0 = New
      • Tag 269-MDEntryType will be set to W = Fixing Price
      • Tag 5790-FixingBracket will display the time that the Fixing Price was calculated
      • The new Fixing Price Data Block is now available in New Release for customer testing.

      The new Fixing Price Data Block will be available in New Release for customer testing on Monday, November 19.

      Product Launches

      Deliverable Interest Rate Swap Futures
      Effective Sunday, December 2 (trade date Monday, December 3), 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 are currently available for customer testing in New Release.

      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, February 24 (trade date Monday, February 25), 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 are currently available for customer testing in New Release.

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

      Product Changes

      Update CME Globex Equity Index Trading Hours and Daily Price Limit Changes for Futures and Options
      Effective this 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, ZD, & SMP).

      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.

      Detailed information on these changes is available  online.

      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 is currently available for customer testing in New Release.

      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.


      NEW Relisting of Daily European Union Allowance (EUA) Futures
      Effective Sunday, December 2, 2012 (for trade date Monday, December 3) the Daily European Union Allowance (EUA) futures (tag1151-SecurityGroup=EUL, tag 55-Symbol=VX) will be re-listed for trading on CME Globex. The daily contract shall be listed for the current business day plus the next business day.

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


      NEW Listing Cycle Expansion for Emission Futures and Options
      Effective Sunday, December 2, 2012, (for trade date Monday, December 3), the listing cycle for the following emission futures and options will be expanded as follows:

      Listing Cycle Expansion for Emission Futures and Options

      Product tag 1151-SecurityGroup tag 55-Symbol Current Listed Months New Listing Cycle
      In Delivery Month European Union Allowance (EUA) Futures EAF VX December 2012; December 2013-2020 First three consecutive contracts months plus eight quarterly contracts on a rolling basis, starting with the nearest quarter; December contract month of subsequent years through 2020.
      In Delivery Month European Union Allowance (EUA) Option EAX GY
      In Delivery Month European Union Allowance (EUA) Serial Option 9G GY None First three consecutive contracts months plus eight quarterly contracts on a rolling basis, starting with the nearest quarter; December contract month of subsequent years through 2020.
      In Delivery Month Certified Emission Reduction (CER) Futures CRE VX December 2012 December 2012, March 2013
      In Delivery Month Certified Emission Reduction (CER) Option CRY GY
      Certified Emission Reduction Plus(CERplus) Futures CPL VX December 2012; December 2013-2020 First three consecutive contracts months plus eight quarterly contracts on a rolling basis, starting with the nearest quarter; December contract month of subsequent years through 2020.
      Emission Reduction Unit (ERU) Futures REU VX December 2012; March 2013 First three consecutive contracts months plus eight quarterly contracts on a rolling basis through March 2015.
      Emission Reduction Unit (ERU) Option ERO GY

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

      Events & Announcements

      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 +1 312 634 8700, in Europe at +44 203 379 3754, or in Asia at +65 6593 5574.

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