• CME Globex Notices: November 26, 2012

      • To
      • CME Globex Customers
      • From
      • Global Account Manangement
      • Advisory #
      • 20121126
      • Notice Date
      • 26 November 2012
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      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 is currently available for customer testing in New Release.

      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.

      New Functionality

      Drop Copy Enhancement for iLink Tags
      Effective this 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 this 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 is currently available in New Release for customer testing.

      Product Launches

      Deliverable Interest Rate Swap Futures
      Effective this 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.


      Implied Inter-Exchange KCBT-CBOT Futures Spread
      Effective Sunday, December 9 (trade date Monday, December 10), the implied inter-exchange KCBT-CBOT Wheat futures spread (tag1151-SecurityGroup=KE, tag 55-Symbol=KB, tag 207-SecurityExchange=KBCB) will be listed on CME Globex.

      The inter-exchange spread will use the value IS in tag 762-SecuritySubType.

      Following the existing model for market data distribution on inter-exchange spreads, market data on the spread instrument is only sent on the inter-exchange spread channel (801). Market data for the legs are only sent on their respective market data platform channels. Further details are available in the  Client Systems Wiki.

      This inter-exchange spread will be available for customer testing in New Release on Monday, December 3.


      Aluminum MW U.S. Transaction Premium (Platts) Futures
      Effective Sunday, December 16 (trade date Monday, December 17), the Aluminum MW U.S. Transaction Premium (Platts) futures (tag-1151 SecurityGroup=AUP, tag 55-Symbol=ST) will be listed for trading on CME Globex.

      Each contract is 55,116 lbs (25MT) and priced in US dollars and cents per pound and based on the monthly average of Platts Aluminum MW US Transaction Premium Assessment. It is design to help North American Aluminum commercial market participants to hedge their Aluminum Midwest premium risk exposure.

      The Aluminum MW U.S. Transaction Premium (Platts) futures will be available for customer testing New Release on Monday, December 3.

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


      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 Relisting of Daily European Union Allowance (EUA) Futures
      Effective this Sunday, December 2, 2012 (for trade date Monday, December 3) the Daily European Union Allowance (EUA) futures (tag1151-SecurityGroup=EUL, tag 55-Symbol=VE) 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.


      Listing Cycle Expansion for Emission Futures and Options
      Effective this 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.


      Listing Cycle Expansion for European-style Weekly S&P 500 and E-mini S&P 500 Options
      Effective Sunday, December 16 (trade date Monday, December 17), the listing cycle for European-style weekly options on the S&P 500 and the E-mini S&P 500 will be expanded to list four consecutive weekly options. Currently, the listing cycle is list three consecutive weekly options.

      Listing Cycle Expansion for European-style Weekly S&P 500 and E-mini S&P 500 Options

      Product tag 1151-SecurityGroup tag 55-Symbol
      Weekly E-mini S&P 500 Options EW1, EW2, EW4 EW
      Weekly S&P 500 Options EV1, EV2, EV4 OS

      This change will be available for customer testing in New Release on Monday, December 10.

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

      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.


      CME Group Regional Failover Mock Trading Session
      On Saturday, January 26, 2013, 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.

       

Futures & Options Trading

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