GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: June 30, 2008
Notice Date | 2008-06-30
Notice Number | 20080630
Effective Date | 1969-12-31
Topics in this issue include:
| Product Launches New Weather Futures on CME Globex - July 27 Options on E-mini S&P SmallCap 600 Futures - July 27 Options on Eurodollar Futures Calendar Spreads - August 17 NYMEX LCH ECM & MTF Products on CME Globex - Summer 2008
| Product Changes 30-Day Fed Funds Futures and Options Enhancements - August 3 Interest Rate Futures Group Code Consolidation - August 3
| Events and Announcements Fourth of July Holiday Calendar - July 4 Earlier Sunday Security Definition and MO Messages - July 13
Product Launches
New Weather Futures on CME Globex Effective Sunday, July 27 (trade date Monday, July 28), the following Heating Degree Days (HDD), Cooling Degree Days (CDD) and Cumulative Average Temperature (CAT) Weather futures, weeklies and strips will be listed for trading on the CME Globex platform: Weather Futures on CME Globex
Product | Instrument Group Code | Product Code
HDD Colorado Springs Futures | H5 | V3
HDD Jacksonville Futures | VF
HDD Little Rock Futures | VG
HDD LA USC Campus Futures | VH
HDD Raleigh Durham Futures | VK
HDD Washington Reagan Futures | VU
HDD Oslow-Blindern Futures | D0 (d-zero) | D6
CDD Colorado Springs Futures | K5 | A3
CDD Jacksonville Futures | A0 (a-zero)
CDD Little Rock Futures | AT
CDD LA USC Campus Futures | AH
CDD Raleigh Durham Futures | AK
CDD Washington Reagan Futures | AU
CAT Oslow-Blindern Futures | G0 (g-zero) | HL
Weekly Weather Futures on CME Globex
Product | Instrument Group Code | Product Code
Colorado Springs Weekly Futures | H0 (h-zero) | V31-5
Jacksonville Weekly Futures | VF1-5
Little Rock Weekly Futures | VG1-5
LA USC Campus Weekly Futures | VH1-5
Raleigh Durham Weekly Futures | VK1-5
Washington Reagan Weekly Futures | VU1-5
In addition, with this launch the following Weather seasonal strips will be available: Weather Seasonal Strips on CME Globex
Product | Instrument Group Code | Starting October | Starting November | Starting December | Starting January | Starting February | Starting March
HDD Colorado Springs Strips | H5 | V3V | V3X | V3Z | V3F | V3G | V3H
HDD Jacksonville Strips | VFV | VFX | VFZ | VFF | VFG | VFH
HDD Little Rock Strips | VGV | VGX | VGZ | VGF | VGG | VGH
HDD LA USC Campus Strips | VHV | VHX | VHZ | VHF | VHG | VHH
HDD Raleigh Durham Strips | VKV | VKX | VKZ | VKF | VKG | VKH
HDD Washington Reagan Strips | VUV | VUX | VUZ | VUF | VUG | VUH
HDD Oslow-Blindern Strips | D0 (d-zero) | D6V | D6X | D6Z | D6F | D6G | D6H
CDD Colorado Springs Strips | K5 | A3J | A3K | A3M | A3N | A3Q | A3U
CDD Jacksonville Strips | A0J | A0K | A0M | A0N | A0Q | A0U
CDD Little Rock Strips | ATJ | ATK | ATM | ATN | ATQ | ATU
CDD LA USC Campus Strips | AHJ | AHK | AHM | AHN | AHQ | AHU
CDD Raleigh Durham Strips | AKJ | AKK | AKM | AKN | AKQ | AKU
CDD Washington Reagan Strips | AUJ | AUK | AUM | AUN | AUQ | AUU
CAT Oslow-Blindern Strips | G0 (g-zero) | HLJ | HLK | HLM | HLN | HLQ | HLU
These new Weather futures, weeklies and strips will be available for customer testing in New Release and Certification on Monday, July 14. Options on E-mini S&P® SmallCap 600® Futures Effective Sunday, July 27, 2008 (for trade date Monday, July 28), options on the E-mini S&P SmallCap 600 futures will launch on CME Globex. Full User-Defined Spreads (UDS) functionality will be available upon launch; in addition, the following exchange-defined strategies will be listed. E-mini S&P SmallCap 600 Options
Product | Instrument Group Code | Product Code | Strategy Type Code
E-mini S&P SmallCap 600 Option Outrights | 7S | SMC | —t < /td>
E-mini S&P SmallCap 600 Option Straddles | 7P | ST
E-mini S&P SmallCap 600 Option Strangles | SG
E-mini S&P SmallCap 600 Verticals | VT
E-mini S&P SmallCap 600 Horizontals | HO
E-mini S&P SmallCap 600 Butterflies | BO
These options and strategies will be available for customer testing in Certification and New Release on Monday, July 14. Options on Eurodollar Futures Calendar Spreads Effective Sunday, August 17, 2008 (trade date Monday, August 18), CME Group is launching options on Eurodollar futures calendar spreads. Both outright options and straddles will be available on CME Globex for trading, as well as full User-Defined Spreads (UDS) functionality. Eurodollar calendar spread options are designed to help market participants better manage risk exposures specifically tied to the slope of the Eurodollar rate curve. Call options will be exercisable into one long nearby Eurodollar futures contract and one short deferred Eurodollar futures contract, for example June 2008 (long) and June 2009 (short). Put options will be exercisable into a short nearby Eurodollar future and a long deferred one. These options will be listed with the futures calendar spread as the indicated underlying. There will not be a synthetic future listed, as is the current practice for the NYMEX complex options on CME Globex. These options will support zero and negative strike prices. Eurodollar Calendar Spread Options
Product | Instrument Group Code | Product Code | Strategy Type Code
Eurodollar Calendar Spread Options | 8I (8-eye) | SPO | —t < /td>
Eurodollar Calendar Spread Option Straddles | 8G | ST
These options and strategies will be available for customer testing in New Release on Monday, July 21. NYMEX LCH ECM & MTF Products on CME Globex As previously announced, this summer NYMEX and LCH.Clearnet are launching a broad range of global energy products for trading on the CME Globex platform. NYMEX is offering a new and distinct slate of OTC and futures products for clearing through LCH.Clearnet through two new exchanges: NYMEX ECM and NYMEX MTF. The initial slate will encompass the global benchmark oil contracts, including WTI, Brent and Gasoil, as well as key natural gas and electricity contracts. These new products will be cleared by LCH.Clearnet using existing and widely distributed clearing technology, thus optimizing operational efficiencies for market participants. This historic alliance will deliver improved capital and operational efficiencies through wider execution capabilities, broader credit intermediation and margining benefits for customers and market participants. More information on the arrangement and benefits for market participants is available at www.nymexonlchclearnet.com. Please note: the NYMEX ECM contracts require development to support trading of these unique products. Detailed development information is available in the NYMEX ECM and NYMEX MTF Products on CME Globex Client Impact Assessment. The complete lists of new products are available in the NYMEX ECM Snapshot and NYMEX MTF Snapshot. These products are currently available for customer testing in the New Release environment. The mock trading session previously scheduled for June 28 has been cancelled. End-to-end testing to the LCH Clearing House is available in the New Release environment for configured customers. Please contact CSET at 312.930.2322 or your CME Globex Account Manager at 312.634.8700 to be configured.
Product Changes
30-Day Fed Funds Futures and Options Enhancements Beginning Sunday, August 3, 2008 (trade date Monday, August 4) the following changes will be applied to the 30-Day Fed Funds futures, options and spreads: The expiring, front month of the 30-Day Fed Funds futures contract will trade in 1/4 basis points. Currently, all Fed Funds futures trade in 1/2 basis point increments. With this change, the front Fed Funds future will always trade in 1/4 tick increments beginning the first Sunday within the expiration month. Implied functionality will not be available on the 1/4 tick front month outrights and spreads. The price display format for the Fed Funds futures and options will be changed to match the current Eurodollar price display convention. With this change, the CME Globex minimum tick for the expiring, front month future, underlying options and spreads will display 0.25. All other months will display the minimum tick 0.50. Currently, the 30-Day Fed Funds price displays use a single decimal (i.e., minimum tick is 2.5 or 5). 12-month futures strips will be listed for trading on the CME Globex platform. All these changes will be available in New Release for customer testing on Monday, July 21. Interest Rate Futures Group Code Consolidation Effective Sunday, August 3 (trade date Monday, August 4), the Instrument Group Codes for the following Interest Rate futures will be changed: Interest Rate Futures & Spreads Group Code Changes
Product | Product Code | Current Instrument Group Code | New Instrument Group Code
30-Year U.S. Treasury Bond | ZB | ZB | ZB
10-Year U.S. Treasury Note | ZN | ZN
5-Year U.S. Treasury Note | ZF | ZF
2-Year U.S. Treasury Note | ZT | ZT
30-Year U.S. Interest Rate Swap | I3 | I3
10-Year U.S. Interest Rate Swap | SR | SR
5-Year U.S. Interest Rate Swap | SA | SA
The Instrument Group Code can be found in the Security Definition (tag 35-MsgType=d) FIX/FAST message, tag 55-Symbol; and in the Instrument Creation (MO) RLC-format message at position 70. These changes are now available for customer testing in New Release.
Events & Announcements
Fourth of July Holiday Calendar The CME Globex holiday calendar for the Fourth of July holiday is now available online. Please note that many markets will be open for trading on Friday, July 4. CME Globex will show a trade date of July 4, but any trades executed between the open on Thursday afternoon and the close on Friday will be cleared on the following Monday, July 7. Earlier Sunday Security Definition and MO Messages Effective Sunday, July 13, in all customer-facing environments, the weekly FIX/FAST Security Definition (FIX tag 35-MsgType=d) and RLC Instrument Creation (MO) message broadcasts will go out one hour earlier at 11:00 a.m. Central time (CT). Currently, these messages go out every Sunday at 12:00 p.m. CT.