GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: February 26, 2007
Notice Date | 2007-02-26
Notice Number | 022607
Effective Date |
Welcome to the CME Globex Notices for the week of February 26, 2007. Reminder: NYMEX Products and the CME Messaging Policy This Week Reminder: NYMEX Catastrophic Risk Index Futures Launch on CME Globex March CME Hurricane Futures Launch CME Lean Hog and Live Cattle Intercommodity Spreads Launch Reminder: NYMEX Softs TAS Launch on CME Globex Reminder: Daylight Saving Time CME Dry Whey Futures Launch Reminder: Enhanced Execution Reports and UDS: Combos Reminder: CME FX Trading Schedule Change Reminder: CME Equity Options Spreads Changes May Reminder: NYMEX Products on the CME Market Data Platform
If you have any questions or concerns, please contact your CME Globex Account Manager at 312.634.8700; or at +44.20.7796.7100 in Europe. Reminder: NYMEX Products and the CME Messaging Policy Effective Tuesday, February 27, NYMEX products on CME Globex are now subject to the CME Messaging Policy. The CME Messaging Policy is a fair business policy which encourages market participants to trade and quote appropriately without harming market liquidity. Detailed information on the CME Messaging Policy is available at www.cme.com/messagingpolicy. The following NYMEX products are subject to the CME Messaging Policy for the second quarter of 2007, with the following product benchmarks:
NYMEX Product Benchmarks
Product | Product Code | Product Benchmarks
Financially Settled Products
Crude Oil Futures & Spreads | WS | 50:1
Physically Settled Products
Crude Oil Futures & Spreads | CL | 25:1
Natural Gas Futures & Spreads | NG | 35:1
NYMEX miNY Energy Products
Natural Gas Futures & Spreads | QG | 50:1
Crude Oil Futures & Spreads | QM | 45:1
NYMEX Clearing Firms will receive reports when their Volume Ratios exceed the product benchmarks. There is a grace period from February 27 to March 30, during which time no surcharges will be assessed. Beginning April 2, 2007, surcharges will be levied when a Clearing Firm has exceeded their two allowed notices. The surcharge is $2000.00 per trading session per product where the benchmark has been exceeded. For questions on the CME Messaging Policy, please contact CME Globex Account Management at 312.634.8700 or the CME Globex Control Center at 312.456.2391. More information on NYMEX products on the CME Globex platform is available at www.nymexoncmeglobex.com. Reminder: NYMEX Catastrophic Risk Index Futures Launch on CME Globex Effective this Sunday, March 4, 2007 (for trade date Monday, March 5), the following NYMEX Catastrophic Risk Index futures will launch on the CME Globex platform.
NYMEX Catastrophic Risk Index Futures
Product | Instrument Group Code | Product Code | MDP Channel | Contract Size | Contract Tick Size | Tick Value | CME Globex Tick Size | Listed
Catastrophic Risk Nationwide | WU | WU | 32 | 10 Index Points | 1.00 | $10.00 | 1 | 3
Catastrophic Risk Texas to Maine (excluding Florida) | WY | WY | 32 | 10 Index Points | 1.00 | $10.00 | 1 | 3
Catastrophic Risk Florida | WF | WF | 32 | 10 Index Points | 1.00 | $10.00 | 1 | 3
The need for protection against catastrophe risk is at a record high due to the combination of changing weather patterns, recent loss activity and the consequent change in industry peril modeling, rating agency criteria and solvency requirements. The NYMEX Property Damage Risk futures will allow real-time property risk management through a cleared futures exchange. The contracts will be financially settled against the Re-Ex Index by Gallagher Re, the specialist reinsurance intermediary and advisory firm. These NYMEX Property Damage Risk futures are currently available for customer testing in the CME certification environment. CME Hurricane Futures Launch Effective Sunday, March 11, 2007 (for trade date Monday, March 12), CME Hurricane futures are launching on the CME Globex platform. Upon launch, three contracts for each of five regions will be available for trading.
CME Hurricane Index Futures
Product | Instrument Group Code | Product Codes
Gulf Coast | HF | HG1-HG9, HG0
Florida | HF | HF1-HF9, HF0
Southern Atlantic Coast | HF | HS1-HS9, HS0
Northern Atlantic Coast | HF | HN1-HN9, HN0
Eastern United States | HF | HX1-HX9, HX0
The underlying indexes for the CME-Carvill Hurricane Index futures will be calculated by Carvill, a leading independent reinsurance intermediary in specialty reinsurance that tracks and calculates hurricane activity. These CME Hurricane futures are currently available for testing in the certification environment. CME Lean Hog and Live Cattle Intercommodity Spreads Launch Effective Sunday, March 11, 2007 (for trad date Monday, March 12), CME is launching new intercommodity spreads on the CME Lean Hog and CME Live Cattle futures. These spreads will use the Strategy Type Code IS. The complete list of intercommodity spreads available for trading upon launch is online. These new intercommodity spreads will be available for customer testing in the CME certification environment this Monday, March 5. Reminder: NYMEX Softs TAS Launch on CME Globex Effective Sunday, March 11 (for trade date Monday, March 12), the following NYMEX SoftsTM TAS contracts will launch on the CME Globex platform.
NYMEX SOFTS TAS CONTRACTS
Product | Instrument Group Code | Product Code | MDP Channel | Contract Size | Contract Tick Size | Tick Value | CME Globex Tick Size | Listed
Cocoa TAS | C1 (C-one) | CJT | 32 | 10 metric tons | 1.00 | $10.00 | 1 | 3
Coffee TAS | KD | KTT | 32 | 37,500 pounds | 0.0005 | $18.75 | 5 | 3
Cotton TAS | TC | TTT | 32 | 50,000 pounds | 0.0001 | $5.00 | 1 | 3
FCOJ TAS | FA | FJT | 32 | 15,000 pounds | 0.0005 | $7.50 | 5 | 3
Sugar 11 TAS | YA | YOT | 32 | 112,000 pounds | 0.0001 | $11.20 | 1 | 3
Sugar 14 TAS | FD | FTT | 32 | 112,000 pounds | 0.0001 | $11.20 | 1 | 3
These NYMEX Softs TAS contracts are currently available in the CME certification environment for customer testing. Reminder: Daylight Saving Time Effective this year, the schedule for Daylight Saving Time has been extended by the Energy Policy Act of 2005. Daylight Saving Time will now be in effect from Sunday, March 11, 2007, through November 4, 2007. Previously, Daylight Saving Time ran from the first Sunday in April through the last Sunday in October. CME Globex will continue to observe Daylight Saving Time and the new schedule. More information is available online. Time-dependent front-end trading applications may be affected by this change. Please contact your front-end system provider for more information before March 11, 2007. CME Dry Whey Futures Launch Effective Sunday, March 18 (for trade date Monday, March 19), CME Dry Whey futures will launch on the CME Globex platform. CME Dry Whey will list 12 contract months upon launch, with Instrument Group Code DY and CME Globex Product Code DY. Whey is the liquid separated from milk during cheese production. Dried whey, high in protein and low in fat, is used in a variety of foods including crackers, breads, cereal and pastries, as well as in the popular energy and power bars and protein drinks and powders. Whey is also used in animal feed. Dry whey has become a volatile commodity as demand has at times outpaced supply. CME Dry Whey will be available for testing in the certification environment this Monday, March 5. Reminder: Enhanced Execution Reports and UDS: Combos The Enhanced Execution Reports and User-Defined Spreads (UDS): Combos release, scheduled to launch Sunday, March 25, 2007, introduces two sets of functional enhancements to the CME Globex platform. Enhanced Execution Reports With this release, Fill and Trade Cancellation messages will be enhanced for all products traded on the CME Globex platform with new FIX tags 442-MultiLegReportingType, 393-TotalNumSecurities and 527-SecondaryExecID. Customers will be able to use the enhanced Fill and Trade Cancellation messages to: Differentiate messages for outrights, legs and spreads Correlate leg and spread messages Identify the number of legs associated with a spread CME strongly recommends all customers test the enhanced execution reports prior to the production launch. Enhanced execution reports are currently available in the certification environment. UDS: Combos With UDS: Combos functionality, customers will be able to define and trade unique options instruments intra-day, composed of any or all of the following: Exchange-defined outright option(s) Exchange-defined option spread(s) Existing user-defined spreads With this launch, customer systems must be able to accomodate Security Definition (MU) messages with up to 40 repeating groups (i.e., spread legs). CME recommends customers configure market data buffer size to accomodate up to 5120 bytes. Front-end trading applications interested in UDS: Combos functionality are required to certify via CME AutoCert+. This functionality is currently available for testing and certification. To access CME AutoCert+, please contact your CME Globex Account Manager at 312.634.8700, or in Europe at +44.20.7796.7100. More information on this release is available in the UDS: Combos and Enhanced Execution Reports Client Impact Assessment. Reminder: CME FX Trading Schedule Change Effective Sunday, March 25, 2007, at customers' request, CME FX futures and options on CME Globex trading schedule will be expanded to open two hours earlier, at 3:00 p.m. Central time (CT) on Sundays. Currently, CME FX futures and options markets open on Sunday for trading at 5:00 p.m. CT. In addition, the pre-market open period will be reduced from the current 45 minutes to 30 minutes, commencing at 2:30 p.m. on Sundays. Reminder: CME Equity Options Spreads Changes Effective Sunday, March 25, 2007 in the production environment, to provide consistent data across all product complexes, CME Globex will no longer publish settlement price data via the Instrument Creation (MO (m-oh)) and Price (M7) RLC market data messages for CME Equity options spreads only. Settlement price data will still be available in the MO and M7 messages for the outright options. To increase price clarity for CME Equity options spreads, with this launch CME will disseminate four-character strike prices (instead of the current three-character prices) in the Complete Instrument Code in RLC market data messages (e.g., position 72-91 of the MO message) and CME iLink order messaging (e.g., FIX tag 107, SecurityDesc, in Execution Reports). The total length of the Complete Instrument Code will not exceed 20 characters. The most significant digit of the strike price will be displayed in the Complete Instrument Code and tag 107, SecurityDesc. For example, currently a CME E-mini Russell options spread is disseminated as: ER:VCM7C150 200 With this change, the same spread will be disseminated as: ER:VCM7C8150 C8200 More information on the CME Market Data Platform and CME iLink messaging formats is available in the CME Globex SDKs. Reminder: NYMEX Products on the CME Market Data Platform Effective Sunday, May 6, 2007, CME is decommissioning the legacy NYMEX market data channel (20) on the CME Market Data Platform. Since the introduction of NYMEX futures and spreads on the CME Globex platform, market data messaging rates on the CME Market Data Platform NYMEX channel (20) have steadily increased, recently reaching peaks greater than 3 mbps. To better manage bandwidth utilization, CME leveraged the scalability of the CME Market Data Platform and introduced three new channels for NYMEX and COMEX® products. Complete information on the three new NYMEX and COMEX channels on the CME Market Data Platform, including the products assigned to each channel, is available online. The legacy NYMEX market data channel (20) will be eliminated in the certification environment Tuesday, March 20. More information on NYMEX and COMEX products on the CME Globex platform is available at www.nymexoncmeglobex.com. ©2007 Chicago Mercantile Exchange Inc (CME). All rights reserved. The Globe Logo, Globex®, E-mini®, iLink® Globex Trader® and CME® are trademarks of CME