GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: August 27, 2007
Notice Date | 2007-08-27
Notice Number | 082707
Effective Date | 1969-12-31
Welcome to the CME Globex Notices for the week of August 20, 2007. Critical System Updates CBOT and Hosted Exchange Products and Functionality Launch - January 2008 New Functionality Display Conversion Factor Update - Available Now! Product Launches Wood Pulp Futures and Options Launch - September 9 Intercommodity Spread for Equity Futures - September 9 Update: Dairy Launch on CME Globex - September 16 Lehman Brothers U.S. Aggregate Index Futures Launch - September 30 Product Changes Update: Weekly American-style FX Options - This Week! Housing Extension - September 16 FX Options Strategies Launch - September 30 Events and Announcements Labor Day Holiday Schedule - This Monday! New Release and Certification Environments: Testing on CME Globex If you have any questions or concerns, please contact your CME Globex Account Manager at 312.634.8700; +44.20.7796.7100 in Europe; or at +852.3101.7696 in Asia. Critical System Updates CBOT and Hosted Exchange Products and Functionality Launch Effective January 2008, the CBOT and Hosted Exchange functionality and products are scheduled to launch on the CME Globex electronic trading platform. Commodities, Dow and Hosted Exchange futures and options are scheduled to launch January 13, 2008. Interest Rate futures and options are scheduled to launch January 27. Jade and Metal products are not included in this launch. All CBOT-related functionality and CBOT and Hosted Exchange products, including futures, options, spreads and strategies, are currently available for testing in New Release. The new functionality to support this launch includes Fractional and Cabinet pricing; matching algorithms; new spreads; and enhancements to the Instrument Creation (MO) and Security Definition (MU) market data messages. Complete information on the customer system impacts for this launch is available in the CBOT Client Impact Assessment. New Functionality Display Conversion Factor Update CME Group has completed development of the Display Conversion Factor, position 878 in the Instrument Creation (MO (m-oh)) RLC market data message, to define the price conversion factor for every instrument on CME Globex. CME Group recommends customers utilize this field to determine the conversion from the CME Globex display price to the actual trade price; it will also be used to convert CBOT products to a fractional price. More information on the DCF is available in the CBOT Client Impact Assessment at www.cme.com/cbotimpact/. Product Launches Wood Pulp Futures and Options Launch Effective Sunday, September 9, 2007 (for trade date Monday, September 10), Northern Bleach Softwood Kraft Pulp Europe (Softwood Pulp) futures and options will launch on the CME Globex platform. Softwood Pulp options will be eligible for User-Defined Spreads (UDS) Combos and Covereds at launch.
Softwood Pulp on CME Globex
Product | Instrument Group Code | Product Code
Softwood Pulp Futures | WP | WP
Softwood Pulp Option Outrights | W0 (zero)
Softwood Pulp Options Spreads | W2
These Softwood Pulp instruments will be available in the Certification environment for customer testing this Monday, August 27. Intercommodity Spread for Equity Futures Effective Sunday, September 9, 2007 (for trade date Monday, September 10), a new intercommodity spread between the new E-mini S&P SmallCap 600 and the E-mini Russell 2000® futures will be available for trading on the CME Globex platform. The new spread, Strategy Type Code IR, is a 2:1 ratio spread and will not support implied functionality. The IR intercommodity spread is currently available in New Release for customer testing. Update: Dairy Launch on CME Globex Effective Sunday, September 16 (for trade date Monday, September 17), the following dairy commodity futures and options will launch on the CME Globex platform.
Dairy Future Outrights on CME Globex
Product | Instrument Group Code | Product Code
Non-Fat Dry Milk futures | DC | GNF
Class IV Milk futures | DC | GDK
Dairy Future Spreads on CME Globex
Product | Strategy Type Code | Instrument Group Code | Product Code
Non-Fat Dry Milk Calendar Spreads | SP | DC | GNF
Non-Fat Dry Milk 3-, 6- & 12-month Packs | FS | DC | GNF
Class IV Milk Calendar Spreads | SP | DC | GDK
Class IV Milk 3-, 6- & 12-month Packs | FS | DC | GDK
Dairy Option on Futures on CME Globex
Product | Instrument Group Code | Product Code
Non-Fat Dry Milk Options | N7 | GNF
Class IV Milk Options | D8 | GDK
Dry Whey Options | Y0 (zero) | DY
Cash-Settled Butter Options | C0 (zero) | CB
Class III Milk Options | A6 | DC
Dairy Options Spreads on CME Globex
Product | Strategy Type Code | Instrument Group Code | Product Code
Non-Fat Dry Milk Straddles | ST | N8 | GNF
Non-Fat Dry Milk Strangles | SG | N8 | GNF
Non-Fat Dry Milk Verticals | VT | N8 | GNF
Class IV Milk Straddles | ST | D9 | GDK
Class IV Milk Strangles | SG | D9 | GDK
Class IV Milk Verticals | VT | D9 | GDK
Dry Whey Straddles | ST | Y3 | DY
Dry Whey Strangles | SG | Y3 | DY
Dry Whey Verticals | VT | Y3 | DY
Cash-settled Butter Straddles | ST | C3 | CB
Cash-settled Butter Strangles | SG | C3 | CB
Cash-settled Butter Verticals | VT | C3 | CB
Class III Milk Straddles | ST | A9 | DC
Class III Milk Strangles | SG | A9 | DC
Class III Milk Verticals | VT | A9 | DC
These new futures and outright options are currently available for customer testing in the Certification environment. The options strategies will be available for customer testing in the Certification environment Monday, September 10. Lehman Brothers U.S. Aggregate Index Futures Launch Effective Sunday, September 30, 2007 (for trade date Monday, October 1), futures on the Lehman Brothers U.S. Aggregate Index will launch on the CME Globex platform. Futures calendar spreads will also be available upon launch, using the new Strategy Type Code SD. The Strategy Type Code can be found at position 727-728 in the Instrument Creation (MO (m-oh)) RLC market data message. More information on the Strategy Type Code and MO messages is available in the RLC Message Specifications module of the Market Data Platform SDK. The Lehman Brothers U.S. Aggregate Index futures will represent the world's first exchange-traded contracts on a U.S. broad-based, fixed-income index. Lehman Brothers U.S. Aggregate Index futures provide traders and investors a new tool for: Asset allocation Passive indexation Portable alpha strategies Spreading against other exchange-traded products
Product | Instrument Group Code | Product Code | Listed Contracts
Lehman Brothers U.S. Aggregate Index futures | LB | LBA | 4 quarterlies
Product | Instrument Group Code | Product Code | Strategy Type Code | Listed Contracts
Lehman Brothers U.S. Aggregate Index calendar spreads | LB | LBAMY-LBA MY† | SD | 6 spreads
† MY = Month and year in normal CME Group terminology, e.g. U7 These new futures will be available for customer testing in the Certification environment Monday, September 17. Product Changes Update! Weekly American-Style FX Options on CME Globex Last Sunday, August 26, the weekly American-style options on Canadian Dollar, Japanese Yen and Swiss Franc were launched in a different Instrument Group Code than had been announced. The Instrument Group Codes will be corrected for these products effective Sunday, September 2 (for trade date Tuesday, September 4). The correct Instrument Group Codes are identified below.
Weekly American-style FX Options on CME Globex
Weekly FX Options | Instrument Group Code | Product Code
Canadian Dollar | XD | 6C1-6C5
Japanese Yen | XJ | 6J1-6J5
Swiss Franc | XS | 6S1-6S5
The Instrument Group Code can be found in the Instrument Creation (MO) message at position 70-71. New Instrument Group Codes may require front-end system or trading application changes. Please contact your system provider for more information. Housing Extension Effective Sunday, September 16, 2007 (for trade date Monday, September 17), CME Group is extending the listed Housing futures from the currently listed four quarterlies to a total of 60 months. This change will apply to all of the Housing futures on CME Globex, including the Composite Index and 10 U.S. cities. The currently listed spreads will also be extended out the full 60 months, including the intercommodity spreads.
Housing Futures Extension
Product | Current Listings | Extended Listings
Boston Chicago Denver Las Vegas Los Angeles Miami New York San Francisco San Diego Washington Composite Index | 4 quarterly futures in February cycle | First 18 months: 6 quarterly futures in February cycle Second 18 months: 7 biannual futures in May cycle Last two years: 2 annual futures in November cycle
The Chicago and Las Vegas futures and spreads will be available for customer testing in the Certification environment Monday, September 10. FX Options Strategies Launch Effective Sunday, September 30, 2007 (for trade date Monday, October 1), Horizontal and Risk Reversal option strategies on the following American-style FX options will be launched on the CME Globex platform. Euro FX options (product code 6E) Japanese Yen options (product code 6J) British Pound options (product code 6B) Swiss Franc options (product code 6S) Canadian Dollar options (product code 6C) Australian Dollar options (product code 6A) New Zealand Dollar options (product code 6N) Mexican Peso options (product code 6M) Russian Ruble options (product code 6R) These strategies will use the current Strategy Type Codes HO for Horizontals and RR for Risk Reversals. The Strategy Type Code can be found at position 727-728 in the Instrument Creation (MO (m-oh)) RLC market data message. More information on the Strategy Type Code and MO messages is available in the RLC Message Specifications module of the Market Data Platform SDK. Events and Announcements Labor Day Holiday Schedule The CME Globex holiday Schedule for Labor Day, this Monday September 3, is now available online. New Release and Certification Environments: Testing on CME Globex Effective August 13, the new functionality to support CBOT products on CME Globex was launched in the New Release environment. With this launch, functionality and messaging in the New Release environment will not mirror the production environment until the CBOT functionality is rolled into production later this year. In the interval, to allow customers to test new products and instruments in a production-like environment, new products are being made available in the Certification environment prior to launch. The specific environment where the new products can be tested is always identified in the CME Globex Notice article announcing the launch. New Release and Certification are completely independent environments. Product listings and ISIN codes, as found in the CME Globex Internal ID field of the MO message, may be different in each environment. CME recommends that customers use the CME Market Data Platform channels specific to each environment, as defined in the channel definitions: New Release Channel Definitions Certification Channel Definitions © Copyright 2007 CME Group All rights reserved. The Globe Logo, Globex®, E-mini®, iLink®, Globex Trader®, Galax-C®, and CME® are trademarks of CME Group.