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Dear CME® Globex® Customer,
Effective Sunday, April 30, CME will begin listing CME Eurodollar Pack spreads and CME Eurodollar Pack butterfly combinations
on the CME Globex platform, in order to further enhance the depth and liquidity of the electronic CME Eurodollar market. Since
there is a slight functional change, these combinations are currently available in the CME certification environment. Please see below for further details on the new combinations, and a description of
the new CME Globex behavior:
CME launched its electronic Pack and Bundle market maker program on February 1, 2005. This program has facilitated a dramatic
increase in the liquidity and volume of electronically traded CME Eurodollar Pack and Bundle contracts, particularly in the
White and Red pack and the two-year bundle.
In order to generate even greater liquidity in electronic CME Eurodollar Packs farther out the yield curve, CME will expand
the listed CME Eurodollar Pack contracts to include both two-legged pack spreads as well as pack butterflies. Initially, CME
will list the two-legged pack spreads through the Orange contracts.
CME will list the following the 2-legged Pack spreads:
| White-Red |
Red-Green |
Green-Blue |
Blue-Gold |
Gold-Purple |
Purple-Orange |
| White-Green |
Red-Blue |
Green-Gold |
Blue-Purple |
Gold-Orange |
|
| White-Blue |
Red-Gold |
Green-Purple |
Blue-Orange |
|
|
| White-Gold |
Red-Purple |
Green-Orange |
|
|
|
| White-Purple |
Red-Orange |
|
|
|
|
| White-Orange |
|
|
|
|
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Similarly, CME will list the following Pack butterflies:
| One Year Pack Butterflies |
|
Two Year Pack Butterflies |
| White-Red-Green |
|
White-Green-Gold |
| Red-Green-Blue |
Red-Blue-Purple |
| Green-Blue-Gold |
Green-Gold-Orange |
| Blue-Gold-Purple |
|
| Gold-Purple-Orange |
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CME Globex Behavior for the New Combinations
The new pack spreads and pack butterflies will return fills on the underlying legs of the contract. Here is an example of
the trade messages that will be returned on the pack spreads and pack butterflies:
| Pack Spread trade GE:PS H6-H7 |
| 0105's = 18 |
Each trade receives 9 execution messages: |
| •1 on the spread differential GE:PS H6-H7 |
| •1 for each underlying leg of the two packs (total of 8) |
| |
| M6's = 11 |
1 on the spread differential GE:PS H6-H7 |
| •1 on each pack (total of 2) |
| •1 for each underlying leg of the two packs (total of 8) |
| |
| M0 = 1 |
1 on the spread differential GE:PS H6-H7 |
| |
| Pack Butterfly trade GE:PB H6-H7-H8 |
| 0105's = 26 |
Each trade receives 13 execution messages: |
| •1 on the pack butterfly differential GE:PB H6-H7-H8 |
| •1 for each underlying leg of the three packs (total of 12) |
| |
| M6's = 16 |
1 on the pack butterfly differential GE:PB H6-H7-H8 |
| •1 on each pack (total of 3) |
| •1 for each underlying leg of the three packs (total of 12) |
| |
| M0 = 1 |
1 on the pack butterfly differential GE:PB H6-H7-H8 |
Front-end software systems will be able to link the underlying legs to the pack spreads and butterflies through the CME Market
Data API (MD API) Instrument Creation Message or MO records. Please refer to each of the following examples of an MO message.
Note positions 113-352 to see underlying instruments or legs.
GE:PS M0-M1 referential breakdown
CME sends Instrument Creation Message
Position 6-11 (ISIN): 800310
Position 34-35 (Message Type): MO
Position 72-91 (Instrument Code): GE:PS M0-M1
Position 92 (Instrument Type): D (spread)
Position 113-352 (Underlying Instruments): 806001809001812001803101806101809101812101803201
Position 322-422 (Ratio): +01+01+01+01-01-01-01-01
Position 727-728 (Strategy Type): HZ
GE:PB M6-M7-M8 referential breakdown
CME sends Instrument Creation Message
Position 6-11 (ISIN): 800312
Position 34-35 (Message Type): MO
Position 72-91 (Instrument Code): GE:PB M6-M7-M8
Position 92 (Instrument Type): D (spread)
Position 113-352 (Underlying Instruments): 806600809600812600803700806700809700812700803800806800809800812800803900
Position 322-422 (Ratio): +01+01+01+01-02-02-02-02+01+01+01+01
Position 727-728 (Strategy Type): HZ
If you have any questions or concerns about this CME Product launch, please contact Craig Bewick, 312.642.3839; Larry Grannan,
312.454.8312; or Peter Barker, 312.930.8554, CME Interest Rate Products.
Thank you,
CME
1.800.331.3332
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