On Sunday, June 25^th (trade date June 26^th), CME is scheduled to implement Reporting of Detailed Leg Execution Information for Executed CME Equity and CME FX Spread Trades, in an effort to enhance the transparency of its markets. 

A value of “2” (i.e., non-implied instrument with leg messages) in Position 777, Implied Spread Indicator, in the Instrument Creation(MO) message will indicate whether a product will return legs and create implied orders.  The CME Globex platform will also broadcast a market data Trade (M6) message for the spread instrument and for each leg of the spread instrument.  Additional details are available online in the Summer 2006 CME Equity and CME FX Enhancements Client Impact Assessment and the Summer 2006 CME Equity and CME FX Enhancements AutoCert Guide.

CME Equity and CME FX spread leg execution reports are currently available for testing in the CME certification environment.    A short suite of optional tests for this functionality is currently available in the CME AutoCert tool.

If you have any questions regarding this notice, please contact:

Marilee Radecki                                312.930.8193                        mradecki@cme.com

Kevin Brady                                      312.648.3653                        kbrady@cme.com

Thank you.