• FIXML Enhancements for Options on Forwards

      • To
      • Clearing Member Firms; Back Office Managers; Software Providers
      • From
      • CME Clearing
      • #
      • 11-9
      • Notice Date
      • 11 January 2011
      • Effective Date
      • 27 January 2011
    • CME Clearing is pleased to announce the plan to launch options on forwards in 2011, with the full suite of product specific details released in a future advisory. In order to provide these products, the below two FIXML enhancements with be implemented in the New Release test environment applicable to Options on Forwards only. These changes will be available for firm testing beginning Thursday, January 27, 2011. 
       
       
      • For Options on Forwards only, the SecTyp field in the Instrument block of FIXML confirms will have a value of OPT for options.

      • For Options on Forwards only, the SecTyp field in the Underlying block of FIXML confirms will be FWD for forward.
       
      Within the messages, the underlying type FWD indicates that once exercised, the resulting forward is held open in Clearing at original exercise strike price, and marked to market daily from this original exercise price. 
       
       
      In this phase of the implementation, these new values will not be required on inbound messages from firms. Firms may continue to use a SecTyp value of “OOF” for all options, including those on forwards, when sending messages to CME Clearing, 
       
      We encourage all firms to participate in testing to ensure no impact to back end processing.
       
      The planned production implementation is the weekend of February 5, 2011.
       
       
      If you have any questions or require further information please contact CME Clearing at 312-207-2525 or ccs@cmegroup.com.

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