Additions to Futures, Options, and Combo FIXML Product Reference Files, and Two New Valuation Methods Effective January 23, 2012

In response to customer requests, please be advised that beginning January 23, 2012, the following new repeating blocks values will be added to the Futures and Options FIXML Product Reference files (when applicable):

·         Trade/Settlement Price Can Be Negative Indicator (futures/combos file only), new Attribute Type “36”

·         Strike Price Can Be Negative Indicator, new Attribute Type “37”

In addition, the forwards (CME OTC FX, COMEX Gold Bullion, and NYMEX Freight forwards) included in the Futures Product Reference files will have a new attribute, “Final Settlement Currency (FnlSettlCcy), denoting the currency which will pertain to the given forward contract, either daily or at final settlement.  Also, two new valuation methods have been defined, to further define a forward. “FWDC” means “Forward, Cash-Settled Daily, Standard Currency Convention,” and “FWDCI” means “Forward, Cash-Settled Daily, and Inverse Currency Convention.”

The Product Reference Files, as always, are located at ftp.cmegroup.com/pub/fprf, and have a naming convention of “cmeg.EXCHANGE.PRODUCT_TYPE.prf.YYYYMMDD.xml.zip, where:

• EXCHANGE is cbt, cme, comex, dme, gex, or nymex
• PRODUCT_TYPE is combo, fut, or opt
• YYYYMMDD is the Century, Year, Month and Day for the file (note, the Business Date (note that BizDt within each file is the next processing day after the date in the file name, as the Product Reference files are a set-up for the next day’s processing).

Samples of the new tag, values, and blocks occur on the following pages.

Should you have any questions, please contact CCS at 312-207-2525.

12-031

FOR THE FULL TEXT OF THIS ADVISORY, CLICK HERE