• CME Globex Notices: July 7, 2008

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20080707
      • Notice Date
      • 07 July 2008
    • Topics in this issue include:
      Critical System Updates
      Product Launches
      Product Changes
      Events and Announcements


      Critical System Updates

      FIX/FAST AutoCert+ in the Certification Environment 
      To prepare for upcoming launches in New Release, this Monday, July 14, the AutoCert+ certification suite for FIX/FAST market data will be moved from the New Release environment to the Certification environment. Customers will be able to complete their testing and certification in the Certification environment, which will always mirror the current production functionality and environment.

      To support the AutoCert+ move to Certification environment, CME Group is launching the attached new  Market Data Platform multicast channels and ports. Please note: customers may need to complete changes to their network settings to connect to the new channels.

      Order Status Enhancements
      CME Group is launching enhancements to both the inbound Order Status Request and outbound Execution Report - Order Status iLink messages. Scheduled to launch Sunday, August 24, 2008, these enhancements will provide more precise and current state information on working orders.

       Client Impact Assesment is now available with detailed information. CME Group strongly recommends all front-end trading systems completely test the enhanced order status messaging in New Release, available Monday, July 14.

      Product Launches

      New Weather Futures on CME Globex
      Effective Sunday, July 27 (trade date Monday, July 28), the following Heating Degree Days (HDD), Cooling Degree Days (CDD) and Cumulative Average Temperature (CAT) Weather futures, weeklies and strips will be listed for trading on the CME Globex platform:

      Weather Futures on CME Globex

      Product Instrument Group Code Product Code
      HDD Colorado Springs Futures H5 V3
      HDD Jacksonville Futures VF
      HDD Little Rock Futures VG
      HDD LA USC Campus Futures VH
      HDD Raleigh Durham Futures VK
      HDD Washington Reagan Futures VU
      HDD Oslow-Blindern Futures D0 (d-zero) D6
      CDD Colorado Springs Futures K5 A3
      CDD Jacksonville Futures A0 (a-zero)
      CDD Little Rock Futures AT
      CDD LA USC Campus Futures AH
      CDD Raleigh Durham Futures AK
      CDD Washington Reagan Futures AU
      CAT Oslow-Blindern Futures G0 (g-zero) HL

      Weekly Weather Futures on CME Globex

      Product Instrument Group Code Product Code
      Colorado Springs Weekly Futures H0 (h-zero) V31-5
      Jacksonville Weekly Futures VF1-5
      Little Rock Weekly Futures VG1-5
      LA USC Campus Weekly Futures VH1-5
      Raleigh Durham Weekly Futures VK1-5
      Washington Reagan Weekly Futures VU1-5

      In addition, with this launch the following Weather seasonal strips will be available:

      Weather Seasonal Strips on CME Globex

      Product Instrument Group Code Starting October Starting November Starting December Starting January Starting February Starting March
      HDD Colorado Springs Strips H5 V3V V3X V3Z V3F V3G V3H
      HDD Jacksonville Strips VFV VFX VFZ VFF VFG VFH
      HDD Little Rock Strips VGV VGX VGZ VGF VGG VGH
      HDD Raleigh Durham Strips VKV VKX VKZ VKF VKG VKH
      HDD Washington Reagan Strips VUV VUX VUZ VUF VUG VUH
      HDD Oslow-Blindern Strips D0 (d-zero) D6V D6X D6Z D6F D6G D6H
      CDD Colorado Springs Strips K5 A3J A3K A3M A3N A3Q A3U
      CDD Jacksonville Strips A0J A0K A0M A0N A0Q A0U
      CDD Little Rock Strips ATJ ATK ATM ATN ATQ ATU
      CDD Raleigh Durham Strips AKJ AKK AKM AKN AKQ AKU
      CDD Washington Reagan Strips AUJ AUK AUM AUN AUQ AUU
      CAT Oslow-Blindern Strips G0 (g-zero) HLJ HLK HLM HLN HLQ HLU

      These new Weather futures, weeklies and strips will be available for customer testing in New Release and Certification on Monday, July 14.

      Options on E-mini S&P® SmallCap 600® Futures
      Effective Sunday, July 27, 2008 (for trade date Monday, July 28), options on the E-mini S&P SmallCap 600 futures will launch on CME Globex. Full User-Defined Spreads (UDS) functionality will be available upon launch; in addition, the following exchange-defined strategies will be listed.

      E-mini S&P SmallCap 600 Options

      Product Instrument Group Code Product Code Strategy Type Code
      E-mini S&P SmallCap 600 Option Outrights 7S SMC
      E-mini S&P SmallCap 600 Option Straddles 7P ST
      E-mini S&P SmallCap 600 Option Strangles SG
      E-mini S&P SmallCap 600 Verticals VT
      E-mini S&P SmallCap 600 Horizontals HO
      E-mini S&P SmallCap 600 Butterflies BO

      These options and strategies will be available for customer testing in Certification and New Release on Monday, July 14.

      Options on Eurodollar Futures Calendar Spreads
      Effective Sunday, August 17, 2008 (trade date Monday, August 18), CME Group is launching options on Eurodollar futures calendar spreads. Both outright options and straddles will be available on CME Globex for trading, as well as full User-Defined Spreads (UDS) functionality.

      Eurodollar calendar spread options are designed to help market participants better manage risk exposures specifically tied to the slope of the Eurodollar rate curve. Call options will be exercisable into one long nearby Eurodollar futures contract and one short deferred Eurodollar futures contract, for example June 2008 (long) and June 2009 (short). Put options will be exercisable into a short nearby Eurodollar future and a long deferred one.

      These options will be listed with the futures calendar spread as the indicated underlying. There will not be a synthetic future listed, as is the current practice for the NYMEX complex options on CME Globex. These options will support zero and negative strike prices.

      Eurodollar Calendar Spread Options

      Product Instrument Group Code Product Code Strategy Type Code
      Eurodollar Calendar Spread Options 8I (8-eye) SPO
      Eurodollar Calendar Spread Option Straddles 8G ST

      These options and strategies will be available for customer testing in New Release on Monday, July 21.

      NYMEX LCH ECM & MTF Products on CME Globex
      As previously announced, this summer NYMEX and LCH.Clearnet are launching a broad range of global energy products for trading on the CME Globex platform. NYMEX is offering a new and distinct slate of OTC and futures products for clearing through LCH.Clearnet through two new exchanges: NYMEX ECM and NYMEX MTF. The initial slate will encompass the global benchmark oil contracts, including WTI, Brent and Gasoil, as well as key natural gas and electricity contracts. These new products will be cleared by LCH.Clearnet using existing and widely distributed clearing technology, thus optimizing operational efficiencies for market participants.

      This historic alliance will deliver improved capital and operational efficiencies through wider execution capabilities, broader credit intermediation and margining benefits for customers and market participants.

      More information on the arrangement and benefits for market participants is available at  www.nymexonlchclearnet.com.

      Please note: the NYMEX ECM contracts require development to support trading of these unique products. Detailed development information is available in the  NYMEX ECM and NYMEX MTF Products on CME Globex Client Impact Assessment. The complete lists of new products are available in the  NYMEX ECM Snapshot and  NYMEX MTF Snapshot.

      These products are currently available for customer testing in the New Release environment. The mock trading session previously scheduled for June 28 has been cancelled. End-to-end testing to the LCH Clearing House is available in the New Release environment for configured customers. Please contact  CSET at 312.930.2322 or your  CME Globex Account Manager at 312.634.8700 to be configured.

      Product Changes

      NEW NYMEX Aluminum Listing Changes
      Effective Sunday, July 20, 2008 (trade date Monday, July 21), the back months in the NYMEX Alumnium futures and options will be delisted. The futures, which currently list up to 24 months, will list the spot month plus the next three consecutive contract months. Only options on listed futures will be available for trading.

      30-Day Fed Funds Futures and Options Enhancements
      Beginning Sunday, August 3, 2008 (trade date Monday, August 4) the following changes will be applied to the 30-Day Fed Funds futures, options and spreads:

      • The expiring, front month of the 30-Day Fed Funds futures contract will trade in 1/4 basis points. Currently, all Fed Funds futures trade in 1/2 basis point increments. With this change, the front Fed Funds future will always trade in 1/4 tick increments beginning the first Sunday within the expiration month. Implied functionality will not be available on the 1/4 tick front month outrights and spreads.
      • The price display format for the Fed Funds futures and options will be changed to match the current Eurodollar price display convention. With this change, the CME Globex minimum tick for the expiring, front month future, underlying options and spreads will display 0.25. All other months will display the minimum tick 0.50. Currently, the 30-Day Fed Funds price displays use a single decimal (i.e., minimum tick is 2.5 or 5).
      • 12-month futures strips will be listed for trading on the CME Globex platform.

      All these changes are currently available in New Release for customer testing. The new 12-month futures strips will be available on Monday, July 21.

      Interest Rate Futures Group Code Consolidation
      Effective Sunday, August 3 (trade date Monday, August 4), the Instrument Group Codes for the following Interest Rate futures will be changed:

      Interest Rate Futures & Spreads Group Code Changes

      Product Product Code Current Instrument
      Group Code
      New Instrument
      Group Code
      30-Year U.S. Treasury Bond ZB ZB ZB
      10-Year U.S. Treasury Note ZN ZN
      5-Year U.S. Treasury Note ZF ZF
      2-Year U.S. Treasury Note ZT ZT
      30-Year U.S. Interest Rate Swap I3 I3
      10-Year U.S. Interest Rate Swap SR SR
      5-Year U.S. Interest Rate Swap SA SA

      The Instrument Group Code can be found in the Security Definition (tag 35-MsgType=d) FIX/FAST message, tag 55-Symbol; and in the Instrument Creation (MO) RLC-format message at position 70.

      These changes are now available for customer testing in New Release.

      Events & Announcements

      Earlier Sunday Security Definition and MO Messages
      Effective Sunday, July 13, in all customer-facing environments, the weekly FIX/FAST Security Definition (FIX tag 35-MsgType=d) and RLC Instrument Creation (MO) message broadcasts will go out one hour earlier at 11:00 a.m. Central time (CT). Currently, these messages go out every Sunday at 12:00 p.m. CT.

      NEW CME Globex Disaster Recovery Program
      CME Group is committed to the protection of its members, employees and stakeholders and has a long history of successfully managing risk. In keeping with those traditions, CME Group has a comprehensive business continuity program in place.

      CME Group offers two programs for business continuity testing: CME Globex DR Connectivity testing and Simulated CME Globex DR testing.

      The CME Globex DR Connectivity testing, conducted monthly, is designed to ensure that customers can establish a connection to the DR environment in case of an emergency. Customers are required to register in advance to participate  online. Disaster Recovery IPs and ports have been distributed by your CME Globex Account Manager.

      Complete information on the CME Group business continuity program and the CME Globex DR Connectivity testing, including testing session dates, is available  online. CME Group encourages all directly connected customers review the  DR Client Impact Assessment.

      Saturday FIX/FAST Testing 
      Starting this Saturday, July 12, and continuing through Saturday, October 4, CME Group will replay production-speed market data in the production environment for FIX/FAST and RLC formats for 30 minutes, from 11:30 a.m. to noon Central time (CT).

      There will be no replay window on the Labor Day holiday weekend, on Saturday, August 30.

      The data disseminated during each Saturday's replay window will be captured during the prior mid-week trading.

      CME Group recommends all system providers purge and reload their instrument databases every week. To support testing during these replay windows, the FIX/FAST Security Definition (tag 35=d) and RLC Instrument Creation (MO) messages from the prior week will be available on the instrument definition channels each Saturday morning starting at 10:00 a.m.

      Support will be available; customers may call 312.715.6003 with any questions during the replay windows.

      The following market data channels for FIX/FAST and RLC formats will be available:

      MDP Channels for Production Replay Windows

      Products FIX/FAST Channel RLC Channel
      Legacy CME Equity Futures 7 7
      Legacy CME Equity Options 8 8
      Legacy CME Interest Rate Futures 9 9
      Legacy CME Interest Rate Options 10 10
      NYMEX Crude Oil Energy Futures 30 30
      NYMEX Crude Oil Energy Options 35 35
      Legacy CBOT Commodity Futures 111 111
      Legacy CBOT Commodity Options 112 112
      Legacy CBOT Interest Rate Futures 115 115
      Legacy CBOT Interest Rate Options 116 116

      Channel definitions, including IPs and ports, are available online:

      • Certified FIX/FAST customers can access the channel definitions in XML format at  ftp.cme.com
      • RLC channel definitions are available in  PDF format

      Please contact your CME Globex Account Manager with any questions at 312.634.8700; in Europe at +44.20.7796.7100; or in Asia at +852.3101.7696.

      NEW Messaging Policy Q3 2008 Benchmarks
      The Q3 2008  Messaging Policy benchmarks are now available online. There are no changes from the Q2 benchmarks.

      The benchmarks are published quarterly and are based on the per-product Volume Ratios, including the prior quarter's roll trading.

      The CME Globex Messaging Policy creates fair business guidelines by which customers are billed a surcharge for overly high message rates. Under the CME Globex Messaging Policy, each clearing member firm (active or inactive clearing member firms which maintain relationships with CME Clearing) must not exceed product-specific benchmarks, tailored to the valid trading strategies of each market. CME Group calculates benchmarks based on a per-product Volume Ratio.