CME Globex Notices: May 4, 2009

SenderCompID Validation on Cancel and Cancel/Replace Request
Effective Sunday, May 31, 2009, CME Globex will validate FIX tag 49-SenderCompID on all Order Cancel Request (tag 35-MsgType=F) and Cancel/Replace Request (tag 35=G) messages. The value in tag 49-SenderCompID must match the tag 49 value on the original New Order message (tag 35=D).

Any Order Cancel Requests or Cancel/Replace Requests submitted with a tag 49 value that does not match the value in the original New Order message will be rejected.

This validation is currently available for customer testing in New Release.

Market Depth Change to 10-Deep for Futures
Effective Sunday, May 31, 2009, 10-deep market data will be launched for CME Equities (Market Data Platform channel 7), MGEX futures (118) and KCBT futures (120). This launch will impact all client systems because all systems must process all 10 levels, even if you choose to display 5-deep order books.

There is no change for implied market data book depth.

A mock trading session, to better support customer testing, will be held Saturday, May 30, 9 - 10 a.m. CT, for CME Equity futures on channel 7. 10-deep FIX/FAST market data will be broadcast at production levels for all products on the listed channels. CME Group strongly recommends participants also test the market recovery snapshots to ensure there is no negative system impact to recovery. Participants may also submit orders via iLink.

During the mock, FirmSoft will not be available, and price banding and limits will not be in effect.

CME Globex Control Center support will be available for mock participants at 312.456.2391. Customers are encouraged to dial into the teleconference for information related to the mock trading session at 866.548.4703 or 719.785.9423, passcode 584529.

Customers are required to register by noon Friday, May 29, to participate in these mock trading sessions with your  CME Globex Account Manager.

Please note: customers should not make any changes to resting GTC/GTD orders during the mock session.

More details on this launch and the required customer development is available online in the  Client Impact Assessment.

The 10-deep futures order book are currently available in New Release for customer testing.

Heartbeats on FIX/FAST Snapshot Recovery and SecurityDefinition Replay Channels
In response to customers' requests, effective Sunday, June 14, 2009, heartbeats (tag 35-MsgType=0) will be broadcast during Sunday start-up on the FIX/FAST Snapshot Recovery and SecurityDefinition replay channels in the production environment. Heartbeats were broadcast during Sunday, April 19's start-up; however, the launch was postponed to allow additional customer testing time.

These heartbeat messages will facilitate connection verification during Sunday start-up, as customers connect but data is not yet available for replay. Currently, customers have to wait until data begins flowing on the replay channels to verify connectivity.

Detailed information on this change is available online in the  Client Impact Assessment in section 2.1. The heartbeat messages at start-up are currently available in New Release for customer testing.

Elimination of Exchange-Defined Options Strategies on CME Globex
CMEG currently prelists approximately 360,000 options spreads per week, known as Exchange-Defined Spreads (EDS). Less than 1% of the more than 360,000 EDS have activity. Due to customer and system provider demand, CMEG has chosen to remove all EDS and make all option strategies user defined. A User-Defined Spread (UDS) is an option spread that a trader creates by defining the spread's legs and ratios. CME Globex receives these legs and creates a tradable instrument that is disseminated to the entire market. If the created spread matches a known CMEG spread type (e.g., straddle), CME Globex will properly identify the spread as that type.

The decommission of CMEG options EDS will happen on the following timeline:

2 August

• CMEG will add the following recognized UDS spread types: Jelly Roll, Iron Butterfly, Guts, 3-way Straddle vs. Call, and 3-way Straddle vs. Put
• CMEG will no longer pre-list any options spreads. Existing EDS will be removed, and no new EDS will be added. All option spreads must be created by traders using their trading software’s UDS functionality.
• All system providers that support option spreads must have developed to the UDS functionality properly identifying UDS' that match CMEG recognized spread types
• Currently available in New Release

The following resources are available for UDS functionality:

• A New  client impact assessment is now available.
•  iLink order entry UDS specifications (Section 6, p. 40)
•  FIX/FAST market data UDS impact
• A list of all CMEG recognized spread types in  Electronic Trading Concepts

Variable Quantity Products
The first Variable Quantity energy products on CME Globex - including Henry Hub Swap futures (NN), the 5MWH PJM Western Hub futures (L1) and 50MWH PJM Western Hub futures (4SN), and 11 basis swap futures - will launch on CME Globex Sunday, May 17, 2009 (trade date Monday, May 18). Detailed product information for CME Globex is available  online. These products have a fixed contract size and a multiplier, which is applied to the number of lots traded to calculate the total Cleared Quantity. The Cleared Quantity varies within a product based upon the instrument's maturity.

A mock trading session, to support customer readiness, will be held this Saturday, May 9, 9 - 10 a.m. CT, for the new variable quantity futures. Participants may submit orders via iLink and receive FIX/FAST market data messaging. During the mock, end-to-end testing through CME Clearing will be supported. FirmSoft will be available. Price banding and limits will not be in effect. CME Globex Control Center support will be available for mock participants at 312.456.2391. Customers are encouraged to dial into the teleconference for information related to the mock trading session at 866.548.4703 or 719.785.9423, passcode 584529. A mock trading script is available  online.

Customers are required to register by noon tomorrow, Friday, May 8, to participate in these mock trading sessions with your  CME Globex Account Manager.

A  Client Impact Assessment is available online that details the FIX/FAST messaging impacts and order entry display considerations to support these new products.

The FIX/FAST Security Definition message (tag 35-MsgType=d) has been enhanced to support the upcoming launch of variable quantity energy products on CME Globex. With this launch, the new tag 996-UnitofMeasure will be populated with a unit of measure for the contract size for all outright instruments listed on CME Globex.

The updated template for SecurityDefinition messages is now available in all customer-facing environments. Please note: CME Group recommends customer systems pull the templates from the  CME Group ftp site every week, prior to Sunday start.

 Options on Commodity Futures Calendar Spreads
Effective Sunday, May 31 (trade date Monday, June 1), options on the following commodity futures calendar spreads will be launched on CME Globex. Outright options and full User-Defined Spreads (UDS) functionality will be available on CME Globex for trading.

These products are options on the price differential between two contract months, rather than on the underlying asset itself. Therefore, they offer alternative hedging capabilities compared to standard options, and can provide a more precise hedge against adverse movements in price spreads in the grain and oilseed markets. Calendar spread options are sensitive only to the value and volatility of the spread itself, rather than the price of the underlying commodity. They are more efficient than combining options on 2 different months in an effort to replicate the spread, and provide a better risk management device for hedgers and market participants exposed to calendar spread risks.

These options will be listed with the futures calendar spread as the indicated underlying. In line with the current listing of Eurodollar calendar spread options, there will not be a synthetic future listed. These options will support zero and negative strike prices.

These options will be available for customer testing in New Release on Monday, May 18.

 Delisting Interest Rate Swap Options
Effective close of business tomorrow, Friday, May 8, the following Interest Rate Swap options will be delisted:

• 5-Year Interest Rate Swap Options (OSA)
• 10-Year Interest Rate Swap Options (OSR)

Implied Functionality for 3-Year U.S. Treasury Note Calendar Spreads
Effective Sunday, May 17 (trade date Monday, May 18), implied functionality will be enabled for the calendar spreads on 3-Year U.S. Treasury Note futures.

Implied functionality for the 3-Year U.S. Treasury Note futures calendar spreads is now available for customer testing in New Release.

Options Pre-Open on CME Globex
Effective Sunday, May 17, CME Group is expanding the pre-open market state to all options on CME Globex. Currently, only futures and CME and CBOT Interest Rate options markets have a pre-open market state.

The pre-open market state is a predetermined time before the trading session opens when customers can begin entering, modifying and canceling orders for the following trading day.

The schedules for all options markets on CME Globex are available  online.

The pre-open market states are currently available for customer testing in New Release for all options on CME Globex.

Energy TAS Pricing Changes
Effective Sunday, June 21 (trade date Monday, June 22), the trade pricing conventions for all energy Trade At Settlement (TAS) products listed on CME Globex will be re-benchmarked.

Currently on CME Globex, these products trade at settlement price equals 100, with valid trade prices ranging from 110 to 90.

With this change, settlement price will equal 0, and valid trade prices will range from -10 to 10. Thus, these instruments may trade at both negative and zero price.

As a reminder, instruments eligible to trade at negative prices are identified by tag 871=24, tag 872=11 in the Security Definition (tag 35=d) message. Instruments eligible to trade at zero prices are identified by tag 871=24, tag 872=16 in the Security Definition message.

The TAS products with the new pricing convention will be available for customer testing in New Release on Monday, June 1.

 FIX tag 55-Symbol Consolidation for Soybean Complex Futures
Effective Sunday, June 28, the Symbol (FIX tag 55) for the Soybean complex futures will be consolidated.

This tag 55-Symbol consolidation will be available in New Release for customer testing Monday, May 18.

 Messaging Policy Benchmark Update for Eurodollar Futures
Effective immediately, based on recent market norms, the messaging policy benchmark for Eurodollar futures has been increased from 3:1 to 5:1.

As a reminder, CME Group publishes updated messaging policy benchmarks at the start of each quarter, based on the per-product Volume Ratios including the prior quarter's roll trading.

The CME Group Messaging Policy benchmarks are available  online.

 CME Globex Disaster Recovery Connectivity Testing
This Saturday, May 9, is the monthly CME Globex DR Connectivity test. The testing 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 Overview.

New Release Environment Harmonization

To provide a robust customer testing environment as close to production as possible, CME Group is harmonizing the New Release environment Sunday, May 10. This synchronization will result in listed instruments in New Release better matching those listed in production; for instance, strike prices will match. The following impacts will occur:

• All GTC and GTD orders will be removed.
• All User-Defined Spreads (UDS) will be eliminated.
• The ISIN Codes for all currently listed products will be impacted.
  • CME Group recommends all customers purge and re-load their instrument databases from the Security Definition (tag 35-MsgType=d) market data messages every week.
  • There is no impact for customers who purge and re-load weekly, or who do not rely on the ISIN Code for instrument identification.
  • Please contact your front-end system provider for more information.

Changes to the GCC Telephone Menu
The CME Globex Control Center's (GCC) telephone menu options will be modified and streamlined to enhance our abilty to expedite and resolve customers' requests.

These streamlined GCC telephone menu options will go into effect Sunday, May 17, 2009:

Press option 1

To invoke the Error Trade Policy or report a block trade

Press option 2

To status or cancel a working order or request a net position

Press option 3

To request technical assistance for connectivity, order entry or market data issues, CME Globex functionality and EOS Trader

Press option 4

All other requests for market assistance for production trading (e.g., product specifications, holiday calendars, etc.)

For GCC administrative assistance, please call 312.580.5387.

Customers using the Certification and New Release environments should continue calling CSET directly at 312.930.2322.

Customers trading OneChicago Single Stock Futures should continue calling 312.424.8500 for OneChicago assistance.

CME Globex Holiday Trading Hours Update
The following changes have been made to the CME Globex holiday trading schedules for all NYMEX, COMEX and DME products:

Memorial Day

Friday, May 22 - Close early at 1515 CT (previously 1615 CT)

Monday, May 25 - Halt at 1215 CT (previously 1615 CT) and resume trading at 1700 CT

Fourth of July

Friday, July 3 - Close early at 1230 CT (previously 1615 CT)

Labor Day

Friday, September 4 - Close early at 1515 CT (previously 1615 CT)

Monday, September 7 - Halt at 1215 CT (previously 1615 CT) and resume trading at 1700 CT

Columbus Day

Friday, October 9 - Close early at 1515 CT (previously 1615 CT)

Thanksgiving Day

Thursday, November 26 - Halt at 1215 CT (previously 1615 CT) and resume trading at 1700 CT

Friday, November 27 - Close early at 1230 CT (previously 1615 CT)

Christmas Day

Thursday, December 24 - Close early at 1230 CT (previously 1615 CT)