CME Globex Notices: January 3, 2011

Theoretical Settlement Prices via FIX/FAST
Effective Sunday, February 6, theoretical settlement data blocks will be implemented on the Market Data Incremental Refresh (tag 35-MsgType=X) message.

The new data blocks will allow customer systems to differentiate actual final settlement prices (based on the trading day’s market activity) from theoretical final settlement prices (based on CME Clearing calculations). Theoretical settlement prices are only sent for instruments without an actual settlement price.

The theoretical settlement data blocks are similar to the settlement price data blocks, and will contain the following tags and values:

• Tag 286-OpenCloseSettlFlag=4
• Tag 279-MDUpdateAction=0
• Tag 269-MDEntryType=5 (Theoretical Settlement Price)
• Tag 64-SettlDate will not be present

These new Theoretical Settlement data blocks are available in New Release for customer testing.

 Preliminary and Final Settlement Prices via FIX/FAST
Effective Sunday, February 6, the settlement flag to indicate preliminary settlement prices will be consistently applied to all preliminary settlement data blocks.

The preliminary settlement prices are calculated based on market activity on all trading venues during the open outcry trading hours. They can be Actual or Net Change preliminary settlement prices based on whether the instruments are settled to their own activity or to another instrument’s settlement activity. Detailed information for preliminary settlement is available  online.

The preliminary settlement data blocks will contain Tag 286-OpenCloseSettlFlag=100 or 101 to accurately identify the preliminary settlement price. These settlements are disseminated early Monday thru Friday to allow customers to prepare for the opening of the next trading day.

The final daily settlement prices are the official daily settlements published by CME Clearing and disseminated after the start of the next trading day on CME Globex, Monday through Thursday between 7:00 p.m. and 9:30 p.m. CT. Because final settlement prices for some instruments are not available until after 7:00 p.m. CT, not all final settlement prices are published in the Market Data Incremental Refresh (tag 35=X) on Fridays. Client systems should leverage the Security Definition (tag 35-MsgType=d) message upon Sunday startup to determine the most recent final settlement price in tag 1150-TradingReferencePrice.

• Market Data Incremental Refresh (tag 35-MsgType=X)
  • Tag 269-MDEntryType=6
  • Tag 270-MDEntryPX=final daily settlement price
  • Tag 64-SettlDate=date to which the settlement price applies
• Security Definition (tag 35-MsgType=d) message

New Mandatory iLink Tags
Effective Sunday, June 5, new mandatory FIX tags will be introduced on inbound and outbound iLink messages to enhance customer support and assist in market oversight.

Based on customer feedback, the requirements have been updated and clarified to be more easily supported by system providers. A summary of the clarifications are captured below.

The new tags will be used to indentify:

• Front-end system
  • Should reflect the gateway application logging into the iLink session id
• Automated trading indicator flag
  • Does not have to dynamically change on a per-order basis from manual to automated
• Country of origin
  • Does not have to dynamically change based on trader’s current location.
  • For automated systems, the tag should denote the location of the system operator, not the trading system.

All customer order routing systems must support and accurately populate these new tags, and complete the mandatory certification via AutoCert+ by June 5.

The new tags are available in New Release for customer testing.

There are no impacts to FIX/FAST market data with this launch.

Please see the updated   Client Impact Document for a more detailed description of technical and data requirements.

NYMEX and DME Futures Enhancements
Effective Sunday, January 23, a number of enhancements will be introduced for NYMEX and Dubai Mercantile Exchange (DME) futures and future spreads on CME Globex.

Please note: for the NYMEX and DME futures enhancements launch on January 23, customers are asked to please cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for these futures and futures spreads after their respective closes on Friday, January 21. After 16:15 CT on Friday, January 21, all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).

GTC and GTD orders for NYMEX and DME futures and futures spreads may be re-entered during an extended pre-open period, starting at 15:00 CT, on Sunday, January 23. TAS products will pre-open at their normal time, 16:15 CT. If you have any questions, please contact the CME Globex Control Center at 312.456.2391, in Europe at 44.20.7623.4708, or in Asia at 65.6223.1357.

In internal testing environments, the enhancements for NYMEX and DME have resulted in significantly reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce iLink and FIX/FAST response times by an average of 50%. As a result of the reduced message response times, bandwidth utilization in these futures markets is expected to ultimately increase by as much as 50%.

The messaging and functionality impacts are documented online in the   Client Impact Assessment.

CME Group recommends all system providers supporting NYMEX or DME futures test these changes thoroughly in New Release.

 Green Exchange Product Migration
Effective Sunday, January 23 (trade date Monday, January 24), the existing NYMEX emissions products (Green products) will be de-listed from trading on NYMEX and will be listed for trading on Green Exchange (the Transition). These products will use the same SecurityGroup (tag 1151) as they do today; however the value in tag 207-SecurityExchange will be updated from XNYM to GREE. In addition, the value in tag 55-Symbol will be changed for the Green products. The Green futures and options will be disseminated on new Market Data Platform channels 18 and 19 as described below. Information on the new channels is now available in the config.xml file. The channels will be available for customers and broadcasting heartbeats as of Sunday, January 9 in the production and certification environments.

As previously announced, following the Transition, Green futures products will continue to be available for trading via CME Globex and privately-negotiated transactions accepted for submission for clearing through CME ClearPort. In addition, with the Transition, ten Green options products (currently available for trading on the New York trading floor) will be transitioned to and newly listed for trading on the CME Globex platform.

A mock trading session, to ensure customers can trade and receive market data for Green products in the CME Globex production environment, will be offered Saturday, January 22, 8:30 a.m. – 10:00 a.m. Central time. Detailed information for the mock trading session is now available   online. Customers must register with their   Global Account Manager to participate.

Please note: for the Green Exchange launch on January 23, customers are asked to please cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for these futures and futures spreads after their respective closes on Friday, January 21. After 16:15 CT on Friday, January 21, all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).

GTC and GTD orders for Green futures and futures spreads may be re-entered during the normal pre-open, starting at 16:15 CT, Sunday, January 23. If you have any questions, please contact the CME Globex Control Center at 312-456-2391, in Europe at 44.20.7623.4708, or in Asia at 65.6223.1357.

Below is the full list of Green products that are currently available in New Release for customer testing

Grain Options Listing Changes
Effective this Sunday, January 9 (trade date Monday, January), CME Group will list strikes at 5 cent intervals for the third maturity month for Corn (tag 1151=OZC) and Soybean (tag 1151=OZS) options. 5 cent intervals are currently listed for the first and second maturity month for Corn and Soybean options.

For options on Soybean Meal futures (tag 1151=OZM), strikes will be listed at $5 per ton intervals for the first maturity month only. Soybean Meal options currently list the reduced strike intervals for strike prices less than $200 per ton; with this change, for the front month only, the reduced intervals will be listed for the entire strike range.

Expansion of Listings for Brazilian Real Futures
Effective this Sunday, January 9 (trade date Monday, January 10), CME Group will expand the listing of Brazilian Real futures by adding 16 more quarterly contract months, for a total of 28 quarterly contracts. Currently, only 12 quarterly contracts are listed.

This change will make the contract listings at CME Group consistent with the expanded contract listings recently announced at the Singapore Exchange (SGX), and preserve customers' ability to capitalize on the Mutual Offset System (MOS) agreement between CME and SGX.

The new future quarterly contracts are now available for customer testing in New Release.

User-Defined Spreads for E-mini S&P 500 and E-mini NASDAQ-100 Options
Effective this Sunday, January 9, to facilitate the creation and trading of intercommodity User-Defined Spreads (UDS) in the E-mini equity options, the following changes to tag 55-Symbol will occur for User-Defined Spreads only.

Please note: this change will have no impact on the tag 55-Symbol values for the outright options. Only the tag 55 values for the UDS are changing.

Expansion of Listings for Lean Hog Options
In response to customer requests, effective this Sunday, January 9 (trade date Monday, January 10), CME Group will expand the listing of Lean Hog options (tag1151-Security Group=HE) by adding two additional contract months, for a total of 10 contracts. Currently, only eight maturities are listed.

Expansion of TAS on Gold Silver and Copper Futures
Effective Sunday, January 23 (trade date Monday, January 24), CME Group will expand Trading at Settlement (TAS) futures to the second active maturity for Gold and Silver futures on CME Globex. In addition, TAS futures will be listed for the first and second active maturities for Copper futures. With this launch, calendar spreads between the first two active maturities will be available for all three TAS products.

These futures and calendar spreads will be available in New Release for customer testing this Monday, January 10.

Implied Functionality for CBOT Corn Futures and Mini-Sized Corn Futures
Implied functionality, which was disabled for CBOT corn futures and spreads (tag 1151-SecurityGroup=ZC) and mini-sized corn (tag 1151=XC) from August 29, 2010, through December 31, 2010, will be extended until January 31, 2011. During the month of January, a decision on the long-term use of the implied spreading functionality for corn futures will be made public based on our assessment of the markets during the August to December period.

Implied functionality is indicated for every instrument on CME Globex in the FIX/FAST Security Definition message (tag 35-MsgType=d), in tag 1144-ImpliedMarketIndicator.

 Messaging Policy Q1 Benchmarks
The Q1 2011 Messaging Policy benchmarks are now available   online.

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.

CME Group is currently reviewing the Messaging Policy and information regarding any future changes will be available via the Globex Notices.

Please contact your   Global Account Manager with any questions.

 CME Group and GreenX to Host Product Migration Teleconference
10:00 a.m. – 11:15 a.m. Eastern Time, January 12, 2011
CME Group and GreenX cordially invite market participants, clearing member firms, and technology vendors to participate in a teleconference on Wednesday, January 12, to discuss events leading up to and through the transition of NYMEX emissions products (GreenX Products) from NYMEX to GreenX for trade date Monday, January 24. Discussion topics include, but will not be limited to, operations related to Order Entry, Clearing, Market Data and the previously announced Mock Trading Session scheduled for Saturday, January 22.

For more information and to register for the event, please contact   Andrew Pisano.