CME Globex Notices: June 20, 2011

 CBOT and CME Interest Rate Futures Enhancements
Effective third quarter 2011, a number of enhancements will be introduced for CBOT and CME Interest Rate futures and future spreads on CME Globex.

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

CME Group recommends all system providers supporting CBOT and CME Interest Rate futures test these changes thoroughly in New Release.

MexDer Markets via CME Globex
In early Q3 2011, MexDer, Mercado Mexicano de Derivados markets will be available via CME Globex for iLink order routing and FIX/FAST market data. CME Group customers who would like to trade MexDer products must establish all appropriate agreements and accounts to be authorized to trade MexDer products. CME Group customers interested in accessing MexDer products via the CME Globex platform must develop and complete certification for new functionality and messaging specific to MexDer markets.

MexDer market data via CME Globex will utilize a new FIX/FAST template. The new template is currently available in New Release. A new mandatory certification suite is currently in AutoCert+ for customer systems planning to support MexDer via CME Globex.

MexDer markets via CME Globex are currently available New Release for customer testing.

The  client impact assessment provides detailed functionality and messaging for customer systems interested in supporting MexDer products via CME Globex.

 30-Day Federal Funds Mid-Curve Options
Effective Sunday, June 19 (trade date Monday, June 20), 30-Day Federal Funds Mid-Curve options will be listed for trading on CME Globex. The new Fed Funds Mid-Curve options are short-dated options on deferred Fed Funds futures that will expire on the last trading date of their expiration month, with reference to the daily settlement price of the underlying Fed Funds futures contract.

These contracts are listed with, and subject to, the rules and regulations of CBOT.

The 30-Day Federal Funds Mid-Curve options are currently available for customer testing in New Release.

Trading At Marker (TAM) - Singapore
Effective Sunday, July 10 (trade date Monday, July 11), CME Group will introduce the Singapore Trading at Marker (TAM) on CME Globex.

TAM is similar to the existing Trading at Settlement (TAS) trading, where customers will be permitted to trade at a differential that represents a not-yet-known price. TAM trading will use a marker price, whereas TAS trading uses the Exchange-determined settlement price for the applicable contract month.

These contracts are listed with, and subject to, the rules and regulations of NYMEX. Additional information for Singapore TAM trading is available  online.

For any given product, there may be more than one marker available to trade. This launch includes a 4:30 p.m. Singapore GMT time marker to correspond with the Singapore market close and allows market participants to trade relative to the Exchange calculated marker price.

In the same way TAS uses “0” to represent the unknown settlement price and trades ± 10 ticks, TAM uses “0” to represent the price at the time of the marker and trades at ± 10 ticks.

These products will be available for customer testing in New Release on Monday June 27.

The TAM marker prices will be disseminated via the Market Data Platform NYMEX ITC channel.

 Short-term Crude Oil and Natural Gas Options
Effective Sunday, July 17 (trade date Monday, July 18), Short-term Crude Oil and Natural Gas options will be listed for trading on CME Globex.

Short-term Crude Oil and Natural Gas options contracts will have daily expiration dates listed up to five days in advance. Short-term natural gas and crude oil options will run off standard strike prices and the standard front-month futures contract.

These contracts are listed with, and subject to, the rules and regulations of NYMEX.

These products will be available for customer testing in New Release Monday, July 11, 2011.

 Short-term Gold Options
Effective Sunday, July 17 (trade date Monday, July 18), Short-term Gold options will be listed for trading on CME Globex platform.

The Short-term Gold options represent a cost-effective means for professional investors to gain exposure to gold. These new short-term options contracts will have daily expiration dates listed up to five days in advance. Short-term gold options will run off the standard strike prices and the cycle month futures contract.

These contracts are listed with, and subject to, the rules and regulations of COMEX.

These options will be available for customer testing in New Release Monday, July 11, 2011.

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 this Saturday, June 25. 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 tag 48-SecurityID values 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 tag 48-SecurityID values for instrument identification.
  • Please contact your front-end system provider for more information.

If you experience any testing issues in New Release, please contact  Certification Support for Electronic Trading (CSET) at 312.930.2322 for assistance.

Match Algorithm Change for CBOT Grain Futures Calendar Spreads
Effective this Sunday, June 26 (trade date Monday, June 27), the CME Globex match algorithm for the following CBOT Grain futures calendar spreads will be modified:

• Corn futures (tag 1151-SecurityGroup=ZC)
• Mini-Sized Corn (tag 1151-SecurityGroup=XC)
• Wheat futures (tag 1151-SecurityGroup=ZW)
• Mini-Sized Wheat (tag 1151-SecurityGroup=XW)
• Soybeans futures (tag 1151-SecurityGroup=ZS)
• Mini-Sized Soybeans (tag 1151-SecurityGroup=XK)
• Soybean Meal futures (tag 1151-SecurityGroup=ZM)
• Soybean Oil futures (tag 1151-SecurityGroup=ZL)
• Oats futures (tag 1151-SecurityGroup=ZO)
• Rice futures (tag 1151-SecurityGroup=ZR)

These products will continue to utilize TOP order with a 40% FIFO/60% Pro-Rata split. However, the ‘leveling’ component of the algorithm, which assigns the residual volume to the largest orders in the book, will be replaced by a FIFO allocation.

The match algorithm applied to each instrument is identified in the Security Definition (tag 35-MsgType=d) message in tag 1142-MatchAlgorithm. Descriptions of each algorithm currently in use on CME Globex are available   online.

These contracts are listed with, and subject to, the rules and regulations of CBOT.

CBOT Grain futures calendar spreads with the modified match algorithm is now available for customer testing in New Release.

PIMCO CRR TRAKRS Futures Delisting
Effective close of business this Wednesday, June 29, the PIMCO CRR TRAKRS futures (tag 1151-SecurityGroup=PCT) will be delisted with expiration of the June 2011 maturity.

Operational Cheese Futures Display Factor Changes - Postponed
The FIX tag 9787-DisplayFactor change, originally scheduled for Sunday, July 10, has been postponed.

Effective Sunday, July 10 (trade date Monday July 11), changes to Tag 9787-DisplayFactor values will be implemented for Cheese futures.

This is an operational change only and does not impact the current minimum price increments allowed for Cheese futures under CME Rule 6002C. Price Increments. Minimum price fluctuations shall be in multiples of $.0010 per pound.

These contracts are listed with, and subject to, the rules and regulations of CME.

These changes will be available for customer testing in New Release on Monday June 27.

More information on tag 9787-DisplayFactor is available in the   FIX/FAST Message Specifications module of the FIX/FAST SDK.

Listing of Additional Contract Months in CERplus^SM Futures and RGGI Futures and Options
Effective Sunday, July 10 (trade date Monday, July 11), additional maturities will be listed on Green Exchange and available for trading on CME Globex for the following:

• Certified Emission Reduction Plus Futures (tag 1151-SecurityGroup=CPL)
  • December 2011
  • December 2012
  • December 2014
• Regional Greenhouse Gas Initiative futures(tag 1151-SecurityGroup=RGI)
  • January 2012 through December 2012
  • December 2013
  • December 2014
• Regional Greenhouse Gas Initiative options (tag 1151-SecurityGroup=RGX)
  • January 2012 through December 2012
  • December 2013
  • December 2014

These additional listings will be available in New Release for customer testing on Monday, June 27.

 Additional Bursa Malaysia Derivative Berhad Crude Palm Oil futures (FCPO) Calendar Spreads
Effective Sunday, July 17 (trade date Monday July 18), additional Bursa Malaysia Derivative Berhad Crude Palm Oil future (FCPO) calendar spreads will be listed for trading on CME Globex. With this change, the spot month and the next five consecutive maturities with alternating maturities up to fifteen months will be listed. Currently, additional Bursa Malaysia Derivative Berhad Crude Palm Oil future (FCPO) calendar spreads are listed for the first six maturities all combinations.

The new calendar spreads are currently available for customer testing in New Release.

 New Synthetic Futures for Commodity Options on Calendar Spreads
Effective Sunday, July 24, new synthetic futures will be launched for the following options on calendar spreads:

Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

The options (tag 1151) will identify the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

The new synthetic futures will be available for customer testing in New Release July 11, 2011.

Revised iLink Session ID Auto-Deletion Process
Effective Monday, May 9, CME Group will implement a revised quarterly iLink session ID auto-delete process. CME Group will replace the previous login requirement to avoid auto-deletion with a minimum message threshold requirement. This threshold will initially be set at 100 messages over a 6-month period; any iLink session ID with fewer than 100 messages will be flagged for deletion. For the purposes of this policy, a message is defined as an order, modify, cancel or mass quote.

Idle iLink session IDs needlessly consume resources and make load balancing and resource allocation planning more difficult. CME Group is committed to managing session IDs to ensure the best performance on CME Globex for our customers. The iLink session ID auto-delete process helps ensure these resources are managed proactively and consistently across the marketplace.

Details on the process are available   online. An e-mail notification will be distributed to Class A clearing firms on Monday, May 9. Class A clearing firms will have six weeks to review their idle session IDs. All idle session IDs will be deleted at end of day this Friday, June 24.