CME Globex Notices: February 13, 2012

  User-Defined Spreads: Covereds Execution Enhancement
Effective Sunday, March 25, 2012 (trade date Monday, March 26), the execution for User-Defined Spreads (UDS):Covereds will be enhanced to better ensure delta neutrality.

Currently, the matching process allows aggressors to incrementally trade a Covered option without being allocated any futures to satisfy the delta neutrality. Starting Sunday, March 25, 2012, the Covered matching algorithm will track executions of a resting order such that when the executed quantity of a customer's option order results in an accumulated delta futures allocation at or above 0.5, a futures contract is allocated to the next fill.

The enhancement is scheduled for a phased launch as follows:

• Sunday, March 25
  • CME FX Options
• Sunday, April 1
  • CME Equity Options
  • CBOT Equity Index Options
  • CBOT Commodity Options
  • CME Commodity, Industrial Commodity and TRAKRS Options
  • KCBT Options
  • MGEX Options
• Sunday, April 15
  • CME Interest Rate Options
  • CBOT Interest Rate Options
  • COMEX Options
  • Green Exchange Options
  • NYMEX Crude Options
  • NYMEX Non-Crude Energy Options

We recommend all system providers supporting Covereds test this enhancement thoroughly in New Release starting on Monday, February 27. Details on UDS:Covereds functionality are available  online.

 Risk Management Interface (RMI)
Effective Sunday, April 1, 2012, CME Group will introduce the Risk Management Interface (RMI), an API and GUI that supports granular, pre-trade risk management for Clearing Firms.

The RMI consists of two components and offers the following services:

• RMI Application Programming Interface (API)
  • Allows Clearing Firms to programmatically send instructions to:
    • Block/Unblock order entry by Execution Firm and Account and Exchange and Derivative Type and Side; Product designation optional
    • Query current block/unblock instructions
• RMI Graphical User Interface (GUI)
  • A web-based user interface that allows Clearing Firms to:
    • Block/Unblock order entry at the same levels as the API
    • View current blocks

Access to the RMI is limited to Clearing Firms’ certified proprietary and third-party risk management applications.

The Client Impact Assessment for the RMI API is available  online .

RMI API certification via AutoCert+ is mandatory for Clearing Firms who wish to use the API. The Risk Management Interface will be available for testing in New Release on Monday, February 27.

Order cancellation functionality will be supported at a later date; more information will be published in the CME Globex Notices.

Please contact your  Global Account Manager at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5574 for additional information.

iLink Enhancement for Order Handling Flag
Effective second quarter 2012, in response to Clearing Firm requests and in conjunction with a Futures Industry Association (FIA) initiative, iLink order routing will launch support for FIX tag 1031-CustOrderHandlingInst. This tag will allow trading and clearing firms to identify the source of any order.

The value submitted on a new order in tag 1031-CustOrderHandlingInst will be passed through to the CME Clearing House at trade, and populated on all FIXML trade confirmation and allocation messages. It will also be supported by the CME Clearing House Give-up Payment System (GPS).

When tag 1031-CustOrderHandlingInst is submitted on the New Order (tag 35-MsgType=D), it will be returned on all associated Execution Reports (tag 35=8).

Further information on New Release testing and launch dates will be published as it is available. Please contact the CME Clearing House at 312.207.2525 with any questions.

FIX tag 55-Symbol Changes for NYMEX Brent 25-Day (Platts) Intercommodity Spreads
Effective Sunday, February 26, the FIX tag 55-Symbol values for NYMEX Brent 25-Day (Platts) intercommodity spreads will be changed as follows:

Market Data Platform channels and implied functionality will not be impacted.

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

FIX tag 55-Symbol Changes for Natural Gas Basis Swap Futures
Effective Sunday, February 26, the FIX tag 55-Symbol values for Natural Gas Basis Swap futures will be changed as follows:

Market Data Platform channels and implied functionality will not be impacted.

To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted futures after their close on Friday, February 24. After 16:00 CT on Friday, February 24 all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).

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

FIX tag 55-Symbol Changes for Energy Futures and Futures Spreads
Effective Sunday, March 11, the FIX tag 55-Symbol values for the following Energy futures and futures spreads will be changed as follows:

Market Data Platform channels and implied functionality will not be impacted.

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

 FIX tag 55-Symbol Changes for 3-Year Eurodollar Mid-Curve Options
Effective Sunday, March 18, the FIX tag 55-Symbol values for the 3-Year Eurodollar Mid-Curve options will be changed as follows:

To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted options after their close on Friday, March 16. After 16:00 CT on Friday, March 16 all remaining GTC and GTD orders for these products will be cancelled by the CME Group Global Command Center (GCC).

This change will be available for customer testing in New Release Monday, March 5, 2012.

 Butterfly Spreads on Energy Futures
Effective Sunday, March 25 (trade date Monday, March 26), butterfly spreads will be listed on CME Globex for the following futures:

Butterfly spreads consists of three instruments within the same product and with equally distributed maturity months (e.g., M2-U2-Z2). Further details are available in the  Electronic Trading Concepts. Butterfly spreads are identified with BF in tag 762-SecuritySubType in the Security Definition (tag 35-MsgType=d) message. These energy butterfly spreads will not support implied functionality.

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

The energy butterfly spreads will be available for customer testing in New Release on Monday, March 12.

 iLink Session ID Auto-Deletion Process
Effective Monday, March 5, CME Group will once again execute our quarterly iLink session ID auto-delete process. As a reminder, all sessions must meet a minimum messaging threshold of 100 messages over the previous 6-months to exempt themselves from this process. 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 a new order (tag 35-MsgType=D), order cancel/replace request (tag 35=G), order cancel request (tag 35=F), and mass quote (tag 35=i).

An e-mail notification will be distributed to Class A clearing firms on Monday, March 5. Class A clearing firms will have 4 weeks to review their idle session IDs. All idle session IDs will be deleted at the end of day Friday, April 6. Details on the process are available  online.