CME Globex Notices: March 5, 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, in certain scenarios, the matching process may result in a Covered trade that is under- or over-allocated on the futures fills. 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. 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 is currently available in New Release for customer testing.

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.

iLink Enhancements for MexDer via CME Globex
Effective Sunday, April 15 (trade date Monday, April 16), a number of iLink enhancements will be launched for the Mercado Mexicano de Derivados (MexDer) North- to- South order routing solution.

These enhancements include:

• Implementation of new Cancel/Replace Request rules
• Acknowledgements for Account, Price or Quantity changes
• Mandatory In Flight Mitigation (IFM) for all MexDer products

A mock trading session will be held Saturday, April 14. More information will be available in the CME Globex Notices. The client impact assessment is now available  online. These changes will be available for customer testing in New Release on Monday, March 12.

 Order Elimination Enhancement
Effective Sunday, April 15 (trade date Monday, April 16), the process for eliminating Good till Date (GTD) orders with expirations set to a non-trading day will be enhanced.

GTD orders with expirations set for the immediately prior weekend or holiday will be eliminated at the Sunday start-up and Order Eliminations (tag 35-MsgType=8, tag 39-OrdStatus=C) will be sent out to customers.

Currently, Good till Date (GTD) orders with expirations set to the following holiday or weekend are cancelled after the close on Fridays and Order Cancels (35=8, 39=4) are sent out to customers.

For the Beginning of the Week Logon (35=A), if tag 34 is greater than 1, customers should issue a Resend Request (35=2) to recover the missing messages. Customers should rely on tag 34-MsgSeqNum to identify a message sequence number gap.

These changes will be available for customer testing in New Release on Monday, March 12.

MGEX-CBOT Wheat Intercommodity Spread Options
Effective Sunday, March 25 (trade date Monday, March 26), MGEX-CBOT Wheat Intercommodity Spread options will be listed for trading on the CME Globex platform.

The MGEX-CBOT Wheat Intercommodity Spread options are unique hedging tools based on the price differentials between hard red spring wheat futures listed on the Minneapolis Grain Exchange, Inc. (MGEX) and soft red winter wheat futures on the Chicago Board of Trade (CBOT), which are the result of fundamental supply and demand factors and varying protein levels between these two distinct classes of wheat.

In addition, a new synthetic future will be launched for the options on MGEX-CBOT Wheat Intercommodity Spread futures.

The new future will have tag 1151-SecurityGroup=MCX and tag 55-Symbol=08. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

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

The MGEX-CBOT Wheat intercommodity spread options and synthetic future will be available for customer testing in New Release on Monday, March 12, 2012.

 European Union Aviation Allowance Futures
Effective Sunday, April 1 (trade date Monday, April 2), the GreenX European Union Aviation Allowance (EUAA) futures will be listed on Green Exchange and available via CME Globex.

These contracts are listed with, and subject to, the rules and regulations of GreenX. All transactions will be available for clearing through CME Clearing.

This product will be available for customer testing in New Release Monday, March 19.

 NYMEX Brent 25-Day (Platts) - DME Oman Crude Oil Inter-Exchange Futures Spreads
Effective Sunday, April 1 (trade date Monday, April 2), the following inter-exchange NYMEX Brent 25-Day (Platts)-DME Oman Crude Oil futures spreads will be listed for trading on CME Globex.

The inter-exchange spreads will use the value IS in tag 762-SecuritySubType.

The market data for these inter-exchange spreads will be disseminated in the same manner as the existing BZ-OQD inter-exchange spread. The spread instrument is only sent on the inter-exchange spread channel (801). The legs are only sent on their respective market data platform channels. Further details are available in the  Product Specific Functionality.

These inter-exchange spreads will be available for customer testing in New Release on Monday, March 12.

 December vs. December Wheat Calendar Spread Option (CSO)
Effective Sunday, April 1 (trade date Monday, April 2), options on the December vs. December Wheat futures calendar spread will be listed for trading on the CME Globex platform.

In addition, a new synthetic future will be launched for the options on December vs. December Wheat future calendar spread.

The new future will have tag 1151-SecurityGroup=CWZ and tag 55-Symbol=08. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

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

The December vs. December Wheat calendar spread option and synthetic future will be available for customer testing in New Release on Monday, March 19.

 May vs. November Soybean Calendar Spread Option (CSO)
Effective Sunday, April 1 (trade date Monday, April 2), options on the May vs. November Soybean futures calendar spread will be listed for trading on the CME Globex platform.

In addition a new synthetic future will be launched for the options on May vs. November Soybean future calendar spread.

The new future will have tag 1151-SecurityGroup=SC7 and tag 55-Symbol=08. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

The options (tag 1151=SC7) will identify SC7 as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

The May vs. November Soybean calendar spread option and synthetic future will be available for customer testing in New Release on Monday, March 19.

 S&P Case-Shiller Home Price Index Options
Effective Sunday, April 1 (trade date Monday, April 2), pending all relevant CFTC regulatory review periods, the following S&P Case Schiller Home Price Index options will be listed for trading on CME Globex.

These options will be available in New Release for customer testing on Monday, March 12.

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

Implied Functionality for GreenX InterCommodity Spreads
Effective this Sunday, March 11, 2012 (trade date Monday, March 12), implied functionality will be enabled for the following GreenX intercommodty spreads:

Implied functionality for the GreenX intercommodty spreads is currently available in New Release for customer testing.

These contracts are listed with, and subject to, the rules and regulations of GreenX. All transactions will be available for clearing through CME Clearing.

FIX tag 55-Symbol Changes for Energy Futures and Futures Spreads
Effective this 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 are currently available in New Release for customer testing.

To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted futures and futures spreads after their close on Friday, March 9. After 16:00 CT on Friday, March 9, all remaining GTC and GTD orders for these products will be cancelled by the CME Group Global Command Center (GCC).

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 is currently available in New Release for customer testing.

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.

Emini Crude Oil and Emini Natural Gas Futures Match Algorithm Change
Effective Sunday, March 25 (trade date Monday, March 26), the match algorithm the following energy futures will be changed to FIFO (F):

• Emini Crude Oil futures (tag 1151-SecurityGroup=QM)
• Emini Natural Gas futures (tag 1151-SecurityGroup=QG)

Currently, the match algorithm for Emini Crude Oil and Emini Natural Gas futures is NYMEX FIFO with LMM (N).

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 products with the modified match algorithm will be available for customer testing in New Release on Monday, March 12.

Additional Listings for In Delivery Month European Union Allowance (EUA) Options
Effective Sunday, March 25, 2012 (trade date Monday, March 26), the following December maturities in GreenX In Delivery Month European Union Allowance (EUA) options (tag 1151-SecurityGroup=EAX) will be listed on Green Exchange and available via CME Globex.

• DEC 2016
• DEC 2017
• DEC 2018
• DEC 2019
• DEC 2020

These contracts are listed with, and subject to, the rules and regulations of GreenX. All transactions will be available for clearing through CME Clearing.

These contracts will be available in customer testing in New Release on Monday, March 12.

iLink Session ID Auto-Deletion Process
On Monday, March 5, CME Group executed 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 was 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 13. Details on the process are available  online.

Reminder: London Data Center Relocation
CME Group has re-located the Pinnacle House point of presence (PoP) in London to a PoP located within the Interoute/Global Switch 2 data center. Customers are required to complete the relocation to the new PoP by the end of Q2 2012.

In addition, CME Group is now offering 1 GB copper connectivity options to customers connected to CME Globex Hubs located in London, Milan and Paris.

Please contact your  EMEA Global Account Manager at +44 203 379 3754 for additional information.

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