CME Globex Notices: April 2, 2012

 Changes to Source IPs for the Market Data Platform B Feed for Non-GLink Connections
Effective Sunday, June 17, 2012, CME Group will be changing multicast source IPs for the B feed only for non-  GLink connections. If a firewall or network device is configured with the source IP information, please correct your configuration to use the entire range of eligible addresses. Port and multicast addresses for each Market Data Platform channel are available now in the config.xml file on the  FTP site as outlined in the Core Functionality of the  FIX/FAST SDK.

Market data will be broadcast on all CME Group FIX/FAST channels in the production environment for customer testing on Saturday, June 16. Market data will be broadcast from the new B feed source IPs.

• 8:30 - 9:00 a.m. CT: Connectivity testing
• 9:00 - 10:00 a.m. CT: FIX/FAST market data replay

As a reminder, CME Group requires that customers configure servers to connect to the Market Data Platform ports and multicast addresses for each desired channel. CME Group does not recommend restricting data flow via the source IPs, as these may change without notice.

If you have any questions or concerns, please contact your  Global Account Manager. If you experience any connectivity issues, please contact the CME Globex Control Center directly at 312.456.2391.

User-Defined Spreads: Covereds Execution Enhancement
Effective this Sunday, April 1 (trade date Monday, April 2), 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, 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 this 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 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
• Now Added: Message flow for Cross Orders

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 are currently available in New Release for customer testing.

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 are currently available in New Release for customer testing.

 iLink Enhancement for Order Handling Flag
Effective Sunday, June 3, 2012 (trade date Monday, June 4), 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).

Tag 1031 will be available for customer testing in New Release this Monday, April 2.

Please contact the CME Clearing House at 312.207.2525 with any questions.

European Union Aviation Allowance Futures
Effective this 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 is currently available in New Release for customer testing.

NYMEX Brent 25-Day (Platts) - DME Oman Crude Oil Inter-Exchange Futures Spreads
Effective this 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 are currently available in New Release for customer testing.

December vs. December Wheat Calendar Spread Option (CSO)
Effective this 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=ZWC 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 ZWC 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 are currently available in New Release for customer testing.

May vs. November Soybean Calendar Spread Option (CSO)
Effective this 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=S7C 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 S7C 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 are currently available in New Release for customer testing.

S&P Case-Shiller Home Price Index Options
Effective this 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 are currently available in New Release for customer testing.

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

 10-Year Treasury Note Future vs. 30-Year Treasury Bond Future Implied Intercommodity Spread
Effective Sunday, April 15 (trade date Monday, April 16), a new 10-Year Treasury Note Future vs. 30-Year Treasury Bond Future (tag 1151-SecurityGroup=NBY, tag 55-Symbol=ZB) implied intercommodity spread with new leg ratios will be listed on the CME Globex platform. The new 10-Year Treasury Note Future vs. 30-Year Treasury Bond Future implied intercommodity spread will be initially listed with 5:3 ratios. The current 10-Year Treasury Note Future vs. 30-Year Treasury Bond Future (tag 1151-SecurityGroup=NOB) implied intercommodity spread with the current 2:1 ratios will continue to be available.

 GreenX Emission Reduction Unit (ERU) Future & Options
Effective Sunday, April 29 (trade date Monday, April 30), the Green Exchange Emission Reduction Unit (ERU) futures and options will be listed for trading on CME Globex. Calendar and intercommodity spreads will also be available.

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 products will be available for customer testing in New Release on Monday, April 16.

 Listing Cycle Change for On-The-Run (OTR) Treasury Futures
As of Thursday, March 27, 2012, no additional maturities will be listed for trading for the On-The-Run (OTR) Treasury futures beyond the following:

• 2-Year OTR (tag-1151 SecurityGroup=T2) April 2012
• 5-Year OTR (tag-1151 SecurityGroup=T5) April 2012
• 10-Year OTR (tag-1151 SecurityGroup=TN) May 2012

Additional information regarding this change is available  online.

Delisting of Treasury Matched Mid Curve Options
On Friday, March 23, the Treasury Matched Mid Curve “TOMMI”) options tag-1151 SecurityGroup=TE0) was delisted. The Security Definition (tag 35-MsgType=d) will continue to be available on CME Globex through Friday, April 6.

Beginning with the May 2012 maturities and all subsequent maturities, a weekly Mid Curve will be listed in place of the TOMMI options. With this change, 4 weekly Mid-Curve expirations will always be listed in addition to the standard Mid Curve options expiration. On Sunday, March 25 (trade date Monday, March 26), a new weekly Mid Curve option (tag-1151 SecurityGroup=E03, tag-55 Symbol=E0)was added to CME Globex.

The delisting of the TOMMI options will be available for customer testing in New Release on Monday, April 2.

E-mini Energy Futures Match Algorithm Change
Effective Sunday, April 15 (trade date Monday, April 16), the match algorithm for the following E-mini energy futures will be changed to FIFO (F):

• E-mini Crude Oil futures (tag 1151-SecurityGroup=QM)
• E-mini Natural Gas futures (tag 1151-SecurityGroup=QG)
• E-mini RBOB Gasoline Financial Futures (tag 1151-SecurityGroup=QU)
• E-mini Heating Oil Financial futures (tag 1151-SecurityGroup=QH)

Currently, the match algorithm for QM, QG, QU, and QH is NYMEX FIFO with LMM (N). The FIFO matching behavior will not change with this launch, since no LMMs have been assigned to these markets since January 2012

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.

iLink Session ID Auto-Deletion Process
On Monday, March 5, CME Group executed its 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 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.

Trading At Settlement (TAS) Pre-Open Timing Changes
On Sunday, April 15 (trade date Monday, April 16), in order to ensure appropriate and efficient messaging practices for TAS orders into CME Globex, CME Group will randomize the timing of each TAS groups’ pre-open state.

The new random timing for pre-open on TAS groups is now available for customer testing in New Release.

If you have any questions, please contact the CME Global Command Center at 312.456.2391, in Europe at 44.20.7623.4708, or in Asia at 65.6223.1357.

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.