CME Globex Notices: October 15, 2012

CME Globex Performance Release in Certification Environment
Effective this Monday, October 22, 2012, CME Globex Performance Release will launch in Certification environment. This launch will include a small number of   iLink Messaging changes and FIX/FAST source IP address changes. The new source IPs will be available in the  config.xml.

In addition, the FIX/FAST multicast source IP addresses and ports for AutoCert+ in the Certification environment will be changed. Customers using AutoCert+ in the Certification environment should download the new   AutoCert+ config.xml.

If you have any questions, please contact CSET at 312-930-2322.

FIX/FAST Operators Release
The removal of the operators previously scheduled for Sunday, October 21, has been postponed to Sunday, November 18.

The life cycle of the FIX/FAST protocol, including streamlined FIX/FAST, is rapidly approaching its end as an industry standard in the United States. †The OPRA connected exchanges are eliminating FIX/FAST entirely by the end of this year. Given the increased availability of bandwidth as well as high speed connections such as co-location, compression has become less critical. In the short term, we are removing certain field operators (copy, default, delta and increment) from our data feed. In the longer term, CME Group continues to evaluate a next generation market data protocol.

These operators will be removed from all production FIX/FAST and streamlined FIX/FAST channels on the Market Data Platform by Sunday, November 18, 2012. A detailed schedule of the remaining channels is now available  online.

New templates will be required for the impacted channels. Per the normal process, the new templates are currently available on the CME Group ftp site for New Release and Production, along with the current and last generation templates. More information on template management is available in the  Client Systems Wiki.

The current Production channels without operators will also be available in the Certification environment.

Please Note: CME Group recommends customer systems pull the templates from the CME Group ftp site every week, prior to Sunday startup.

These changes are currently available on all FIX/FAST channels in the New Release environment.

As a result of this launch, bandwidth utilization over the Market Data Platform will ultimately increase. CME Group is contacting customers who may have over-subscription risk.

†Please note: CME Group is not a member of the Options Pricing Reporting Authority (OPRA).

USD-Denominated Ibovespa Futures
Effective this Sunday, October 21 (trade date Monday, October 22), the USD-Denominated Ibovespa futures (tag1151-SecurityGroup=IBV, tag 55-Symbol=IB) will be listed for trading on CME Globex.

The USD-Denominated Ibovespa futures are a cross-listing arrangement between CME Group and BM&FBOVESPA (BVMF) involving S&P 500 Index and Bovespa Index (IBOVESPA) futures. This new cross-listing arrangement provides our customers access to Brazil's key benchmark equity index futures product.

CME Group will calculate the price limits daily for the USD-Denominated Ibovespa futures. The daily price limits will be equal to the prior day BVMF Ibovespa futures settlement price ±10% the prior day settlement price at BVMF.

Customers are strongly encouraged to utilize Security Status (tag 35-MsgType=f) to obtain the daily price limits (tag 332-HighPx; tag 333-LowPx) to avoid rejection of orders that breach price limit thresholds.

Customers may also obtain the daily price limits of the Security Definition (tag 35-MsgType=d) from the instrument replay feed (tag 1149-HighLimitPrice; 1150-LowLimitPrice).

Please note the opening time of USD Denominated Ibovespa futures will vary throughout the year due to Daylight Saving Time changes in Brazil and Chicago.

The USD-Denominated Ibovespa futures are currently available in New Release for customer testing.

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

Fifth Month Lean Hog Calendar Spread Option (CSO)
Effective Sunday, November 4 (trade date November 5), the fifth month on Lean Hog calendar spread options (CSO) (tag 1151-SecurityGroup=B0E (B-zero-E), tag 55-Symbol=2H) will be listed for trading on CME Globex.

In addition, a new synthetic future will be launched for the options on fifth month Lean Hog future calendar spread.

The new future will have tag 1151-SecurityGroup=Y05 and tag 55-Symbol=05. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

The options (tag 1151=B0E) will identify Y05 as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

These products will be available in New Release for customer testing on October 22.

This contract is listed with, and subject to, the rules and regulations of CME.

Deliverable Interest Rate Swap Futures
Effective Sunday, November 11 (trade date Tuesday, November 13), USD Interest Rate Swap futures will be listed for trading on CME Globex.

The   USD Interest Rate Swap futures will be listed for quarterly expiration on IMM dates, for physical delivery of OTC US dollar interest rate swaps at key terms to maturity (2, 5, 10, 30 years). Contracts will be quoted on a price basis, with a fixed coupon for each contract that is set by the Exchange when the contract is listed for trading. At expiration the holder of a long futures position will become the fixed rate receiver and floating rate payer in an OTC interest rate swap cleared by CME Clearing.

These futures and intercommodity spreads will be available in New Release for customer testing on Monday, October 22.

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

Standard-Size and E-micro USD/Offshore RMB (CNH) Futures
Effective Sunday, November 18 (trade date Monday, November 19), standard-size and E-micro USD/Offshore RMB (CNH) futures will be listed for trading on CME Globex.

These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH), priced in interbank terms of Chinese Renminbi per U.S. dollar and associated daily settlement variation banked in Chinese Renminbi offshore in Hong Kong. The new CME USD/CNH futures will help international market participants hedge their U.S. dollar risk exposure to the deliverable Chinese currency.

These futures will be available in New Release for customer testing on Monday, October 22.

This contract is listed with, and subject to, the rules and regulations of CME.

 Delisting of Select Energy Futures & Options
On Monday, October 15, the following energy futures were delisted. The Security Definition (tag 35-MsgType=d) will continue to be available on CME Globex through Friday, October 19.

The delisting of these energy futures is currently available in New Release for customer testing.

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

Maximum Order Quantity Changes for Treasury Futures and Calendar Spreads
Effective this Sunday, October 21 (trade date Monday, October 22), the maximum order quantity for Treasury futures and calendar spreads will be changed as follows:

Outright Futures:

• From 30,000 to 19,999 contracts for:
  • 2-Yr. U.S. Treasury Note (tag 1151-SecurityGroup=ZT, tag 55-Symbol=ZB)
  • 5-Yr. U.S. Treasury Note (tag 1151-SecurityGroup=ZF, tag 55-Symbol=ZB)
  • 10-Yr U.S. Treasury Note (tag 1151-SecurityGroup=ZN, tag 55-Symbol=ZB)
  • U.S. Treasury Bond Futures (tag 1151-SecurityGroup=ZB, tag 55-Symbol=ZB)
  • Ultra U.S. T-Bond futures (tag 1151-SecurityGroup=UB, tag 55-Symbol=ZB)

Calendar Spreads:

• From 30,000 to 29,999 contracts for the entire Treasury futures complex.

The maximum order quantity for every instrument listed on CME Globex is identified in tag 1140-MaxTradeVol, in the Security Definition (tag 35=d) message.

Customers are strongly encouraged to utilize tag 1140-MaxTradeVol, in the Security Definition (tag 35=d) message to obtain the maximum trading volume to avoid rejection of orders that breach maximum trading volume thresholds.

The maximum order quantity changes are currently available in New Release for customer testing.

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

 Daily Price Limit Changes for Nonfat Dry Milk and Dry Whey Futures
Effective trade date Tuesday, October 30, daily price limits will be increased for Nonfat Dry Milk (tag-1151 SecurityGroup=GNF, tag-55 Symbol=DC) and Dry Whey (tag-1151 SecurityGroup=DY, tag-55 Symbol=DY) futures as follows:

Nonfat Dry Milk:
 

• Daily price limits will be increased to 4 cents per pound, with the expandable limit increasing to 8 cents per pound. Currently, the price limit is 2.5 cents per pound, with an expandable limit 5 cents per pound.

Dry Whey:
 

• Daily price limits will be increased to 6 cents per pound with the expandable price limit increasing to 8 cents per pound, with the expandable price increasing to 12 cents per pound. Currently, the daily price limit is 4 cents per pound with an expandable limit 6 cents per pound.

The new price limits will be available in New Release for customer testing on Monday, October 22.

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

CME Globex Equity Index Trading Hours and Daily Price Limit Changes for Futures and Options
Effective Sunday, November 18 (trade date Monday, November 19), the electronic trading hours on CME Globex for Equity Index futures and options will be expanded to the following:

• 17:00 Central Time (CT) through 16:15 CT, with a 15 minute market pause (Pre-open) from 15:15 CT to 15:30 CT. This expansion does not impact the current halt in trading on CME Globex from 8:15 CT to 15:30 CT in the following full size Equity Index contracts (SP, ND, MD & DD).

With this change, the existing 5, 10, 20, and 30 percent daily price limits will be applied to the futures fixing price rather than the daily settlement price. The 5 percent ± price limits will be applied at 15:00 CT and will be in effect until 08:30 CT the following day.

Customers are strongly encouraged to utilize Security Status (tag 35-MsgType=f) to obtain the daily price limits (tag 332-HighPx; tag 333-LowPx) to avoid rejection of orders that breach price limit thresholds.

Customers may also obtain the daily price limits of the Security Definition (tag 35-MsgType=d) from the instrument replay feed (tag 1149-HighLimitPrice; 1150-LowLimitPrice).

This change will be available for customer testing in New Release Monday, October 22.

If you have any questions, please contact the CME Global Command Center at (+1)312-456-2391, in Europe at +44-20-7623-4708 or in Asia at +65-6223-1357.

CME Group Regional Failover Mock Trading Session
On Saturday, November 10, CME Group will conduct a Regional Failover customer mock trading session. The mock trading session is designed to allow customers to test connectivity to the  New York Data Center (NYDC) in the case of a regional event that affects the Chicago metropolitan area. During the regional failover mock, customers who are on the CME Group network and who connect to CME Group from outside the Chicago metropolitan area will automatically be rerouted to the NYDC.

An  overview of the mock trading session is now available. Customers must register  online to participate.

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

Revised CME Globex Messaging Efficiency Program
Pending all relevant regulatory review periods, effective January 2, 2013, CME Group will revise the CME Globex Messaging Efficiency Program (“Program”) to more effectively target messaging that can negatively impact system performance, impair efficient access to the market and create unnecessary infrastructure and processing costs for market participants. Under the revised Program, CME Group will apply the Product Group Benchmarks at the executing firm level rather than at the clearing firm level.

Additionally, the revised Program includes messaging tiers and expanded Product Group Benchmarks as well as a refined appeals process for messaging surcharges.

Starting in October 2012, CME Group will begin distributing executing firm level messaging statistics to allow sufficient time for appropriate adjustments in messaging practices in advance of the revised Program becoming effective. Enforcement of the revised Program will begin trade date January 2, 2013. Please note that CME Group will continue to enforce the existing Program through December 31, 2012.

Under the revised Program, exceeding the established Product Group Benchmarks will result in executing firm surcharges of $1,000 per product group, per day. As a result, CME Group strongly encourages executing firms and their customers to evaluate their messaging practices to ensure compliance with the revised Program.

Detailed information on the CME Globex Messaging Efficiency Program is available  online.

For additional information, please contact your  Global Account Manager in the U.S. at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5574.