• Market Data Notices: August 15, 2011

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      • Market Data Distributors
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      • Global Account Management
      • #
      • 20110815
      • Notice Date
      • 15 August 2011
    • Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      S&P Launches and Changes
      Events and Announcements
      Critical System Updates

       Update CBOT and CME Interest Rate Futures Enhancements
      Effective Q3 2011, a number of enhancements will be introduced for CME and CBOT Interest Rate futures and future spreads on CME Globex.

      In internal testing environments, the enhancements for CME and CBOT Interest Rate futures have resulted in significantly reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce iLink response and FIX/FAST response times by an average of 30-50%. As a result of the reduced message response times, bandwidth utilization in these futures markets is expected to ultimately increase by as much as 50%.

      CBOT and CME Interest Rate Futures Enhancements

      Product Complex New Release Launch Production Launch
      CME Interest Rate Futures Now Available August 21
      CBOT Interest Rate Futures September 18

      Please Note: For the August 21 launch, customers are asked to please cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for CME Interest Rate futures and futures spreads after their respective closes this Friday, August 19. After 16:00 CT on Friday, August 19, all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC). GTC and GTD orders may be re-entered during an extended pre-open period beginning 15:00 CT, this Sunday, August 21.

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

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

       Update S&P Indexes via streamlined FIX/FAST
      On Monday, June 13, 2011, CME Group launched streamlined FIX/FAST for dissemination of S&P index market data. To ensure S&P customers’ currently receiving ITC 2.1 market data have sufficient time to develop and deploy the streamlined FIX/FAST solution, the ITC 2.1 market data format will continue to be disseminated in parallel with the streamlined FIX/FAST market data until Friday, November 18, 2011. At that time the ITC 2.1 market data will be discontinued.

      New functionality will only be implemented on streamlined FIX/FAST.

       

      Streamlined FIX/FAST is an optimized version of the FIX/FAST market data format for non-actionable price data. Streamlined FIX/FAST has a  dedicated message specification distinct from the CME Globex FIX/FAST format and a new template.

      Mandatory certification is not required for streamlined FIX/FAST; an optional test suite is currently available in Auto-Cert+ for interested customers.

      Detailed information for S&P Indexes via streamlined FIX/FAST is available  online.
      New Functionality

      NEW New Fixing Price for Equity Futures
      Effective Sunday, September 18 (trade date Monday, September 19), CME Group will begin disseminating Fixing Prices via FIX/FAST for the following Equity products.

      New Fixing Price for Equity Futures

      Futures Market Data Platform Channel Tag 1151-SecurityGroup Tag 55-Symbol
      E-mini S&P 500 Weeklies 7 ES ES
      E-mini NASDAQ-100 Weeklies 15 NQ NQ

      These equity options fixing prices will be published Monday through Friday, at 3:00 p.m. CT. Fixing Price is a volume-weighted average price for the underlying futures contract and is used to determine which options strikes are in-the-money and exercisable.

      Fixing Price data blocks are sent in the FIX/FAST Market Data Incremental Refresh (tag 35-MsgType=X):

      • Tag 279- MDUpdateAction will be set to 0 = New
      • Tag 269-MDEntryType will be set to W = Fixing Price
      • Tag 5790-FixingBracket will display the time that the Fixing Price was calculated

       
      Product Launches

      PJM West Hub RT Same Day Option Contract
      Effective this Sunday, August 21 (trade date Monday, August 22), CME Group will list an electricity option contract, PJM West Hub RT Same Day Option available for trading on open outcry and clearing through CME ClearPort.

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

      Please view the  New Product Summary.

       Update GreenX California Carbon Allowance Futures
      Effective Sunday, August 28 (trade date Monday, August 29), the Green Exchange California Carbon Allowance (CCA) futures will be listed for trading on CME Globex.

      The contract size for California Carbon Allowance Futures will be 1,000 metric tons CO2 equivalent. These contracts will be listed on an annual expiration cycle for the December 2012, December 2013 and December 2014 contract months.

      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 this Monday, August 22.

      Please view the  New Product Summary.

      NEW SoCal Gas City-Gate Swap Futures
      Effective Sunday, August 28 (trade deate Monday, August 29), CME Group will list a new natural gas swap contract, SoCal Gas City-Gate Swap (Platts IFERC) futures available for trading on open outcry and clearing through CME ClearPort.

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

       

      Please view the  New Product Summary.

      NEW Australian Coking Coal (Argus) Low Vol Swap Futures
      Effective Sunday, August 28 (trade date Monday, August 29) CME Group will list an Australian Coking Coal (Argus) Low Vol Swap futures contracts for trading on the NYMEX trading floor and for clearing through CME ClearPort.

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

      Please view the  New Product Summary.

      NEW Australian Coking Coal (Platts) Low Vol Swap Futures
      Effective Sunday, August 28 (trade date Monday, August 29) CME Group will list an Australian Coking Coal (Platts) Low Vol Swap futures contracts for trading on the NYMEX trading floor and for clearing through CME ClearPort.

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

      Please view the  New Product Summary.

      3-Month Euribor Futures on CME Globex
      Effective Sunday, October 2 (trade date Monday, October 3),  3-Month Euribor futures will be listed for trading on CME Globex.

      Euribor futures will leverage the global distribution of CME Globex, offering fast and efficient access to the world’s most liquid interest markets. These futures will also provide the marketplace with tools for managing global interest rate exposure.

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

      3-Month Euribor Futures

      Product
      Name      		 tag 1151-Security Group
      Ticker      		 tag-55-Symbol
      Symbol
      3-Month Euribor futures EB EB

      These products will be available for customer testing in New Release on Wednesday, September 12.

       Update Standard-Size USD/RMB (CNY) Futures and E-micro USD/RMB (CNY) Futures
      The launch of the new Standard-Size USD/RMB (CNY) futures and E-Micro USD/RMB (CNY) futures, previously scheduled for this Sunday, August 21, has been postponed at customers’ requests to Sunday, October 16 (trade date Monday, October 17).

       

      These innovative new futures contracts will be quoted in interbank (European) terms, reflecting the number of CNY per US dollar. The Standard-Size USD/RMB (CNY) futures and E-Micro USD/RMB (CNY) futures are aligned with the OTC market convention for non-deliverable forwards while providing the benefits of counterparty risk mitigation from exchange-traded derivatives. These contracts are listed with, and subject to, the rules and regulations of CME.

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

      Please view the  New Product Summary.
      Product Changes

      Expansion of the New York Harbor Ultra-Low Sulfur Diesel (ULSD) Futures
      Effective this Sunday, August 21 (trade date Monday, August 22), the listing cycle for New York Harbor Ultra-Low Diesel futures (tag 1151-SecurityGroup=CL, tag 55-Symbol=LH) will be expanded to list the current year and the next four consecutive calendar years plus one additional month. The listing currently includes maturities through January 2013.

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

      These additional listings are currently available for customer testing in New Release.

       Update Expansion of New York Harbor No. 2 Heating Oil Futures and Options
      Effective this Sunday, August 21 (trade date Monday, August 22), the listing cycle for New York Harbor No. 2 Heating Oil futures, will be expanded to list through April 2013 and discontinued thereafter. The current rule is to only list maturities through January 2013.

      Please Note: The New York Harbor No. 2 Heating Oil options will not be expanded at this time.

      Expansion of New York Harbor No. 2 Heating Oil futures and options

        tag 1151-SecurityGroup tag 55-symbol
      Futures CL HO

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

      These additional listings are currently available for customer testing in New Release.

      Corn Futures Limit Price Expansion
      Effective this Sunday, August 21 (trade date Monday, August 22), CBOT Corn futures, mini-sized corn futures, and corn options daily price limits will be changed. The new daily price limits will be $0.40 per bushel and will be expandable to $0.60 per bushel when two or more Corn futures contract months within the first five listed non-spot contract, or the remaining contract month in a crop year, close at limit bid or limit offer.

      When the price limit is $0.60 per bushel, and no Corn futures contract month closes limit bid or limit offer, the price limits for all contract months reverts back to $0.40 per bushel on the next business day.

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

      NEW Temporary Delisting for Softwood and Hardwood Pulp Contract Months
      Effective close of business Friday, August 26, Softwood Pulp futures and options contract beginning with January 2013 and Hardwood Pulp futures and options contracts beginning with January 2012, will be temporarily delisted.

      Temporary Delisting for Softwood and Hardwood Pulp Contract Months

      Product Name Tag 1151-SecurityGroup
      Softwood Pulp futures and options HWP
      Hardwood Pulp futures and options WP

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

      NEW Options on Live Cattle Futures and Lean Hog Futures
      Effective Sunday, September 11 (trade date Monday, September 12), listing cycles for options on live cattle futures and options on lean hog futures will be extended to include every listed futures contract month.

      As a result, the following additional options contract months will be added:

      • Options on Live Cattle futures-October 2012, December 2012, February 2013
      • Options on Lean Hog futures-December 2012, February 2013

       

      Options on Live Cattle Futures and Lean Hog Futures

      Product Tag 1151-SecurityGroup Tag 55-Symbol
      Options on Live Cattle Futures LE LE
      Options on Lean Hog Futures HE HE

      These contracts are listed with, and subject to, the rules and regulations of CME.
      S&P Launches and Changes

      NEW New S&P Real-time Index
      Effective Monday, August 29, CME Group will begin disseminating the new indexes detailed below. These indexes will be transmitted every 15 seconds.

      New S&P Real-time Indexes

      Index
      Name      		 MDP
      Ticker      		 Tag-55
      Symbol      		 Currency Dissemination
      Times      		 Fee
      Liable
      S&P MILA 40 Index CLP SAC SPMILAC CLP 7:30 - 16:30 (CT) XF
      S&P MILA 40 Index COP SAO SPMILAO COP
      S&P MILA 40 Index PEN SAP SPMILAP PEN
      S&P MILA 40 Index SLA SPMILA USD

       
      Events & Announcements

      NEW Market Data Performance Testing in New Release
      Effective Friday, September 2, a weekly market data performance window will be offered in New Release every Friday from 7:00-9:00 a.m. CT. During this time peak-volume and real-time FIX/FAST market data from production will be replayed in New Release.

       

      Market data performance windows allow customers to test their applications in conditions as close as possible to production.

       

      More details on the performance testing sessions and New Release environment schedules are available in the  Certification Environments Overview.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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