Market Data Notices: August 22, 2011

  CBOT Interest Rate Futures Enhancements
Effective September 18, a number of enhancements will be introduced for CBOT Interest Rate futures and future spreads on CME Globex.

In internal testing environments, the enhancements for 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%.

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

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

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 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.

These equity options fixing prices will be published Monday through Friday, at 3:00 p.m. Central Time (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

GreenX California Carbon Allowance Futures
Effective this 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.

This product is currently available in New Release for customer testing.

Please view the  New Product Summary.

SoCal Gas City-Gate Swap Futures
Effective this 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.

Australian Coking Coal (Argus) Low Vol Swap Futures
Effective this 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.

Australian Coking Coal (Platts) Low Vol Swap Futures
Effective this 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
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.

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

Standard-Size USD/RMB Futures (CNY) and E-micro USD/RMB (CNY) Futures
Effective Sunday, October 16 (trade date Monday, October 17), Standard-Size USD/RMB (CNY) futures and E-Micro USD/RMB (CNY) futures will be listed for trading on CME Globex.

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.
 

Temporary Delisting for Softwood and Hardwood Pulp Contract Months
Effective close of business this 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.

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

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

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

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

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.

  Labor Day Holiday Schedule
CME Group trading floors and normal operations will be closed Monday, September 5, in observance of Labor Day holiday. Please view the Labor Day holiday hours by clicking on the following links for more details:

•   CME Globex
•   CME Group Chicago Trading Floor
•   CME Group New York Trading Floor
•   CME Clearport