Market Data Notices: September 5, 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

The new Fixing Price Data Block is now available in New Release for customer testing.

China Coal
Effective this Sunday, September 11 (trade date Monday, September 12), CME Group will list China Coal (IHS McCloskey/Xinhua Infolink South China CFR Marker 5,500kc NAR) swap futures for trading on Open Outcry and submission for clearing through CME ClearPort.

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

Please view the  New Product Summary.

Petroleum Spread Contracts
Effective this Sunday, September 11 (trade date Monday, September 12), CME Group will list the following petroleum spread contracts for trading on Open Outcry and submission for clearing through CME ClearPort.

• Gasoil 50 ppm Barges FOB Rdam vs. Gasoil 0.1% (Platts) Barges FOB Rdam Swap Futures
• European Diesel 10 ppm Barges FOB Rdam vs. Gasoil 50 ppm (Platts) Barges FOB Rdam Swap Futures

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

Please view the  New Product Summary.

NYISO Capacity Futures
Effective this Sunday, September 11 (trade date Monday, September 12), CME Group will list the following NYISO capacity swap futures for trading on Open Outcry and submission for clearing through CME ClearPort.

• NYISO Rest of the State Capacity Calendar-Month Swap Futures
• NYISO NYC In-City Capacity Calendar-Month Swap Futures

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

Please view the  New Product Summary.

Newcastle Coal
Effective this Sunday, September 11 (trade date Monday, September 12), CME Group will list Coal (API 6) fob Newcastle (ARGUS-McCloskey) Swap futures contract for trading on Open Outcry and submission for clearing through CME ClearPort.

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

Please view the  New Product Summary.

Weekly Options on Live Cattle Futures
Effective Sunday, September 25 (trade date Monday, September 26), weekly options on Live Cattle futures will be listed for trading on CME Globex.

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

These products will be available for customer testing in New Release this Monday, September, 12.

Please view the  New Product Summary.

Weekly Options on Soybean Meal and Soybean Oil Futures
Effective Sunday, September 25 (trade date Monday, September 26), weekly options on Soybean Meal and Oil futures will be listed for trading on CME Globex.

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

These products will be available for customer testing in New Release this Monday, September, 12.

Please view the  New Product Summary.

  Daily Crude Oil Calendar Spread Option Contract
Effective Sunday, September 25 (trade date Monday, September 26), CME Group will list a Crude Oil option contract, and a Daily Crude Oil Calendar Spread option listed below. These contracts will be open for trading on Open Outcry and available for submission through CME ClearPort.

• Daily Crude Oil Calendar Spread (1 Month) option - DNM
• Daily Crude Oil Calendar Spread (2 Month) option - DTM

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

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 this Monday, 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.
 

Options on Live Cattle Futures and Lean Hog Futures
Effective this 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.
 

  Listing Expansion on Iron Ore Futures and Options Contract Months
Effective Sunday, September 25 (trade date Monday, September 26), CME Group will expand listing of contract months for Iron Ore futures and options contracts listed below to current year plus the next two calendar years. These contracts trade on Open Outcry and are available for clearing submission through CME ClearPort.

• Iron Ore 62% Fe, CFR China (TSI) swap futures (chapter 919, commodity code TIO)
• Iron Ore 62% Fe, CFR North China (Platts) swap futures (chapter 925, commodity code PIO)
• Iron Ore 62% Fe, CFR China (TSI) average price option (chapter 644, commodity code ICT)
• Iron Ore 62% Fe, CFR North China (Platts) average price option (chapter 645, commodity code ICP)

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

New S&P Real-time Indexes
Effective this Monday, September 12, CME Group will begin disseminating the new indexes detailed below. These indexes will be transmitted every 15 seconds.

  Discontinued S&P Real-time Indexes
Effective Friday, September 16, at the close of business the following S&P Indexes will be discontinued.

  New S&P Real-time Indexes
Effective Monday, September 19, CME Group will begin disseminating the new indexes detailed below. These indexes will be transmitted every 15 seconds.

CME Customer Forum
Asset managers, banks, commercials, FCMs, hedge funds, IBs, IDBs, proprietary trading groups, ISVs, and market data distributors:
 Register today for one of the CME Group Customer Forums

This series of global events, focused on electronic trading and clearing initiatives, provides forward-looking information on a broad array of upcoming business, clearing and technology topics.

Topics will include:

• Regulatory update
• Update on OTC Clearing Initiatives
• CME Clearing Europe
• New Products
  • Euribor futures
  • Cleared OTC Chilean Peso NDF
  • Sovereign Yield Spread futures
  • USD/RMB (CNY) and E-micro USD/RMB (CNY) futures
• Electronic Trading Update
  • Global network changes
  • CME Co-Location Services update
  • OTC Market Data
  • Credit Management API update
  • Partner Exchanges update

Please join us for this complimentary event. Attendance is limited to CME Group customers only. Attend In-Person at one of the following locations or Online via Live Simulcast from the Chicago Customer Forum.

Paris: Tuesday, September 13, 2011

17:30 Registration / 18:00 Presentation, Reception to follow
Hotel Scribe, Lumiere Room, 1 Rue Scribe 75009 Paris, France

London: Thursday, September 15, 2011

15:30 Registration / 16:00 Presentation, Reception to follow
Skinners' Hall, 8 ½ Dowgate Hill, London EC4R 2SP
Please note: Reception will take place in the outdoor courtyard; If inclement weather should occur, the Reception will take place inside.

Singapore: Tuesday, September 20, 2011

16:00 Registration / 16:30 Presentation, Reception to follow
The Fullerton Hotel, Ballroom 1 (Lower Lobby), 1 Fullerton Square , Singapore 049178

Hong Kong: Thursday, September 22, 2011

17:30 Registration / 18:00 Presentation, Reception to follow
Mandarin Oriental, Pheasant to Peacock Room (Level 1), 5 Connaught Road, Central Hong Kong

Chicago: Tuesday, October 4, 2011

3:30 p.m. Registration / 4:00 p.m. Presentation, Reception to follow
The Westin Chicago River North, Grand Ballroom A, 320 N. Dearborn St, Chicago, IL 60654

New York: Thursday, October 6, 2011

4:00 p.m. Registration / 4:30 p.m. Presentation, Reception to follow
The MPE Penthouse, 432 W. 45th Street, New York, NY 10036

 Register Today