Market Data Notices: September 12, 2011

  CBOT Interest Rate Futures Enhancements
Effective this Sunday, 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%.

Please Note: For the September 18 launch, customers are asked to please cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for CBOT Interest Rate futures and futures spreads after their respective close this Friday, September 16. After 16:00 Central Time (CT) on Friday, September 16, 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, September 18.

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 this 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.

  CBOT Fertilizer Cleared Swaps
Effective Sunday, September 25 (trade date Monday, September 26), CME Group will list the following CBOT cleared swap contracts on CME Clearport.

• Urea (Granular) FOB NOLA Swap - UFN
• UAN FOB US Gulf Coast Swap - UFU
• DAP FOB Tampa Swap - DFT
• DAP FOB NOLA Swap - DFL

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

Please view the  New Product Summary.

  Listing of ICE Brent (Singapore Marker) Swap Futures
Effective Sunday, September 25 (trade date Monday, September 26), CME Group will list a crude oil swap futures contract 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 the NYMEX.

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 are currently available in New Release for customer testing.

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 CBOT.

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

Please view the  New Product Summary.

  Eurodollar Calendar Spread Option (CSO)
Effective Sunday, October 2 (trade date Monday, October 3), Eurodollar calendar spread options (CSO) will be listed for trading on the CME Globex platform.

In addition, a new synthetic future will be launched for the Eurodollar calendar spread. Settlement prices will be published for the new synthetic future to support customers' options pricing model. The CSO will identify SPX as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) message.

The contracts are 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 19.

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.
 

  Contract Month Listing for Wheat and Mini-Wheat Contracts
Effective tomorrow, Friday, September 17,additional maturities will be listed on the Wheat and Mini-Wheat futures on CME Globex, Open Outcry, and available for clearing submission through CME ClearPort.

• September 2013
• December 2013
• March 2014
• May 2014
• July 2014

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

  Hurricane Settlements and Activations
On Saturday, September 10, coverage was suspended by the National Hurricane Center for Hurricane Katia, the eleventh named storm of the season.

Trading in HG1, G1B, HS1 and S12 will terminate this Monday, September 19 at 9:00 a.m. Central Time (CT).

The final settlement values are as follows:

• 0.0 for HG1 (for CME Hurricane Index futures and options on Hurricane Katia)
• 0.0 for G1B (for CME Hurricane Index Binary Contract on Hurricane Katia)
• 0.0 for HS1 (for CME Hurricane Index Cat-In-A-Box futures and options on Hurricane Katia)
• 0.0 for S12 (for CME Hurricane Index Cat-In-A-Box Binary Contract on Hurricane Katia)

At this time there is no open interest in any of the futures or options for HG1, G1B, HS1 or S12.

In addition, the next contract in all four sequences will be listed for trading on Monday, September 19:

• HG5 (for CME Hurricane Index futures and options on Hurricane Ophelia)
• G5B (for CME Hurricane Index Binary Contract on Hurricane Ophelia)
• HS5 (for CME Hurricane Index Cat-In-A-Box futures and options on Hurricane Ophelia)
• S52 (for CME Hurricane Index Cat-In-A-Box Binary Contract on Hurricane Ophelia)

  Contract Size Change for Cleared OTC London Gold Forwards
Effective Sunday, September 25 (for trade date Monday, September 26), CME Group will change the contract size and fee structure of the Cleared OTC London Gold Forwards contract. The contract size will change from the current 100 Troy Ounces to 0.001 Troy Ounces. These contracts are available for clearing submission through CME ClearPort.

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

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 NYMEX.

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

Effective Friday, September 23, at the close of business the following S&P Indexes will be discontinued.

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

  AutoCert+ User Interface Changes
Effective Monday, September 26, CME Group will be introducing a new interface for AutoCert+ to improve user experience with a new look and feel.

There is no change to the AutoCert+ certification suites, user profiles, or records.

AutoCert+ is the automated certification tool that allows firms and channel partners to certify on order routing and market data on CME Globex.

More details on the AutoCert+ Tool will be available in the  CME Group Web Help User Guides for Certification Testing on Monday, September 26.

  iLink Session ID Auto-Deletion Process
Effective Monday, October 3, CME Group will once again execute our 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 an order, modify, cancel, or mass quote.

An e-mail notification will be distributed to Class A clearing firms on Monday, October 3. 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, November 4th. Details on the process are available  online.

  CME Group Historical Block Trade Market Data
Effective early October, 2011, CME DataMine will be introducing a new product for historical Block Trades for CME, CBOT, NYMEX and COMEX products. This data will be in an easy-to-use format that will include information for each trade - including detailed information for spreads. All CME ClearPort and floor block trades will be included.

For more information on Block Trade Data, contact  DataMine Information Products.

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

  New York/New Jersey Connectivity Update
In early 2012, CME Group will introduce a new high capacity backbone between New York/New Jersey and Chicago terminating at two independent data center locations. This new backbone provides CME Group with a local presence on the East Coast, which allows for customer aggregation outside of Chicago in support of business continuity.

In addition, CME Group has introduced a new client-managed offering called CME EConnect. With CME EConnect customers can choose their own carrier and hardware vendors. Customers who choose to connect via CME EConnect will order their own cross-connects from their leased space within the respective local data centers or from the data center carrier rooms to the CME Group network.

CME Group will work with existing New York and New Jersey CME DIRECTLink customers to re-route their connections to the points of presence in New York and New Jersey.

Detailed information is available  online. For additional information, please contact your  Global Account Manager at 312-634-8700, in Europe at 44-20-7796-7100, or in Asia at 65-6593-5574.