• Market Data Notices: February 20, 2012

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      • Market Data Notices
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      • 20120220
      • Notice Date
      • 20 February 2012
    • Topics in this issue include:
      Critical System Updates
      Product Launches
      Product Changes
      S&P Launches and Changes
      Events and Announcements
      Critical System Updates

       Update New S&P Market Data Configuration
      Effective this Sunday, February 26, the production IPs and ports for the Historical Replay channels for S&P via streamlined FIX/FAST will be updated. The new IPs and ports will be available in the config.xml file at  ftp.cmegroup.com on Sunday. Additional information is available in the  MDP streamlined FIX/FAST SDK.
      Product Launches

      Singapore Fuel Oil 180 cst vs. 380 cst Spread (Platts) BALMO Swap Futures
      Effective this Sunday, February 26 (trade date Monday, February 27), the Singapore Fuel Oil 180 cst vs. 380 cst Spread (Platts) BALMO Swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

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

      Please view the  New Product Summary.

       

      European Naphtha (Platts) Cargoes CIF NWE Average Price
      Effective this Sunday, February 26 (trade date Monday, February 27), the European Naphtha (Platts) Cargoes CIF NWE Average Price options will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

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

      Please view the  New Product Summary.

       

      PJM AD Hub and NI Hub 50 MW Options
      Effective this Sunday, February 26 (trade date Monday, February 27), the following electricity options will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

      • PJM AEP Dayton Hub Peak 50 MW Calendar-Month LMP Swap Options
      • PJM Northern Illinois Hub Peak 50 MW Calendar-Month LMP Swap Options
      • PJM AEP Dayton Hub Peak 50 MW Calendar-Month LMP Options on Calendar Strip Futures
      • PJM Northern Illinois Hub Peak 50 MW Calendar-Month LMP Options on Calendar Strip Futures

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

      Please view the  New Product Summary.

       

      Copper Calendar Swap Futures
      Effective this Sunday, February 26 (trade date Monday, February 27), Copper Calendar Swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

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

      Please view the  New Product Summary.

       

      Copper Average Price Options
      Effective this Sunday, February 26 (trade date Monday, February 27), Copper Average Price options will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

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

      Please view the  New Product Summary.
      Product Changes

      FIX tag 55-Symbol Changes for NYMEX Brent 25-Day (Platts) Intercommodity Spreads
      Effective this Sunday, February 26, the FIX tag 55-Symbol values for NYMEX Brent 25-Day (Platts) intercommodity spreads will be changed as follows:

      FIX tag 55-Symbol Changes for NYMEX Brent 25-Day (Platts) Intercommodity Spreads
      Futures and Spreads Tag 1151-SecurityGroup Current tag 55-Symbol New tag 55-Symbol
      Intercommodity Spreads NBZ-CL, NBZ:C1 RB-NBZ FB IE
      Intercommodity Spreads NBZ-BZ FB OP

      Market Data Platform channels and implied functionality will not be impacted.

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

      FIX tag 55-Symbol Changes for Natural Gas Basis Swap Futures
      Effective this Sunday, February 26, the FIX tag 55-Symbol values for Natural Gas Basis Swap futures will be changed as follows:

      FIX tag 55-Symbol Changes for Natural Gas Basis Swap Futures
      Futures Tag 1151-SecurityGroup Current tag 55-Symbol New tag 55-Symbol
      Demarc Basis Swap (Platts IFERC) Futures PE MX GX
      Houston Ship Channel Basis Swap (Platts IFERC) Futures NHN GX NX
      NGPL Mid-Con Basis Swap (Platts IFERC) Futures NL
      Ventura Basis Swap (Platts IFERC) Futures PF MX NX
      Panhandle Basis Swap (Platts IFERC) Futures PH
      Columbia Gas TCO Basis Swap (Platts IFERC) Futures TC

      Market Data Platform channels and implied functionality will not be impacted.

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted futures after their close on Friday, February 24. After 16:00 CT on Friday, February 24 all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).

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

      NEW Additional Calendar Spreads Listings for In Delivery Month European Union Allowance Futures
      Effective this Sunday, February 26 (trade date Monday, February 27),the GreenX In Delivery Month European Union Allowance (EUA) futures (tag 1151-SecurityGroup=EAF, tag 55 Symbol=VX) calendar spreads will be listed for trading on the CME Globex platform for the following maturities for all December vs. December combinations:

      • December 2012
      • December 2013
      • December 2014
      • December 2015
      • December 2016
      • December 2017
      • December 2018
      • December 2019
      • December 2020

      The calendar spreads will use the value SP in tag 762-SecuritySubType.

      These contracts are listed with, and subject to, the rules and regulations of GreenX. All transactions will be available for clearing through CME Clearing.

      NEW Implied Functionality for GreenX InterCommodity Spreads
      Effective Sunday, March 11, 2012 (trade date Monday, March 12), implied functionality will be enabled for the following GreenX.intercommodty spreads:

      Implied Functionality for GreenX InterCommodity Spreads
      Spreads tag 1151-SecurityGroup tag 55-Symbol
      In Delivery Month Certified Emission Reduction (CER) Futures Contract vs. In Delivery Month European Union Allowance (EUA) Futures CRE VX
      In Delivery Month Certified Emission Reduction (CER) Futures Contract vs. In Delivery Month European Union Allowance (EUA) Futures CRE
      Certified Emission Reduction Plus (CERplusSM) Futures vs. In Delivery Month European Union Allowance (EUA) Futures CPL

      Implied functionality for the GreenX intercommodty spreads will be available for customer testing in New Release on Monday, February 27.

      These contracts are listed with, and subject to, the rules and regulations of GreenX. All transactions will be available for clearing through CME Clearing.

      FIX tag 55-Symbol Changes for Energy Futures and Futures Spreads
      Effective Sunday, March 11, the FIX tag 55-Symbol values for the following Energy futures and futures spreads will be changed as follows:

      FIX tag 55-Symbol Changes for Energy Futures and Futures Spreads
      Futures Tag 1151-SecurityGroup Current tag 55-Symbol New tag 55-Symbol
      Crude Volatility Index CVF OP CM
      European Gasoil (ICE) GLI
      New York Harbor Ethanol QEN
      Gulf Coast Gasoline LR
      Gulf Coast Harbor ULSD LU
      Intercommodity Spreads LR:LU
      ASCI Financial A0X
      REBCO RE

      Market Data Platform channels and implied functionality will not be impacted.

      These changes will be available for customer testing in New Release on Monday, February 27.

      FIX tag 55-Symbol Changes for 3-Year Eurodollar Mid-Curve Options
      Effective Sunday, March 18, the FIX tag 55-Symbol values for the 3-Year Eurodollar Mid-Curve options will be changed as follows:

      FIX tag 55-Symbol Changes for 3-Year Eurodollar Mid-Curve Options
      Futures Tag 1151-SecurityGroup Current tag 55-Symbol New tag 55-Symbol
      3-Year Eurodollar Mid-Curve Options GE3 E2 E3

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted options after their close on Friday, March 16. After 16:00 CT on Friday, March 16 all remaining GTC and GTD orders for these products will be cancelled by the CME Group Global Command Center (GCC).

      This change will be available for customer testing in New Release Monday, March 5, 2012.

      Butterfly Spreads on Energy Futures
      Effective Sunday, March 25 (trade date Monday, March 26), butterfly spreads will be listed on CME Globex for the following futures:

      Butterfly Spreads on Energy Futures
      Futures Tag 1151-SecurityGroup
      New York Harbor (ULSD) Futures LH
      RBOB Gasoline Futures RB
      New York Harbor No. 2 Heating Oil Futures HO

      Butterfly spreads consists of three instruments within the same product and with equally distributed maturity months (e.g., M2-U2-Z2). Further details are available in the  Electronic Trading Concepts. Butterfly spreads are identified with BF in tag 762-SecuritySubType in the Security Definition (tag 35-MsgType=d) message. These energy butterfly spreads will not support implied functionality.

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

      The energy butterfly spreads will be available for customer testing in New Release on Monday, March 12.
      S&P Launches and Changes

      Discontinued S&P Real-time Indexes
      Effective this Friday, February 24, at the close of business the following S&P Index will be discontinued.

      Discontinued S&P Real-time Indexes
      Index Name Tag-55
      Symbol
      IQ Taiwan Small Cap IQSMTAI

       Update New S&P Real-time Indexes
      Effective this Monday, February 27, 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 Tag-55
      Symbol      		 Dissemination
      Times      		 Fee
      Liable      		 Currency DPL
      S&P/ASX Australian
      Fixed Interest Index TR      		 SPBDASXT 15:30 to 1:30 CT XF AUD 3
      S&P/ASX Australian Fixed
      Interest 1-5 Year Index TR      		 SPBDAS1T 15:30 to 1:30 CT XF AUD 3
      S&P/ASX Australian Fixed
      Interest 5-10 Year Index TR      		 SPBDAS5T 15:30 to 1:30 CT XF AUD 3
      S&P/ASX Australian Fixed
      Interest 10-15 Year Index TR      		 SPBDA10T 15:30 to 1:30 CT XF AUD 3
      S&P/ASX Government
      Bond Index TR      		 SPBDAGVT 15:30 to 1:30 CT XF AUD 3
      S&P/ASX Commonwealth
      Government Bond Index TR      		 SPBDAGCT 15:30 to 1:30 CT XF AUD 3
      S&P/ASX State-Government
      Bond Index TR      		 SPBDAGST 15:30 to 1:30 CT XF AUD 3
      S&P/ASX Corporate
      Bond Index TR      		 SPBDACPT 15:30 to 1:30 CT XF AUD 3
      S&P/ASX Supranational
      & Sovereign Bond Index TR      		 SPBDASAT 15:30 to 1:30 CT XF AUD 3
      S&P/ASX Australian
      Fixed Interest 10 Year+ Index TR      		 SPBDA1PT 15:30 to 1:30 CT XF AUD 3
      S&P/ASX Australian
      Fixed Interest AAA
      Rating Band Index TR      		 SPBDAR1T 15:30 to 1:30 CT XF AUD 3
      S&P/ASX Australian
      Fixed Interest AA
      Rating Band Index TR      		 SPBDAR2T 15:30 to 1:30 CT XF AUD 3
      S&P/ASX Australian
      Fixed Interest
      A Rating Band Index TR      		 SPBDAR3T 15:30 to 1:30 CT XF AUD 3
      S&P/ASX Australian
      Fixed Interest BBB
      Rating Band Index TR      		 SPBDAR4T 15:30 to 1:30 CT XF AUD 3
      S&P/ASX Corporate Bond
      AA Rating Band Index TR      		 SPBDAC2T 15:30 to 1:30 CT XF AUD 3
      S&P/ASX Corporate Bond
      A Rating Band Index TR      		 SPBDAC3T 15:30 to 1:30 CT XF AUD 3
      S&P/ASX Corporate
      Bond BBB Rating
      Band Index TR      		 SPBDAC4T 15:30 to 1:30 CT XF AUD 3
      Defined US Dividend Index DEFIUDCI 8:30 to 16:30 CT XW USD 2
      Defined International
      Dividend Index      		 DEFIIDCI 8:30 to 16:30 CT XW USD 2
      Defined Emerging Markets
      Dividend Index      		 DEFIEDCI 8:30 to 16:30 CT XW USD 2

       NEW New S&P Real-time Indexes
      Effective Monday, March 5, 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 Tag-55
      Symbol      		 Dissemination
      Times      		 Fee
      Liable      		 Currency
      S&P CNX Nifty Futures Excess Return Index SPCXUE 07:00 to 6:00 CT XF USD

       
      Events & Announcements

      Eris Exchange Market Data Available via Streamlined FIX/FAST
      Starting on Monday, March 12, CME Group will begin disseminating Eris Exchange market data in 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 new templates.

      The following Eris Exchange market data will be available via streamlined FIX/FAST:

      • Order Books in Market by Order (MBO) Format
      • Trades
      • Security Definitions
      • Request for Quotes (RFQs)

      Eris Exchange market data is currently available for customer testing in the New Release.

      Mandatory certification via AutoCert+ is required for customers wishing to receive streamlined FIX/FAST market data for the Eris Exchange. The AutoCert+ test suite will be available on Monday, February 27.

      Detailed information for Eris market data via streamlined FIX/FAST is available  online.

      The  Eris Exchange is a Designated Contract Market (DCM) for USD Interest Rate Swap Futures that provides liquidity and anonymity to their customers. The trades are futures contracts which replicate the cash flows associated with OTC Interest Rate Swaps. The  futures contracts consist of plain-vanilla transaction terms for date and rate flexibility. Trades are cleared through CME Clearing.

      These products are being made available to authorized and licensed customers of the Eris Exchange for dissemination through the CME Market Data Platform (MDP); however they are not available for trading on CME Globex.

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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