• Market Data Notices: March 25, 2013

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      • Market Data Distributors
      • #
      • 20130325
      • Notice Date
      • 25 March 2013
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      Update Bursa Malaysia Derivative Berhad New External Instrument Naming Convention
      Effective Sunday, June 2 (trade date Monday, June 3), Bursa Malaysia Derivative Berhad (BMD) will introduce a new external instrument naming convention for futures, options and spreads listed on CME Globex. This change will make these products easier to support by aligning the convention with that of CME Globex.

      The Client Impact Assessment with details on these changes is now available  online .

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for all contracts after their close on Friday, May 31. After 16:00 CT on Friday, May 31 all remaining GTC and GTD orders for BMD products will be cancelled by the CME Globex Control Center (GCC).

      The new BMD instruments will be available for customer testing in New Release on Monday, April 7.

      CME Group recommends that customers purge and re-load their instrument databases on Sunday, June 2.
      New Functionality

      Millisecond Timestamp Enhancement for Streamlined FIX/FAST for S&P and Dow Jones Indices
      Starting on Sunday, April 14, 2013, CME Group will begin disseminating millisecond for all S&P and Dow Jones Indices market data via streamlined FIX/FAST.

      With this change, CME Group will not change the size of the timestamp fields, but will replace zeros in the millisecond fields with actual millisecond data.

      Please note: There are no template updates are required for this enhancement.

      The following S&P and Dow Jones Indices messages and fields will be affected:

      Microsecond Timestamp Enhancement for Streamlined FIX/FAST for S&P and Dow Jones Indices
      Message Type Tag Format
      Security Definition Message (Tag 35-MsgType=d) 872-InstrAttribValue HHMMSSsss
      Incremental Refresh Message (Tag 35-MsgType=X) 273-MDEntryTime HHMMSSsss
      News Message (Tag 35-MsgType=B) 42-OrigTime YYYYMMDDHHMMSSsss

      The millisecond granularity will be available in New Release for customer testing on Monday, March 24, 2013.

      Interest Rate Intercommodity Spreads
      Effective Sunday, May 5 (trade date Monday, May 6), a new Interest Rate Intercommodity Spread type (tag 762-SecuritySubType=DI) will be introduced on CME Globex. With this launch, the 762-SecuritySubType value for the following intercommodity spreads will be modified from IS to DI and implied functionality will be enabled.

      In addition, a new futures intercommodity implied spread will be listed for trading on CME Globex.

      Interest Rate Intercommodity Spreads
      Product tag 1151-SecurityGroup tag 55-Symbol tag 762-SecuritySubType
      10-Year Treasury Note Futures vs. 10-Yr USD Deliverable Interest Rate Swap Futures ZN ZB DI
      5-Year Treasury Note Futures vs. 5-Year USD Deliverable Interest Rate Swap Futures ZF ZB DI
      Ultra Treasury Bond Futures vs. 30-Year USD Deliverable Interest Rate Swap Futures New UB ZB DI

      Detailed description of Inter-Commodity Implied spread type is available  online.

      The new spread type and new intercommodity spread are currently available in New Release for customer testing.

      Update Streamlined FIX/FAST for Block Trades
      Starting on Sunday, May 12, 2013, CME Group will begin disseminating Block Trade market data via streamlined FIX/FAST. A Block Trade is a privately negotiated futures or option on futures transaction that is executed apart from the public auction market and that is permitted in designated contracts subject to specified conditions.

      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.

      Block Trade market data will be available in New Release for customer testing on Monday, March 24. An optional AutoCert+ Test Suite will available at the beginning of April. The availability of the new AutoCert+ Test Suite will be announced via the CME Globex and Market Data Notices.

      Detailed information for streamlined FIX/FAST market data for Block Trades is available  online.

      Block Trade market data is fee-liable. For additional details, please contact the  Information Products Management at 312 634 8395.

      NEW CME Europe on CME Globex
      Pending regulatory recognition, CME Europe markets will be available via CME Globex for iLink order routing and market data late Q2/Early Q3 2013. Only non-US customers are eligible to trade on CME Europe. Eligible customers who would like to trade CME Europe products must establish all appropriate agreements and accounts to be authorised to trade CME Europe products and clear through CME Clearing Europe.

      The launch includes the following impacts:

      • New tag value to identify the exchange
      • New products in FX Futures
      • New market data channels to disseminate market data
      • New streamlined Fix/Fast market data to publish block information

      The  client impact assessment provides detailed functionality and messaging for customer systems interested in supporting CME Europe products via CME Globex.

      A new CME Europe mandatory certification suite will be available Monday, April 7, in AutoCert+. Customer systems that plan to support CME Europe via CME Globex must complete this certification.

      The implementation will be available in New Release for customer testing starting Monday, April 7.

      Please contact your Global Account Manager for further information.

      Product Launches

      NEW Trading at Marker Platts
      Effective Sunday, April 7 (trade date Monday, April 8), CME Group will introduce Trading at Marker (TAM) based on the Platts 3:15 p.m. Eastern Time (ET) futures assessment or TAPS, for NYMEX New York Harbor No. 2 Heating Oil and RBOB Gasoline futures on CME Globex pending receipt of required regulatory approvals.

      For TAM trading on the Platts 3:15 p.m. ET futures assessment in NYMEX Heating Oil and RBOB Gasoline futures, the marker price will be the price established and published by Platts. Additional information on the methodology employed by Platts in establishing the 3:15 p.m. ET futures assessment is set forth in its Platts Methodology Statement which is available on the Platts  website.

      Trading at Marker Platts
      Product tag 1151-SecurityGroup tag 55-Symbol
      Heating Oil Trade at Platts HOP TP
      RBOB Trade at Platts RBP

      These contracts are listed with, and subject to, the rules and regulations of NYMEX. Additional information for TAM Platts trading is available  online.

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

      The TAM Platts marker prices will be disseminated via the Market Data Platform NYMEX ITC channel.

      Please view the  New Product Summary.

      Gasoline Euro-bob Oxy NWE Barges (Argus) Average Price Options
      Effective Sunday, April 14 (trade date Monday, April 15), Gasoline Euro-bob Oxy NWE Barges (Argus) Average Price options will be listed for trading on CME Globex.

      Gasoline Euro-bob Oxy NWE Barges (Argus) Average Price Options
      Product tag 1151-SecurityGroup tag 55-Symbol (Outrights) tag 55-Symbol (UDS)
      Gasoline Euro-bob Oxy NWE Barges (Argus) Average Price Options 7HO PR P2

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

      Please view the  New Product Summary.

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

      Update Variance Futures
      Variance futures are currently available in the New Release environment for customer testing. The production launch date will be announced via the CME Globex and Market Data Notices.

      Variance futures are based on the realized volatility of an underlying asset squared. Unlike most futures, the direction of these price changes in the underlying asset is irrelevant to the value of the Variance futures. These futures derive their value from the magnitude of the changes in price of the underlying assets, irrespective of their direction. Upon launch, these underlying assets include 4 currencies, 3 energy, and 2 metals products.

      Variance Futures
      Product tag 1151-SecurityGroup tag 55-Symbol Exchange
      Natural Gas Quarterly Variance Futures VNQ VN NYMEX
      Natural Gas Semi-Annual Variance Futures VNS VN NYMEX
      Natural Gas Calendar Variance Futures VNA VN NYMEX
      Gold Quarterly Variance Futures VGQ VM COMEX
      Gold Semi-Annual Variance Futures VGS VM COMEX
      Gold Annual Variance Futures VGA VM COMEX
      Silver Quarterly Variance Futures VSQ VS COMEX
      Silver Semi-Annual Variance Futures VSS VS COMEX
      Silver Annual Variance Futures VSY VS COMEX
      Crude Oil Quarterly Variance Futures VLR CV NYMEX
      Crude Oil Semi-Annual Variance Futures VLS CV NYMEX
      Crude Oil Calendar Variance Futures VLA CV NYMEX
      Brent Crude Oil Quarterly Variance Futures VBQ CV NYMEX
      Brent Crude Oil Semi-Annual Variance Futures VBS CV NYMEX
      Brent Crude Oil Calendar Variance Futures VBY CV NYMEX
      Australian Dollar/U.S. Dollar Quarterly Variance Futures VAQ VD CME
      Australian Dollar/U.S. Dollar Semi-Annual Variance Futures VAS VD CME
      Australian Dollar/U.S. Dollar Annual Variance Futures VAY VD CME
      British Pound/U.S. Dollar Quarterly Variance Futures VPQ VD CME
      British Pound/U.S. Dollar Semi-Annual Variance Futures VPS VD CME
      British Pound/ U.S. Dollar Annual Variance Futures VPA VD CME
      U.S. Dollar/Japanese Yen Quarterly Variance Futures VJQ VD CME
      U.S. Dollar/Japanese Yen Semi-Annual Variance Futures VJS VD CME
      U.S. Dollar/Japanese Yen Annual Variance Futures VJY VD CME
      Euro/U.S. Dollar Quarterly Variance Futures VEQ VF CME
      Euro/U.S. Dollar Semi-Annual Variance Futures VES VF CME
      Euro/U.S. Dollar Annual Variance Futures VEA VF CME

      Product Changes

      CME Globex Equity Index Circuit Breaker and Daily Price Limit Changes for Futures and Options
      Effective Sunday, April 7, 2013 (trade date Monday, April 8), changes to  circuit breaker methodology and price limits will be introduced on CME Globex for Equity Index futures and options, pending regulatory review periods.

      Currently, price limits are established on a quarterly basis based upon the average closing price of the lead month futures contract in December, March, June and September. With this change, the width of the equity index futures price limit band will be calculated daily, based on the underlying cash equity index.

      Customers are strongly encouraged to utilize the FIX/FAST Security Status (tag 35-MsgType=f) messages to obtain the daily price limits (tag 332-HighPx; tag 333-LowPx) to avoid the rejection of orders that breach price limit thresholds.

      Customers may also obtain the daily price limits from the Security Definition (tag 35-MsgType=d, tag 1149-HighLimitPrice and 1150-LowLimitPrice) messages on the instrument replay feed.

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

      If you have any questions, please contact the  CME Global Command Center in the U.S. at +1 312 456 2391, in Europe at +44 20 7623 4708 or in Asia at +65 6223 1357.

      S&P GSCI Excess Return Index Futures Minimum Tick Increment and Display Factor Changes
      Effective Sunday, April 7 (trade date Monday, April 8), changes to minimum tick increment tag 969-MinPriceIncrement and tag 9787-DisplayFactor will be implemented for S&P GSCI Excess Return Index futures, pending relevant regulatory review periods.

      S&P GSCI Excess Return Index Futures Minimum Tick Increment and Display Factor Changes
      Product tag 1151-SecurityGroup tag 55-Symbol Current Tick tag 969-MinPriceIncrement New Tick tag 969-MinPriceIncrement Current Tick tag 9787-DisplayFactor New Tick tag 9787-DisplayFactor
      S&P GSCI Excess Return Index Futures GIE GA 10 1 0.01 0.001

      These changes will be available in New Release for customer testing on Monday, March 25.

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

      NEW Change the Trading and Settlement Tick Size of the U.S. Midwest Domestic Hot Rolled Coil Steel Average Price Options (HRO)
      Effective Sunday, April 14< (for trade date Monday, April 15), U.S. Midwest Domestic Hot Rolled Coil Steel Average Price options minimum tick fluctuation will be modified from $1.00 to $0.25 on open outcry and CME ClearPort.

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

      Events & Announcements

      Revised Trading Hours on CBOT Commodity and KCBT Wheat Futures and Options
      Effective Sunday, April 7 (trade date Monday, April 8), all CBOT commodity futures and option and KCBT Wheat futures and options electronic trading hours will be modified on CME Globex. The new trading hours will be:

      • Sunday to Thursday 19:00 to 07:45 Central Time (CT)
      • Monday to Friday, Pause 07:45 to 08:30 CT
      • Monday to Friday 08:30 to 13:15 CT

      Mini-Sized Corn, Mini-Sized Soybeans and Mini-Sized Wheat will continue to trade on CME Globex until 13:45 CT.

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

      The FIX/FAST preliminary settlement messages for these products will be disseminated beginning at 13:30 CT, after the CME Globex market close. Currently, the FIX/FAST messages for these products are disseminated around 14:15 CT. ITC settlement messages will continue to be sent as soon as settlement prices are available.

      If you have any questions, please contact the  CME Global Control Center at 312-456-2391, in Europe at 44-20-7623-4708 or in Asia at 65-6223-1357.

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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