• Market Data Notices: April 22, 2013

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      • Market Data Distributors
      • #
      • 20130422
      • Notice Date
      • 22 April 2013
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      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), Good 'Till Date (GTD) and User-Defined Spread (UDS) orders for all contracts after their close on Friday, May 31. The CME Globex Control Center (GCC) will cancel all remaining GTC, GTD orders and eliminate all UDS orders for BMD products after market close on Friday, May 31.

      The new BMD instruments are now available for customer testing in New Release.

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

      Streamlined FIX/FAST - Modification of Notional Value for Eris Exchange Contracts
      Effective Monday, June 3, 2013, the notional value for all Eris Exchange futures contracts will change from $1,000,000 to $100,000. There will be no changes to streamlined FIX/FAST messaging.

      The new contract pricing will be available in New Release for customer testing on Monday, April 29, 2013.

      There will be changes to open interest by CME Clearing. Additional details on these changes are available  online.
      New Functionality

      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.

      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. Information on the new channel will be available in the config.xml file on Sunday, April 28.

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

      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 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 is currently available in AutoCert+. Customer systems that plan to support CME Europe via CME Globex must complete this certification.

      The implementation is currently available in New Release for customer testing.

      Please contact your Global Account Manager for further information.
      Product Launches

      Update Variance Futures
      Effective this Sunday, April 28, 2013 (trade date Monday, April 29), the Variance futures will be listed for trading on CME Globex.

      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
      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

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

      Update Variance Futures
      Effective this Sunday, May 12, 2013 (trade date Monday, May 13), the following Natural Gas Variance futures will be listed for trading on CME Globex.

      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

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

      Iron Ore 62% Fe, CFR China (TSI) Futures
      Effective Sunday, May 12 (trade date Monday, May 13),   Iron Ore 62% Fe, CFR China (TSI) futures and calendar spreads (tag1151-SecurityGroup= TIO, tag 55-Symbol=ST) will be listed on CME Globex.

      These futures will be available for customer testing in New Release on Monday, April 29.

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

      FIX tag 55-Symbol Changes for E-mini S&P Select Sector Futures
      Effective Sunday, May 19, the FIX tag 55-Symbol values for the following for S&P Select Sector futures will be changed as follows:

      FIX tag 55-Symbol Changes for E-mini S&P Select Sector Futures
      Product tag 1151-SecurityGroup Current tag 55-Symbol New tag 55-Symbol
      E-mini Materials Sector Index Futures XAB SS XM
      E-mini Energy Sector Index Futures XAE SS XY
      E-mini Financial Sector Index Futures XAF SS XF
      E-mini Industrial Sector Index Futures XAI SS XO
      E-mini Technology Sector Index Futures XAK SS XG
      E-mini Consumer Staples Sector Index Futures XAP SS XP
      E-mini Utilities Sector Index Futures XAU SS XU
      E-mini Health Care Sector Index Futures XAV SS XL
      E-mini Consumer Discretionary Sector Index Futures XAY SS XN

      Market Data Platform channels 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 and futures spreads after their close on Friday, May 17. After 16:00 CT on Friday, May 17, all remaining GTC and GTD orders for these products will be cancelled by the CME Group Global Command Center (GCC).

      These changes will be available in New Release for customer testing on Monday, May 6.

      NEW Operational Minimum Tick Change for EUR/CHF, EUR/GBP, and EUR/SPY Futures Calendar Spreads
      Effective Sunday, May 18 (trade date Monday, May 19), the minimum tick increment will change for the following futures calendar spreads.

      This is an operational change only and under CME Rules 30301.D.Price Increment, 30601.D.Price Increments and 30401.D Price Increments, intra-currency spreads have been allowed on CME Globex at half-ticks.

      Operational Minimum Tick Change for EUR/CHF, EUR/GBP, and EUR/SPY Futures Calendar Spreads
      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
      EUR/CHF Calendar Spreads RF XR 1 .5 0.0001 0.0001
      EUR/GBP Calendar Spreads RP SS 1 2.5 0.00001 0.0001
      EUR/JPY Calendar Spreads RY XR 1 .5 0.00001 0.01

      These changes will be available for customer testing in New Release on Monday, May 6.
      Events & Announcements

      Update Certification File Maintenance
      The host IP address for Historical Replay in the Certification environment change, originally scheduled for Monday, April 29, has been postponed. A new launch date will be announced via the CME Globex and Market Data notices.

      Effective Monday, April 29, 2013, the host IP address for Historical Replay in the Certification environment will be changing from 10.135.70.106 to 10.135.194.79.

       

      The new config.xml file for the Certification environment will be available for customer download from the  CME Group FTP site starting on Monday, April 15, 2013.

      CME Globex London Hub Update
      CME Group will be expanding its CME Globex London Hub infrastructure to include a new point of presence (PoP) to the Equinix London Slough datacenter. Starting in May 2013, CME Group will begin accepting cross connection orders to the new data center. Customers may select from the following connectivity options.

      • Customers co-located within the Equinix London Slough datacenter will have the ability to order 1 G single-mode fiber cross connects.
      • Customers not co-located in the Equinix London Slough datacenter will have the ability to order 100 Mbps copper or 1 G single-mode fiber cross connects.

      Please contact your  EMEA Global Account Manager at +44 203 379 3754 for additional information.

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