• CME Globex Notices: March 28, 2016

      • To
      • CME Globex and Market Data Customers
      • #
      • 20160328
      • Notice Date
      • 28 March 2016
    • Topics in this issue include:

       

      Critical System Updates

      New - BM&F Bovespa Classification of Financial Instruments (CFI) Code Changes

      Effective this Sunday, April 3 (trade date Monday, April 4), BM&F Bovespa (BVMF) will introduce changes to their implementation of existing Classification of Financial Instruments (CFI) Code values on BVMF security definition (tag 35-MsgType=d) messages as follows:

      • Two new options CFI codes will be introduced for options contracts
        • OPATPS
        • OCATPS
      • The existing CFI codes will be updated with new values for certain contracts
        • Futures and options tag 461-CFICode
        • Futures spreads tag 608-LegCFICode

      More information is available in the BVMF CFI Code Table of Values.

      Please contact BVMF with any questions or concerns at +55 11 2565 5000, Option 2.

       

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      CME Ciphers and MACs SFTP Changes

      On Saturday, April 9, CME Group will update the supported list of ciphers and MACs to enhance security of customers’ connectivity to CME Group Secure FTP site.

      This change will impact connectivity to CME Group Secure FTP site. Following the update, customers must use at least one of the Ciphers and one of the MACs listed below:

      Supported Cipher algorithms:

      • aes256-ctr
      • aes192-ctr
      • aes128-ctr
      • aes256-cbc
      • aes192-cbc
      • aes128-cbc

      Supported MAC Algorithms:

      • hmac-sha2-256
      • hmac-sha2-512
      • hmac-sha1

      Customers can test this enhancement in the Test SFTP site now.

      To verify your ability to access the SFTP site:

      • Logon to sftpcert.cmegroup.com with your production credentials.
      • Send a test file into the Incoming folder or download test file “CME.Cipher.Test.xml” from the Outgoing folder.

       

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      New iLink Architecture Phase 2

      To ensure customer and systems’ readiness, the previously announced mock trading sessions and launches of all remaining market segments have been postponed. A new launch schedule for the remaining market segments will be announced in the CME Globex Notices as soon as it is available.

      The MSGW config.xml file for the Production and New Release environments is available on the CME Group SFTP site. The file contains the list of all market segments and MSGW IP addresses. Refer to MSGW – SFTP Site Information for more information.

      A new iLink MSGW certification suite is available in Autocert+. Both iLink and the new iLink MSGW certifications are required for customer systems to connect directly to the MSGW. To successfully certify your application, customers must use the same System Profile for both iLink and iLink MSGW certifications. As a reminder, all customers must certify and migrate to Drop Copy 4.0. Only Drop Copy 4.0 supports MSGW source sessions.

      All customers are encouraged to review the new iLink Architecture client impact assessment.

      Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

       

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      Drop Copy 4.0 Implementation

      CME Group will continue to implement Drop Copy 4.0 support for Market Segment Gateways (MSGWs) source sessions in addition to the Convenience Gateway (CGW) implementation available in production.

      Certification is mandatory for all Drop Copy customers and is a prerequisite for access to Drop Copy Convenience Gateways and Market Segment Gateway target sessions. Upon completion of certification in the new Drop Copy 4.0 test suite in AutoCert+, customers can request Drop Copy CGW and/or Drop Copy MSGW target sessions.

      Executing firms planning to leverage market segment gateway iLink sessions should follow up with their Clearing firms to confirm their readiness to support Drop Copy 4.0.

      The client impact assessment is now available outlining changes introduced by the new Drop Copy 4.0 implementation and details regarding functionality and messaging in the Drop Copy 4.0 Overview section.

      The existing implementation of Drop Copy will be decommissioned on Friday, May 6, 2016. All customers leveraging the Drop Copy service must be certified for Drop Copy 4.0 by that date.

      Drop Copy 4.0 CGW and MSGW are available in New Release for customer testing.

      For more information, a Frequently Asked Questions (FAQ) guide is now available.

      Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

       

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      AutoCert+ SMART Click Integration

      In Q2 2016, all AutoCert+ access will migrate to SMART Click and legacy user IDs and passwords will be decommissioned.

      Currently, AutoCert+ users have the ability to migrate their existing AutoCert+ Login ID to SMART Click.

      A single SMART Click ID can be used to claim all the users existing AutoCert+ Login ID’s. Claiming legacy AutoCert+ ID’s will consolidate the user’s entitlements associated with the legacy AutoCert+ ID’s under one SMART Click ID.

      All AutoCert+ users need to begin the claim process with a registered SMART Click ID.

      • Current users with a SMART Click ID can begin the SMART Click claim process now.
      • New AutoCert+ users create a SMART Click ID prior to accessing AutoCert+

      If you have questions, please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803, or in Asia at +65 6593 5593.

       

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      iLink Session ID Policy and Operational Guidelines

      As a result of the upcoming iLink Architecture with Market Segment Gateways, CME Group plans to introduce a new policy for the distribution and management of iLink session IDs as explained in the iLink Session ID Policy and Operational Guidelines.

      A Port Activation Charge (PAC) will apply to all newly created Convenience Gateway (CGW) iLink sessions. Newly created and existing CGW iLink session IDs will not be subject to Monthly Inactivity (MIC) measurement or surcharges until iLink Session Policy Phase 2 begins, which is estimated to be June 1, 2016.

      To ensure a successful migration to the revised iLink Session Policy, clearing and executing firms are encouraged to contact their Global Account Manager with any questions.

       

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      New Functionality

      New Cross Process on CME Globex

      Effective Sunday, April 10 (trade date Monday, April 11), CME Globex will introduce a new Committed Cross (C-Cross) process for CME FX options and CME and CBOT Interest Rate and Equity Index options.

      The new C-Cross process supports the following enhancements to Request for Cross:

      • The Request for Quote (tag 35-MsgType=R) is no longer required.
        • CME Globex will continue to automatically publish an RFQ upon receipt of the Request for Cross (tag 35-MsgType=s) message
      • Extended Pre-cross state.
      • Better Price Match (BPM) guaranteed execution for some markets.

      A detailed description of the C-Cross process is available here. More information is also available in the Regulatory Advisory.

      The C-Cross process is available in New Release and AutoCert+ for customer testing.

      Customer systems already certified for Request for Cross functionality are not required to certify for this enhancement.

       

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      Enhanced UDS Strip Functionality

      Effective Sunday, May 8 (trade date Monday, May 9), CME Globex will launch Enhanced UDS Functionality for NYMEX Energy and Dairy options to better support the pricing conventions. With this release, CME Globex will support average price functionality (APS) on the current strip (tag 762-SecuritySubType=SA) and the new Option Strip Spread (tag 762=GD).

      The client impact assessment is now available, which outlines changes introduced in this release.

      These changes will be available in New Release for customer testing on Monday, April 4.

       

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      Product Launches

      Update - Mid-Sized Milk Options

      Denotes update to the article

      Effective this Sunday, April 3 (trade date Monday, April 4), Mid- Sized Milk options will be listed for trading on CME Globex and for submission clearing via CME ClearPort.

      Mid-Sized Milk Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Mid-Sized Milk Options JQ †A2
      Mid-Sized Milk Synthetic Futures JQ 05

      With this launch, the ITC code for Mid-Sized Milk options underlying futures will change from  ITC Code: DA to ZX.

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

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

       

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      CME Bloomberg Dollar Spot Index Futures

      Effective this Sunday, April 3 (trade date Monday, April 4), CME Bloomberg Dollar Spot Index Futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      CME Bloomberg Dollar Spot Index Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      CME Bloomberg Dollar Spot Index Futures BDI DI

      CME Bloomberg Dollar Spot Index futures is currently available in New Release for customer testing.

      Please view New Product Summary.

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

       

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      Listing Henry Hub Natural Gas Butterfly Spreads

      Effective Sunday, April 10 (trade date Monday, April 11), the CME Group will add Henry Hub Natural Gas futures butterfly spreads for the first 12 contract months on CME Globex.

      A detailed description of the butterfly futures spread is available here.

      Listing Henry Hub Natural Gas Butterfly Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 107-SecurityDesc
      MDP 3.0: tag 55-Symbol
      Tag 762-
      SecuritySubType
      Henry Hub Natural Gas Futures NG NG:BF K6-M6-N6
      NG:BF M6-N6-Q6
      NG:BF N6-Q6-U6
      NG:BF Q6-U6-V6
      NG:BF U6-V6-X6
      NG:BF V6-X6-Z6
      NG:BF X6-Z6-F7
      NG:BF Z6-F7-G7
      NG:BF F7-G7-H7
      NG:BF G7-H7-J7
      BF (Butterfly Spread)

      These spreads will are currently available in New Release for customer testing.

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

       

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      Weekly German and French Power Futures

      Effective Sunday, April 24 (trade date Monday, April 25),the following German and French power baseload and peakload weekly futures will be listed for trading on CME Globex and for submission to clearing via CME ClearPort.

      Weekly German and French Power Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      German Power Baseload Weekly Future PO GWB
      German Power Peakload Weekly Future PO GWP
      French Power Baseload Weekly Future PO FWB
      French Power Peakload Weekly Future PO FWP

      These futures will be available for customer testing in New Release on Monday, April 4.

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

       

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      Product Changes

      External Name Changes to Existing NYMEX Inter-Commodity Spreads and Listing of Six Additional Spreads

      Effective this Sunday, April 3 (trade date Monday, April 4), the external instrument naming convention for RB:BZ and HO:BZ Inter-Commodity spreads on CME Globex will be modified as follows:

      Current External Name iLink: tag 107-SecurityDesc
      MDP 3.0: tag 55-Symbol
      New External Name iLink: tag 107-SecurityDesc
      MDP 3.0: tag 55-Symbol
      Examples:

      a) BZ:C1 RB-BZ K6

      BZ - Leg 2 Symbol
      C1 - Strategy Type (Crack)
      RB = Leg 1 Symbol
      K6 = Month & year of both legs

      b) BZ:C1 HO-BZ K6

      BZ - Leg 2 Symbol
      C1 - Strategy Type (Crack)
      HO = Leg 1 Symbol
      K6 = Month & year of both legs
      Examples:

      a) BZ:C1 RB K6-BZ M6

      BZ - Leg 2 Symbol
      C1 - Strategy Type (Crack)
      RB = Leg 1 Symbol
      RB K6 = Month & Year of Leg1
      BZ M6 = Month & Year of Leg2

      b) BZ:C1 HO K6-BZ M6

      BZ - Leg 2 Symbol
      C1 - Strategy Type (Crack)
      HO = Leg 1 Symbol
      HO K6 = Month & Year of Leg1
      BZ M6 = Month & Year of Leg2

      With this change, six additional RB:BZ and six HO:BZ Inter-Commodity spreads will be listed on CME Globex.

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

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

       

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      Update - Implied Options Functionality

      Denotes update to the article

      Starting this Sunday, April 3 (trade date Monday, April 4), CME Group will enable implied options functionality for the following options listed for trading on CME Globex. Additional information on implied options functionality is available in the Client Systems Wiki.

      Implied Options Functionality
      Product Production Launch Date
      Crude Oil Options April 3
      Natural Gas Options
      Biofuels Options
      Refined Options
      †Gasoline Options April 10
      Agricultural Options April 24
      FX Options April 24

      Note: Additional options have been added to the product list.

      Please view the complete list of products eligible for the implied options functionality.

      This change is currently available in New Release for customer testing.

       

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      New - Delisting of Gulf Coast Futures

      Effective Monday, April 4, the following Gulf Coast futures will be delisted for trading from CME Globex, and for submission for clearing through CME ClearPort. There is currently no open interest in these products.

      Delisting of Gulf Coast Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Gulf Coast Unl 87 Gasoline M1 (Platts) vs. RBOB Gasoline Futures RV PT
      Gulf Coast Unl 87 Gasoline M1 (Platts) Futures AGS RF
      Gulf Coast Unl 87 Gasoline M1 (Platts) Crack Spread Futures ARW RF
      Gulf Coast Unl 87 (Platts) Up-Down BALMO Futures A1K RF

      Gulf Coast Unl 87 (Platts) Crack Spread BALMO Futures

      1J CP

       

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      Group Code Changes for Energy Options

      Effective Sunday, April 10 (trade date Monday, April 11), the tag 1151-Security Group for these energy options will be changed as follows:

      Group Code Changes for Energy Products
      Product MDP 3.0: tag 6937-Asset Current iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      New iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      UDS Group
      Gasoline Euro-bob Oxy NWE Barges (Argus) Average Price Option 7HO PR EP P2
      NY Harbor ULSD Average Price Option ATX PR EP P2

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) orders for the impacted options after their close on Friday, April 8. After 16:00 CT on Friday, April 8, all remaining GTC orders for these options will be cancelled by the CME Global Command Center (GCC).

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

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

       

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      Changes to Non-Reviewable Ranges

      Effective Sunday, April 10 (trade date Monday, April 11), the Non-Reviewable Ranges will be modified for following products.

      Changes to Non-Reviewable Ranges
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Non-Reviewable Range New Non-Reviewable Range
      Palladium Futures PA PD 500 1000
      Aluminum Futures ALI ST 5000 200
      E-mini FTSE China 50 Index Futures FT5 C5 60 100
      USD/Offshore RMB (CNH) Futures CNH RM 150 650
      USD/RMB Futures CNY F8 150 650
      RMB/USD Futures RMB F8 40 150
      E-micro USD/Offshore RMB (CNH) Futures MNH RM 150 650
      E-micro USD/RMB Futures MNY F8 150 650
      Option on Class III Milk Futures DC A6 The greater of the delta times the underlying futures' non-reviewable range or 20% of the fair value premium up to the underlying futures' non-reviewable range with a minimum reasonability of $0.005. The greater of the delta times the underlying futures' non-reviewable range or 20% of the fair value premium up to the underlying futures' non-reviewable range with a minimum reasonability of $0.05
      Midsize Options on Class III Milk Futures JQ A2
      Options on Class IV Milk Futures GDK D8

      The non-reviewable range and price band settings for every CME Globex product are defined in the CME Globex Product Reference.

      These contracts are listed on, and subject to, the rules and regulations of COMEX, NYMEX, and CME.

       

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      Changes to Circuit Breakers

      Effective Sunday, April 10 (trade date Monday, April 11), the following products' circuit breaker values will be updated.

      Changes to Circuit Breakers
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current 1st Level New 1st Level
      U.S. Dollar/Chinese Renminbi (CNY) Futures CNY F8 1500 ticks 2000 ticks
      E-micro USD/Chinese Renminbi Futures MNY F8 1500 ticks 2000 ticks
      U.S. Dollar/Offshore Chinese Renminbi(USD/RMB) Futures CNH RM 1500 ticks 2000 ticks
      E-Micro U.S. Dollar/Offshore Chinese Renminbi (USD/RMB) Futures MNH RM 1500 ticks 2000 ticks
      U.S. Dollar/Offshore Chinese Renminbi(USD/RMB) Futures RMB F8 400 ticks 450 ticks
      Palladium Futures PA PD $50.00 $100.00
      Henry Hub Natural Gas Futures NG NG $1.50 $1.00

      Customers may obtain daily price limits (tag 1149-HighLimitPrice and 1150-LowLimitPrice) via the Market Data Platform, from any of the following messages:

      • Market Data Incremental Refresh (tag 35-MsgType=X)
      • Security Definition (tag 35-MsgType=d)
      • Market Data Snapshot Full Refresh (tag 35-MsgType=W) in the Market Recovery Feed

       

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      New - Expand the Listing Cycle for FX and Japanese Yen Serial Options

      Effective Sunday, April 24 (trade date Monday, April 25), the listing cycle of the following FX and Japanese Yen serial options will be expanded from two serial months to three serial months on CME Globex. The listing cycle for quarterly options will remain unchanged.

      Expand the Listing Cycle for FX and Japanese Yen Serial Options
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      AUD/USD American Options 6A ZA
      AUD/USD European Options XAD XA
      CAD/USD American Options 6C XD
      CAD/USD European Options XD CD
      CHF/USD European Options XS YS
      CHF/USD American Options 6S XS
      CZK/EUR American Options ECZ 8A
      CZK/USD American Options CKO FR
      EUR/CHF American Options RF 8C
      EUR/GBP American Options RP 8E
      EUR/JPY American Options RY 8H
      EUR/USD American Options 6E XT
      EUR/USD European Options XT XE
      GBP/USD American Options 6B XB
      GBP/USD European Options XB YB
      HUF/EUR American Options EHU X8
      HUF/USD American Options HFO 8K
      ILS/USD American Options ILS I0
      JPY/USD American Options

       

      6J 6J
      JPY/USD European Options XJ QJ
      NZD/USD American Options 6N 2N
      PLN/USD American Options PLZ P6
      PLN/EUR American Options EPL 8M

      These products will be available in New Release for customer testing on Monday, April 4.

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

       

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      New - Changes to Price Display Format for Select CBOT Fractional Products

      Effective Sunday, May 1 (trade date Monday, May 2), the Price Display Format for select fractional CBOT Products will be modified as follows.

      Changes to Price Display Format for Select CBOT Fractional Products
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current tag 9800-PriceDisplayFormat New tag 9800-PriceDisplayFormat
      5-Year USD Deliverable Interest Rate Swap Futures F1U ZF 2 3
      7-Year USD Deliverable Interest Rate Swap Futures S1U ZN 2 3
      10-Year USD Deliverable Interest Rate Swap Futures N1U ZN 2 3
      KC HRW-Chicago SRW Wheat Inter-commodity Spread Options KWC KW 0 1
      MGEX-Chicago SRW Wheat Spread Options MCW CW 0 1

      Please see the Client System Wiki for additional information on Fractional Pricing.

      These changes will be available in New Release for customer testing on Monday, April 11.

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

      Events and Announcements

      Order Routing and Front-End Audit Trail Requirements

      As previously announced in the Market Regulation Advisory Notice RA1509-5, all firms must comply with the new Order Routing and Front-End Audit Trail Requirements (Rule 536.B.) by this Friday, April 1. All new, and currently certified, iLink order routing applications must certify or recertify their trading systems to ensure full compliance with the new audit trail requirements.

      Detailed information on the new specification is available in the Client Systems Wiki.

      Important changes to the Order Routing and Front-End Audit Trail Requirements:

      • Market Regulation will now require the Audit Trail for certifications and annual exams to be submitted in CSV or Excel file format with specific column order as outlined in the Minimum Acceptable Audit Trail Elements.
      • The new specifications of the audit trail file provides details for each column on data requirements for tier 1 and tier 2 components
      • Clarification of how to represent market maker functionality at the quote entry level as well as how to properly represent Request for Cross (RFC) and Request for Quote (RFQ)s.
      • Additional iLink messages are now in scope of the audit trail:
        • Session Level Reject (tag 35-MsgType=3)
        • Business Level Reject (tag 35-MsgType=j)
        • Order Mass Action Request (tag 35-MsgType=CA)
        • Order Mass Action Report (tag 35-MsgType=BZ)
      • For improved representation of the information exchanged between trading systems and CME Globex, 17 data points have been added and 16 data points have been removed from the audit trail specifications.
      • The new 2016 specifications simplify data capture by removing requirements to capture data from other interfaces than iLink, including market data and post-trade system interfaces.

      CME Group recommends all applications certifying for Market Segment Gateway (MSGW) certify for the new audit trail requirements simultaneously.

      Please forward any questions regarding the new Order Routing and Front-End Audit Trail Requirements to: audittrail@cmegroup.com.

       

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      Messaging Efficiency Program Q2 2016 Benchmarks

      The Q2 2016 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available. Effective trade date Friday, April 1, the Product Group Benchmarks for Product Group 6E (Euro/U.S. Dollar Futures & Spreads) will be revised to the following levels:

      • Tier 1 (>60,000 messages): 30:1
      • Tier 2 (>40,000 messages): 60:1
      • Tier 3 (>20,000 messages): 90:1

      No other changes were made to Q2 2016 Product Group Benchmarks vs. Q1 2016 Product Group Benchmarks.

      Effective trade date Tuesday, July 5, 2016, the following product groups and levels will be added to the Messaging Efficiency Program:

      Sector Product Group Code Product Group Description Tier #3 Ratio Tier #2 Ratio Tier #1 Ratio
      Energy OP Brent Crude Oil Last Day Financial Futures 180:1 120:1 60:1
      Equity EZ E-Mini S&P 500 Outright Options 300:1 200:1 100:1
      Equity EW E-Mini S&P 500 Weekly & Monthly Options 300:1 200:1 100:1
      Equity QZ E-Mini NASDAQ 100 Outright Options 300:1 200:1 100:1
      Equity NW E-Mini NASDAQ 100 Weekly & Monthly Options 300:1 200:1 100:1
      Equity C9 E-Mini Dow ($5) Outright Options 300:1 200:1 100:1
      Equity OL E-Mini Dow ($5) Weekly & Monthly Options 300:1 200:1 100:1

      The Product Group Benchmark Ratios are published quarterly, unless business circumstances for a particular product or product group require changes to be implemented more frequently.

      The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are billed a surcharge for overly high message rates.

      Please contact your Global Account Manager in the U.S. at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5505 with any questions.

       

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