• CME Globex Notice: April 04, 2016

      • To
      • CME Globex and Market Data Customers
      • #
      • 20160404
    • Topics in this issue include:

       

      Critical System Updates

      CME Ciphers and MACs SFTP Changes

      This 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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      iLink Session ID Policy and Operational Guidelines

      Denotes update to the article

      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 Update - iLink Session ID Policy and Operational Guidelines.

      Effective Monday, April 11, The MSGW iLink session ID initial allocation limitation will be increased from 30% to 50% . Registered FADB users can view the new MSGW iLink session ID allocations in the Firm Admin Dashboard (FADB).

      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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      Update - New iLink Architecture Phase 2

      CME Group will continue to launch Phase 2 of the new iLink Architecture, which implements Market Segment Gateways (MSGWs) throughout the iLink infrastructure. A new launch schedule for the remaining market segments is now available.

      New iLink Architecture Phase 2 Launch Schedule
      Tag1300-MarketSegmentID Market Segment Phase 2 Mock Trading Session Phase 2 Launch Schedule
      54 CME Equity options April 23, 2016 April 24, 2016
      64 CME E-mini S&P 500 futures April 23, 2016 April 24, 2016
      66 CBOT Equity futures April 23, 2016 April 24, 2016
      68 CME Equity futures excluding E-mini S&P April 23, 2016 April 24, 2016
      50 CME Eurodollar options April 30, 2016 May 1, 2016
      58 CBOT Treasury options April 30, 2016 May 1, 2016
      82 CME Eurodollar futures April 30, 2016 May 1, 2016
      84 CBOT Treasury futures April 30, 2016 May 1, 2016
      56 NYMEX and COMEX options May 14, 2016 May 15, 2016
      74 Hosted Partner Exchange markets and NYMEX Emissions futures May 14, 2016 May 15, 2016
      76 NYMEX and COMEX Metals and Alternative Market futures May 14, 2016 May 15, 2016
      78 NYMEX Non-Crude Energy futures May 14, 2016 May 15, 2016
      80 NYMEX Crude Energy futures May 14, 2016 May 15, 2016
      86 CME Europe futures and options May 14, 2016 May 15, 2016

      CME Group offers several customer mock trading sessions with full Drop Copy 4.0 to ensure customers have opportunities to connect directly to their new MSGW sessions and trade in the CME Globex production environment prior to the Phase 2 launch. Customers are required to register in advance and join the conference bridge line on Saturday in order to participate in the Phase 2 mock trading session. For more information about the Mock Trading Sessions, please view the mock trading session script.

      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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      New Functionality

      New Cross Process on CME Globex

      Effective this 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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      Update - Enhanced UDS Strip Functionality

      Denotes update to the article

      Effective Sunday, May 15 (trade date Monday, May 16), 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).

      With this launch, the following strategy types will be replaced for all NYMEX Energy and Dairy options impacted by this change:

      • Strategy Strip (tag 762=SR) will be replaced by SA
      • Straddle Strips (tag 762=SS) will be replaced by GD

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) orders for the impacted spreads after their close this Friday, May 6. After 16:00 CT this Friday, May 6, all remaining GTC orders for these spreads will be cancelled by the CME Global Command Center (GCC).

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

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

       

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      Product Launches

      Listing Henry Hub Natural Gas Butterfly Spreads

      Effective this 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 are currently available for customer testing in New Release.

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

       

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      Product Changes

      Implied Options Functionality

      Effective this Sunday, April 10 (trade date Monday, April 11), 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
      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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      Group Code Changes for Energy Options

      Effective this 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 this Friday, April 8. After 16:00 CT this 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 this 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 this 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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      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 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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      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

      Messaging Efficiency Program Q2 2016 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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