• CME Globex Notices: December 19, 2016

      • To
      • CME Globex and Market Data Participants
      • From
      • Global Account Management
      • #
      • 20161219
      • Notice Date
      • 19 December 2016
    • Topics in this issue include:

       

      Critical System Updates

      Update - Final Theoretical Settlements Decommission on CME Globex

      † Denotes update to the article

      †The decommissioning of final theoretical settlements on CME Globex has been postponed. A new launch date will be announced in future CME Globex notices.

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      Update - Market By Order Market Data

      † Denotes update to the article

      Effective Sunday, January 8 (trade date Monday, January 9), to increase market transparency and customer choice, CME Group will continue the rollout Market by Order (MBO) for CME Globex markets.

      Market Data Platform with MBO will feature:

      • Ability to view individual queue position and size of individual orders at a price while remaining anonymous
      • Existing channels enhanced to provide both MBO and MBP data on a single feed
      • CME Direct support
      • Exchange and asset class roll out model

      The client impact assessment provides functionality and messaging information.

      MBO is now available in New Release for customer testing. Please view the updated MBO rollout schedule for production.

      With the introduction of MBO overall incremental feed bandwidth is expected to increase 30-40%. During peak times the number of incremental feed packets per millisecond may increase up to 40-50%.

      The MBO certification suite is now available in AutoCert+ for customer testing. Customer systems who choose to process MBO via CME Globex must complete this certification.

      At the close of business on †Friday, January 6, Market by Order (MBO) functionality will be disabled in New Release for CME Globex FX Futures and CME Globex FX Options on MDP 3.0 channel 314 and 315 to facilitate customer testing of Triangulation.

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      Indicative Opening Enhancements

      Effective Sunday, January 8 (trade date Monday, January 9), CME Group continues implementing the enhancement to Indicative Opening behavior to increase transparency and provide market participants with Indicative Opening Quantity. With this enhancement, a new MDP3 Indicative Opening Quantity (IOQ) statistic will be sent with the Indicative Opening Price (IOP). The tag will represent the probable aggregated quantity of all orders executed during the opening. The IOQ will include max show and stop order quantity.

      Along with this change, the logic for calculating the book quantity during the pre-open and reserve states will also be updated.

      The client impact assessment provides dates, functionality and messaging information.

      Indicative Opening Enhancements is now available in New Release for customer testing. Please view the Indicative Opening Enhancements Rollout Schedule for production launch dates.

      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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      Trade Summary OrderID Opt-in Update

      Effective Sunday, January 8 (trade date Monday, January 9), to increase transparency and simplify CME Globex functionality, all tag 37-OrderID values will be published in the Market Data Incremental Refresh Trade Summary messages.

      With this release, iLink will no longer support FIX tag 1091-PreTradeAnonymity. CME Globex will not send tag 1091 to client systems, even when submitted on the original message.

      Trade Summary OrderID Opt-in Release Schedule
      Channel Number Channel Name Production Date
      385 NYMEX Globex Metals, Softs, & Alternative Market Options Sunday, January 8, 2017
      361 COMEX Globex Options
      380 NYMEX Globex Emissions Futures
      381 NYMEX Globex Emissions Options
      440 DME Globex Futures
      441 DME Globex Options
      382 NYMEX Globex Crude & Crude Refined Futures Sunday, January 22, 2017
      383 NYMEX Globex Crude & Crude Refined Options
      386 NYMEX Globex Nat Gas & other Non-Crude Energy Futures
      387 NYMEX Globex Nat Gas & other Non-Crude Energy Options
      410 CME Europe Globex Futures
      411 CME Europe Globex Options
      340 CBOT Globex Commodity Futures Sunday, March 26, 2017
      346 CBOT Globex Commodity Futures II
      341 CBOT Globex Commodity Options
      342 CBOT Globex Equity Index Futures
      343 CBOT Globex Equity Index Options
      344 CBOT Globex Interest Rate Futures
      345 CBOT Globex Interest Rate Options
      460 MGEX Globex Futures
      461 MGEX Globex Options
      310 CME Globex Equity Futures
      311 CME Globex Equity Options
      312 CME Globex Interest Rate Futures
      313 CME Globex Interest Rate Options
      318 CME Globex Equity Futures - excludes E-mini S&P 500
      319 CME Globex Equity Options - excludes E-mini S&P 500
      314 CME Globex FX Futures
      315 CME Globex FX Options
      316 CME Globex Commodity Futures
      317 CME Globex Commodity Options
      320 CME Globex FX Futures II
      321 CME Globex FX Options II
      430 BMD Globex Futures
      431 BMD Globex Options
      450 KRX Globex Futures

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      MDP 3.0 Schema

      Starting January 8, 2017 (trade date Monday, January 9), CME Group continues implementing new MDP 3.0 SBE schema files to support the upcoming Market by Order, Triangulation and Consolidated Fills initiatives on CME Globex. For more information regarding these initiatives, please see the CME Group Customer Forum. With the new MDP 3.0 SBE schema release, CME Group expects up to a 10% bandwidth increase per market data channel.

      In order to ease customer development efforts, the new SBE schema files will support appended Template Extension. CME Group recommends that the new Schema file be downloaded and implemented on the production launch date for each channel.

      Schema Channel Launch Schedule
      Channels Production New Release
      340 - CBOT Globex Commodity Futures
      346 - CBOT Globex Commodity Futures II
      341 - CBOT Globex Commodity Options
      460 - MGEX Globex Futures
      461 - MGEX Globex Options
      January 8, 2017 Available
      342 - CBOT Globex Equity Index Futures
      343 - CBOT Globex Equity Index Options
      344 - CBOT Globex Interest Rate Futures
      345 - CBOT Globex Interest Rate Options
      January 22, 2017 Available
      430 - BMD Globex Futures
      431 - BMD Globex Options
      450 - KRX Globex Futures
      Administrative Messages for TCP Replay
      January 22, 2017 Available

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      New - Changes for Implied Bursa Malaysia Derivative Berhad (BMD) Futures Functionality

      Effective Sunday, January 8 (trade date Monday, January 9), second-generation implied functionality will be removed from all Bursa Malaysia Derivatives Berhad (BMD) futures markets. First-generation implied functionality will still be supported.  Information on second-generation implied functionality is detailed in the Client Systems Wiki.

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

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      Update - Streamlined SBE Market Data Protocol

      † Denotes update to the article

      Effective Sunday, January 22, CME Group will continue implementing Streamlined Simple Binary Encoding (SBE) market data protocol. Streamlined SBE will replace the existing streamlined FIX/FAST market data protocol to align the market data protocol with MDP 3.0 encoding format.

      Please refer to the table for the implementation schedule and client impact assessments.

      Streamlined SBE Market Data Protocol
      SBE Feed Production New Release Client Impact Assessment Availability
      Blocks Available Available Blocks Streamlined Conversion to SBE
      Equity Indices - S&P & Dow Jones Available Available Equity Indices Streamlined Conversion to SBE
      Eris Available Available Eris Exchange Streamlined Conversion to SBE
      OTC-EOD Available Available OTC-EOD Streamlined Conversion to SBE
      Equity Indices - Bloomberg January 22 Available Equity Indices Streamlined Conversion to SBE

      A new SBE config.xml file for production is now available for customer download from CME Group FTP site.

      The new Streamlined SBE schema is currently available in New Release.

      Customer systems receiving market data via Streamlined SBE must complete a mandatory certification suite for each market type.

      Streamlined FIX/FAST and ITC 2 Blocks Decommission

      The following streamlined FIX/FAST and ITC 2 Blocks feeds will be decommissioned in the New Release and Production environments as follows:

      Streamlined FIX/FAST and ITC 2 Blocks Decommission
      SBE Feed Production New Release
      FIX/FAST Equity Indices – Bloomberg, S&P & Dow Jones January 20 January 20
      FIX/FAST and ITC2 Blocks CME/CBOT/CME Europe †February 10 †February 10
      FIX/FAST OTC-EOD †February 10 †February 10
      FIX/FAST and ITC2 Blocks NYMEX/COMEX/DME March 31 March 31
      FIX/FAST Eris Exchange April 21 April 21

      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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      Update - New Market Segment for FX Futures and Options

      † Denotes update to the article

      Starting Sunday, January 22, CME Group will launch a new market segment for some CME FX futures and options markets to support the upcoming Triangulation initiative. For more information, please visit the CME Group Customer Forum page.

      The market segment for FX futures and options markets will be changed as follows:

      Market Segment Changes for FX Futures and Options
      Product MDP 3.0 Channel Current Tag 1300-
      †MarketSegmentID
      New Tag 1300-
      †MarketSegmentID
      Production Launch New Release Launch
      CME Globex FX Options 315 52 88 January 22 Available
      CME Globex FX Futures 314 62 88 February 5 Available

      There will be no changes to MDP 3.0 functionality or messaging format associated with these market segment changes.

      Please note: There are no market segment changes for CME Globex FX Futures II and CME Globex FX Options II on MDP 3.0 channel 320 and 321, respectively.

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for all User-Defined Spreads (UDS) on Market Segment ID 52 by the close on Friday, January 20. Any remaining GT orders on UDS will be cancelled by the CME Global Command Center (GCC). GT orders on CME FX outright options, futures and futures spreads will not be cancelled.

      Drop Copy 4.0 will support this new market segment. As a reminder, customers must manage the relationship between Drop Copy 4.0 sessions and corresponding IP addresses and market segments within their risk management systems.

      To ensure customers can access, trade and process market data for these market segment changes, CME Group will host a mock trading session on Saturday, January 21. All customers who support these market segments are strongly encouraged to participate. †Customers are required to register in advance and join the conference bridge line on Saturday in order to participate in the new FX market segment mock trading session. For more information about the Mock Trading Sessions, please view the mock trading session script.

      Config.xml Files

      The new MDP 3.0, Market Segment Gateway, and Drop Copy 4.0 config.xml files will be available for customer download in the following environments as follows:

      • New Release – Available
      • Production – Sunday, January 8

      †To support the new config.xml files rollout, the CME FTP and SFTP site will be updated as follows:

      †Production
      FTP Site: ftp.cmegroup.com/SBEFix/Production/Configuration/
      SFTP Site: sftpng.cmegroup.com/MSGW/Production/Configuration/
      Configuration CME Globex Platform Directory Location Current State January 8
      Current MDP 3.0 FTP Site config.xml config.xml
      MSGW SFTP Site MSGW config.xml MSGW config.xml
      Drop Copy 4.0 SFTP Site DropCopy config.xml DropCopy config.xml
      New MDP 3.0 FTP Site n/a config_20170107.xml
      MSGW SFTP Site n/a MSGW config_20170107.xml
      Drop Copy 4.0 SFTP Site n/a DropCopy config_20170107.xml

      †The MDP 3.0 config_20170107.xml files will contain new Source IPs for MDP 3.0 channels 314 and 315.  If a firewall or network device is configured with the Source IP information, please correct your configuration to use the entire range of eligible addresses.

      †Starting Sunday, January 22, all new config.xml files will be removed.  The config.xml, MSGW config.xml, DropCopy config.xml files will be updated and only available for customer download. CME Group recommends that the MDP 3.0 config.xml file be downloaded and implemented on the production launch date for each channel.

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      SecurityAltID Update for Eris Exchange

      Effective Monday, March 12, the Eris Exchange SBE Streamlined feed will add tag 455-SecurityAltID support for the Market Data Security Definition (tag 35-MsgType=d) and Market Data Incremental Refresh (tag 35-MsgType=X) trade messages. The Eris Exchange SBE channel will also migrate to SBE schema version 6 to support this change.

      Additional details are outlined in the Eris SBE migration client impact.

      Tag 455-SecurityAltID is currently available in New Release for customer testing.

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      New Functionality

      New Henry Hub Intercommodity Strategy

      Effective Sunday, January 8 (trade date Monday, January 9), Henry Hub Combo HB:IN (MDP3 tag 6937-Asset=HB) for the two nearest expiration months will listed on CME Globex.  This strategy utilizes a new strategy type (tag 762-SecuritySubType=BC) for a Buy-Buy transaction between two commodities of the same maturity.

      Henry Hub Combo HB:IN Strategy
      Product MDP 3.0:
      tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Tag 762- SecuritySubType
      Henry Hub Natural Gas (Platts FERC) Basis Futures (HB) vs Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index Futures (IN) HB FD BC (Buy-Buy Strategy)

      The BC strategy is the simultaneous purchase (sale) of a monthly Henry Hub Natural Gas (Platts FERC) Basis futures (MDP3 tag 6937=HB) and Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index futures (MDP3 tag 6937=IN). Both legs must have the same maturity.

      This strategy is available as a futures Exchange-Defined Spread only.

      The BC strategy has:

      • Two products
        • Front leg monthly Henry Hub Natural Gas (Platts FERC) Basis futures
        • Back leg Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index futures
      • Two legs
      • Quantity/side ratio +1:+1

      Pricing

      • The BC Strategy Trade price is the summation of the outright future legs
      • Leg price assignment:
      • Determine anchor outright futures leg
        • Leg with most recent trade, best bid/best offer, or Indicative Opening Price.
      • Subtract the anchor outright futures leg from the BC Strategy Trade Price and assign remainder to non-anchor outright futures leg.

      Pricing Example
      HB-IN: HB-IN F7 trades at 4

      • HBF7 Leg1 has the most recent trade price at 1 and is designated the anchor
      • INF7 Leg2 = 3 (HB-IN Price – Leg1 Price)

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

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

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      24/7 Bitcoin Market Data

      Effective Sunday, January 8 (trade date Monday, January 9), CME Group and Crypto Facilities (CF) will offer 24/7 market data access to CME CF Bitcoin Reference Rate (BRR) and CME CF Bitcoin Real Time Index (BRTI) via web service technology. This solution will be offered in addition to the existing Streamlined Bitcoin Market Data.

      Additional information for 24/7 Bitcoin market data is available in the Client Systems Wiki.

      24/7 Bitcoin market data is currently available for testing in New Release. Certification is not required.

      Please contact the following support teams for:

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      Settlement Enhancements

      Effective Sunday, February 12 (trade date Monday, February 13), new settlement information will be available on CME MDP 3.0.

      • Tag 731-SettlePriceType (bits 1 and 2) will be fully supported to identify theoretical vs. actual and rounded vs. unrounded settlement prices
        •  Tag 731 is published on the Incremental Refresh, Security Definition and Snapshot Full Refresh messages (35=X, d or W)
      • The Cabinet settlement price will be published in tag 270-MDEntryPx when tag 269-MDEntryType=6 messages for settlements

      These settlement enhancements are currently available for customer testing in New Release.

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      Update - Triangulation Functionality for Australian Dollar

      † Denotes update to the article

      Effective Sunday, February 26, 2017 (trade date Monday, February 27), CME Group will enable Triangulation functionality for Australian Dollar futures and options listed for trading on CME Globex. Additional information on triangulation functionality is available in the Client Systems Wiki.

      With this launch, CME Globex will implement functionality that provides liquidity between volatility-quoted options, premium-quoted options, and the related underlying futures market. The liquidity across these order books is supported by implied functionality and standard option pricing model calculations.

      At the close of business this †Friday, January 6, Market by Order (MBO) functionality will be disabled in New Release for CME Globex FX Futures and CME Globex FX Options on MDP 3.0 channel 314 and 315 to facilitate triangulation customer testing. Triangulation change will be available in New Release for customer testing on †Monday, January 9.

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      New - Globex Risk Management Enhancements: Inline Credit Controls

      In Q1 2017, in addition to existing risk management controls, CME Group will offer optional, more granular pre-trade risk management capability through the In-Line Credit Control (ICC) tool.

      The ICC tool allows Clearing Member Firms and Executing Firms to set daily position limits for CME Globex orders, per product, at the account level through Account Manager.

      The new functionality will feature:

      • Daily quantity position limits applied per product at the account level.
      • Positions reset to flat at the end of the day. Good 'Til Cancel (GTC) and Good 'Til Date (GTD) orders will roll-over to be calculated in the next day’s working orders.
      • No latency differential; all orders are subject to the same ICC processing.
      • Both Clearing Member Firm and Executing Firm Risk Admins can register accounts and set limits.
        • The most restrictive limit applies.
        • Clearing Member Firm and Executing Firm Risk Admins can view each other's account limits.
        • Clearing Member Firms and Executing Firms cannot change the other's limit.
      • Email alerts can be set up when pre-set threshold level breaches occur (for example, at 80%).

      See more on Viewing and Managing Inline Credit Control Limits and Configuring Alerts and Policies for Inline Credit Controls.

      For registered client systems, a new or cancel/replace order that violates specified position limits will be rejected. CME Globex will send a Session Level Reject (tag 35-MsgType=3) message including tag 58=<Reject Reason>.

      Reject Reason Tag 58-Text
      Position Limit Violation Position Limit Violation for Account: <Account>, Position Increase: <position> makes position above the BUY Position Limit: <Limit> by amount: <Amount>. Limit set by CMF for Product Code: <Product Code>
      Position Limit Violation for Account: <Account>, Position Increase: <position> makes position above the BUY Position Limit: <Limit> by amount: <Amount>. Limit set by EF for Product Code: <Product Code>
      Account Policy Violation Pre-Trade Registration Violation: Account: <Account> is not Registered for this Executing Firm
      Product Policy Violation Pre-Trade Registration Violation: Account: <Account> is not Registered to Trade Product Code: <Product Code>
      UDS Covereds Policy Violation Pre-Trade Registration Violation: Account: <Account> is not Registered to Trade UDS Covereds
      Account Deactivation Violation Pre-Trade Registration Violation: Account: <Account> has been Suspended from Trading by the CMF for this Executing Firm

      This new functionality will be available in New Release for customer testing on Wednesday, December 28.

      Please contact your Global Account Manager with any questions on onboarding and testing In-line Credit Controls functionality in New Release 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.

      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 with questions while testing in New Release.

      Please contact the Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010 with any production questions.

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      Product Launches

      Listing Live Cattle Futures and Options for April 2018 Contract

      Effective Monday, January 2 (trade date Tuesday, January 3), the April 2018 contract month for Live Cattle futures and options will be listed on CME Globex and for submission for clearing via CME ClearPort.

      Listing Live Cattle Futures and Options for April 2018 Contract
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Live Cattle Futures LE LE
      Live Cattle Options LE L0

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

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

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      New Synthetic Products - Phase I

      Effective Sunday, January 8 (trade date Monday, January 9), the following new synthetic products will be listed on CME Globex. These products are listed for purpose of CME Group internal testing only.

      These products are not available for order entry and only Security Definition and Security Status (tag 35-MsgType=d, f) market data messages will be published.

      New Synthetic Products
      Product MDP 3.0 tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Market Data Channel Market Segment ID
      Test Corn Future 00C #E 340 70
      Test Corn Option 0OC $2 341 60
      Test E-Mini Dow ($5) 0YM $W 342 66
      Test E-Mini Dow ($5) 0OY #F 343 60
      Test 10-Year U.S. Treasury Note Future 00N $T 344 84
      Test 10-Year U.S. Treasury Note Option 0YN $U 345 58
      Test Soybeans 00S $S 346 72
      Test E-Mini S&P 500 Future 0ES $E 310 64
      Test E-Mini S&P 500 Option 0SO $Q 311 54
      Test Eurodollar Future 0GE $D 312 82
      Test Eurodollar Option 0GG $R 313 50
      Test AUD/USD 0AU $F 314 62
      Test AUD/USD 0AD $1 315 52
      Test Lean Hog Future 0HE $K 316 70
      Test Lean Hog Option 0HO $B 317 52
      Test Nikkei 225 (Yen) 0NK #2 319 54
      Test EUR/USD American Future 06E #C 320 62
      Test EUR/USD American Option 00E #D 321 52

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      Update - London Spot Gold and Silver Futures and Related Intercommodity Spreads

      † Denotes update to the article

      Effective Sunday, January 8 (trade date Monday, January 9), London Spot Gold and Silver will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      London Spot Gold and Silver Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      London Spot Gold Futures GSP GL
      London Spot Silver Futures SSP SL

      With this change, two additional intercommodity spreads between the spot futures and the active month of the corresponding COMEX Gold and Silver futures will be listed.

      Intercommodity Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      iLink: tag 107-SecurityDesc
      MDP 3.0: tag 55-Symbol
      Tag 762-SecuritySubType
      Gold Spot Spread GC GL GCZ6-GSPX601 RT  
      Silver Spot Spread SI SL SIZ6-SSPX601 RT

      †Note: Clearing Firm Risk Administrators are required to positively permission accounts via the Risk Management Tools GUI to enable trading. CME Globex accounts are blocked from entering orders on London Spot Gold and Silver futures and spreads unless explicitly permissioned.

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

      Please see New Product Summary.

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

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      Ethanol T2 FOB Rdam Including Duty (Platts) Average Price Option

      Effective Sunday, January 8 (trade date Monday, January 9), Ethanol T2 FOB Rdam including Duty (Platts) Average Price Option will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Ethanol T2 FOB Rdam Including Duty (Platts) Average Price Option
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group (UDS)
      Ethanol T2 FOB Rdam Including Duty (Platts) Average Price Option Z1O PC EX

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

      Please see New Product Summary.

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

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      New - Power Futures Calendar Spreads and Future Strips

      Effective Sunday, January 22 (trade date Monday, January 23), calendar spreads and strip spread will be listed for the following power futures:

      Power Futures Calendar Spreads and Future Strips
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Tag 762-SecuritySubType Contract Listing
      PJM Western Hub Peak Calendar-Month Real-Time LMP Futures AL1 ZZ SP - Standard Calendar Spread
      FS - FS Strip
      Standard Calendar Spread:
      • All combinations for the first 12 months
      FS Strip:
      • 2 Annual Strips
      • 2 Jan:Feb strips
      • 2 Mar:Apr strips
      • 2 Jul:Aug strips
      • 2 Q4 strips
      • Balance of the year strips for 1st year
      PJM AEP Dayton Hub 5MW Peak Calendar-Month Real-Time LMP Futures AZ9 ZZ
      PJM Northern Illinois Hub 5 MW Peak Calendar-Month Real-Time LMP Futures AB3 ZZ
      MISO Indiana Hub (formerly Cinergy Hub) 5 MW Peak Cal-Month Real-Time Futures AH3 ZZ
      ISO New England Mass Hub 5 MW Peak Calendar-Month Day-Ahead LMP Futures AU6 ZZ

      The spreads will be made available for customer testing in New Release on Monday, January 9.

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

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      New - New Synthetic Products Phase II

      Starting Sunday, January 22 (trade date Monday, January 23), the following new synthetic products will be listed on CME Globex. These products are listed for purpose of CME Group internal testing only.

      These products are not available for order entry and only Security Definition and Security Status (tag 35-MsgType=d, f) market data messages will be published.

      New Synthetic Products Phase II
      Product MDP 3.0 tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Market Data Channel Market Segment ID
      Test Transco Zone 6 Natural Gas (Platts IFERC) Fixed Price 0XW #I 999 74
      Test Nikkei 225 (Yen) 0NI #1 318 68
      Test Eurodollar Option 0GG $R 313 50
      Test Gold 0GC #8 360 76
      Test Gold Option 0OG #B 361 56
      Test In Delivery Month European Union Allowance (EUA) Futures 0UL $O 380 74
      Test In Delivery Month European Union Allowance (EUA) Options 0CA $V 381 74
      Test Brent Last Day Financial Future 0CU #7 382 80
      Test Coal (API 2) CIF ARA (ARG/MC) 0TF $N 386 78
      Test Platinum Future 0CJ $G 384 76
      Test Brent Last Day Financial Option 0SX #9 383 56
      Test Platinum Option 0PO #0 385 56
      Test Coal (API 2) CIF ARA (ARG/MC) 0TO #A 387 56

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      Bursa Malaysia Derivatives Berhad (BMD) Crude Palm Oil Futures Spreads

      In Q1 2017, to improve market efficiency, Bursa Malaysia Derivatives (BMD) will list Crude Palm Oil futures butterfly and condor spreads for trading on CME Globex.

      Bursa Malaysia Derivatives Berhad (BMD) Crude Palm Oil Futures Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Listing Schedule
      (Starting January 2017)
      Tag 762-
      SecuritySubType
      Crude Palm Oil Futures FCPO BC All serial month combinations of
      first 15 contract months
      BF (Butterfly Spread)
      CF (Condor Spread)

      These futures spreads are available for customer testing in New Release.

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      New - Bursa Malaysia Derivatives Berhad (BMD) FX Futures

      Pending regulatory approvals, Bursa Malaysia Derivatives (BMD) is scheduled to list the following FX futures for trading on CME Globex in Q1 2017.

      Bursa Malaysia Derivatives Berhad (BMD) FX Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      BMD Mini CNH/MYR Futures MFCM BR
      BMD Mini USD/MYR Futures MFUM BM

      These futures will be available for customer testing in New Release on Monday, January 9.

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      Product Changes

      Change to Minimum Price Increment for Brent Last Day Financial Futures TAS

      Effective Sunday, January 8 (trade date Monday, January 9), the minimum price increment tag 969-MinPriceIncrement will be changed for the following.

      Change to Minimum Price Increment for Brent Last Day Financial Futures TAS
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      969-MinPrice Increment
      (Current)
      969-MinPrice Increment
      (New)
      Brent Last Day Financial Futures TAS BZT CT 1 0.25

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

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

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      Update - Listing Cycle Expansion for U.S. Midwest Domestic Hot-Rolled Coil Steel (CRU) Index Futures, Calendar Spreads and SA Strips

      † Denotes update to the article

      Effective Sunday, January 8 (trade date Monday, January 9), the listing cycle for U.S. Midwest Domestic Hot-Rolled Coil Steel (CRU) Index futures, calendar and strips will be expanded on CME Globex as follows.

      U.S. Midwest Domestic Hot-Rolled Coil Steel (CRU) Index Futures, †Calendar Spreads and SA Strips
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Listing Schedule New Listing Schedule †Tag 762-
      SecuritySubType
      †Contract Listing
      U.S. Midwest Domestic Hot-Rolled Coil Steel (CRU) Index Futures HRC ST The current year and the next 2 calendar years The current year and the next 3 calendar years †SP - Standard Calendar Spread

      SA - SA Strip
      †Standard Calendar Spread: All combinations for the current year plus the next 3 years

      SA Strip:
      • 3 Annual Strips
      • 10 Quarterly Strips

      Please Note: Monthly contracts for a new calendar year will be added following the termination of trading in the December contract of the current year

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

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

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      European Low Sulphur Gasoil (100mt) Bullet Futures Trade at Settlement Change

      Effective Sunday, January 8 (trade date Monday, January 9), the trading hours for the European Low Sulphur Gasoil (100mt) Bullet Futures Trade at Settlement (TAS) cease daily at 11:30 a.m. Eastern time (ET). Currently, the trading session closes daily at 12:00 p.m. ET.

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

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

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      New - E-mini S&P MidCap 400 Options Change

      Effective Sunday, January 15 (trade date Tuesday, January 17), the external name format in MDP 3.0 tag 55-Symbol and iLink tag 107-SecurityDesc for E-mini S&P MidCap 400 options on futures will be modified to support the full strike price. With this change, the strike price in MDP 3.0 tag 55 and iLink tag 107 will match the price reflected in tag 202-StrikePrice.

      E-mini S&P MidCap 400 Options Change
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current iLink: tag 107-SecurityDesc
      MDP 3.0: tag 55-Symbol
      New iLink: tag 107-SecurityDesc
      MDP 3.0: tag 55-Symbol
      E-mini S&P MidCap 400 Options EMD MC Examples:
      EMDZ6 C9550
      EMDZ6 C1500
      EMDZ6 C2500
      EMDZ6 C2950
      Examples:
      EMDZ6 C0955
      EMDZ6 C1150
      EMDZ6 C1250
      EMDZ6 C1295

      To facilitate this change, 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, January 13. After 16:00 CT on Friday, January 13, all remaining GTC and GTD orders for these options will be cancelled by the CME Group Global Command Center (GCC).

      This change will be available in New Release for customer testing on Tuesday, January 3.

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

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      Events and Announcements

      CME Group Security Ecosystem

      CME Group is committed to our customers’ information security. To deliver the best security and customer experience, as announced in the recent CME Group Customer Forums, all certified customer-facing applications that support human-to-machine authentication to CME Group systems will be required to support strong passwords, encryption of confidential and sensitive data, and two-factor authentication by the end of 2016. These requirements apply to both customer-facing services connected to CME Group and to their services exposed to clients.

      For additional information, please review the Security Ecosystem Frequently Asked Questions.

      Please contact your Global Account Manager or third-party provider with any questions.

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      New - Messaging Efficiency Program Q1 2017 Benchmarks

      The Q1 2017 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available online. No changes were made to Q1 2017 Product Group Benchmarks vs. Q4 2016 Product Group Benchmarks and 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.

      CME Globex firms who exceed the benchmark ratios in applicable product groups and are signed-up accordingly, receive email notifications of any potential surcharges and CME Globex firms who have access to the Firm Administrator Dashboard have the ability to view their messaging statistics on a T+1 basis.

      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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      Reduced Velocity Logic Parameters

      Starting on trade date Friday, December 23, through the close of trading on Friday, December 30, CME Group will reduce the price parameters that trigger Velocity Logic by 50 percent on all CME Group and MGEX products on the CME Globex platform. In addition, CME Group will double the standard monitoring period.

      Please note: CME Europe products will remain at their standard Velocity Logic parameters.

      The Velocity Logic parameters are defined in the CME Globex Product Reference sheet for all CME Globex products.

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