• CME Globex Notices: August 14, 2017

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      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20170814B
      • Notice Date
      • 14 August 2017
      • Effective Date
      • 17 August 2017
    • Critical System Updates

      AutoCert+ iLink 2.x Test Suite  - August 21

      Effective Monday, August 21, the following CME Globex iLink related certification test suites will be consolidated into a single test suite named iLink 2.x.

      • iLink
      • iLink MSGW
      • iLink Committed Cross
      • iLink Mass Order Cancel
      • iLink Mass Order Status
      • Mass Quote
      • UDS

      For more information regarding these iLink test suites, please review CME Group Webhelp

      All iLink customers must complete any pending certification test suites by the close on the Friday, August 18, or complete certification using the new iLink 2.x test suite starting Monday, August 21. Please note any pending certification test suites results will not carryover to the new iLink 2.x test suite.

      For 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 with questions regarding logging in or using AutoCert+, technical issues or error messages.

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      NewNew - CME Europe Limited (CMEEL) Update 

      To support the orderly wind down of the CME Europe Limited (CMEEL) the following changes will be implemented:

      Last Trading Date for CME Europe Limited (CMEEL) - August 30

      The last trading date for all remaining Products listed on CME Europe Limited (CMEEL) will be August 30. Members with open positions after that last trading date will be closed out in accordance with CME Clearing Europe Rules and in accordance with the Planned Termination Event as described in CME Clearing Europe Notice 17-24.

      Additional information regarding this change can be found in the CME Europe Ltd Exchange Advisory Notice 17-014.

      CME Europe Market Segment Gateway and MDP Channels Decommission - September 6

      The CME Europe Market Segment Gateway and market data channels will be decommissioned in the New Release and Production environments as follows:

      CME Europe Limited (CMEL) Update
      Tag 1300-Market SegmentID Market Data Channel Description Market Data Channels Production New Release
      86 CME Europe Globex Futures 410 Sunday, September 10 Wednesday, September 6
      86 CME Europe Globex Options 411 Sunday, September 10 Wednesday, September 6
      -- CME Europe Block and PNTs 235 Sunday, September 10 Wednesday, September 6

      The following config.xml files will be updated prior to the open for each environment change:

      Service Directory Location September 10
      MDP 3.0 FTP Site Config.xml
      (Remove Source IPs for channel 410 and 411)
      MSGW SFTP Site MSGW Config.xml
      (Remove Source IPs for market segment 86)
      Drop Copy 4.0 SFTP Site DropCopy Config.xml
      (Remove Source IPs for market segment 86)
      SBE Streamlined FTP Site Config.xml
      (Remove source IPs for channel 235)

      Implied Functionality for CME FX Futures and SD Calendar Spreads - September 24

      Effective Sunday, September 24, 2017 (trade date Monday, September 25), implied functionality will be enabled on the following CME FX futures outrights and all SD calendar spreads (i.e. serial-serial, serial-quarterly, quarterly-quarterly) in the first 12 months.

      Implied Functionality for CME FX Futures and SD Calendar Spreads
      Product MDP 3.0:
      Tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      British Pound 6B 6B
      Canadian Dollar 6C 6C
      Euro FX 6E 6E
      Japanese Yen 6J 6J
      Australian Dollar 6A 6A
      Euro/British Pound RP FB

      Implied functionality utilizes bids and offers in both spreads and their outright contracts to provide the most liquid possible markets with the best possible prices. In internal testing, implied functionality increased incremental feed bandwidth up to 13% on the CME Globex FX Futures MDP 3.0 channels 314 and 320.

      To identify CME FX futures products with implied eligibility, the market data Security Definition message (tag 35-MsgType=d) will contain tag 872-InstAttrbValue bit 19-Implied Matching Eligible =1.

      Implied book updates are disseminated via the market data Incremental message (tag 35- MsgType=X ) with tag 269-MDEntryType=E (implied bid) and F (implied offer).

      Implied functionality for CME FX futures is currently available for customer testing.

      Additional detailed information on the implied functionality is available in the Client Systems Wiki.

      For more information please visit cmegroup.com/fxmonthlies.

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      NewNew - Changes in Timing and Frequency for Publishing VOI Messages - October 29

      Effective Sunday, October 29 (trade date October 30), to provide more timely  information, CME MDP 3.0 will publish preliminary Daily Cleared Volume and Open Interest (VOI) market data messages earlier. With this change, the redundant preliminary VOI messages will no longer be published.

      Changes in Timing and Frequency for Publishing VOI Messages:

      • First round of preliminary VOI messages will be published current calendar day (except Friday), after the trading session ends.
        • Between 6:30 pm – 6:45 pm Central time (CT) Monday – Thursday for COMEX, DME, and NYMEX.
        • Between 8:00 pm – 8:30 pm (CT) Monday – Thursday for CBOT and CME.
        • Friday’s preliminary VOI will be published on Sunday at 3:05 pm.
        • Currently, the first preliminary VOI message is published on the next calendar day (except Friday). Current publication times are available in the Client Systems Wiki.
      • Second round of preliminary VOI messages will be eliminated.
      • Final VOI messages will continue to be published the next calendar day (except Friday’s final VOI will continue to be published on Monday).
        • Between 8:00 am - 8:30 am Monday – Friday for all CME Group exchanges and DME.

      Customers can determine the trading reference date by leveraging tag 5796-TradingReferenceDate in the cleared volume and open interest messages to identify the trading session date.

      Please note: The publication timing and frequency of VOI messages for ITC messages, BMD Exchange and MGEX Exchange are not impacted by this change. MDP 3.0 VOI messages will be published significantly earlier than the ITC VOI messages.

      These changes will be available for customer testing in New Release on Monday, August 28.

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      Information Security Update - December 17

      CME Group is committed to our customers’ information security. To deliver the best security and customer experience, effective Sunday, December 17 (trade date Monday, December 18), the listed CME Group services will support Transport Layer Security (TLS) version 1.2 only, and TLS 1.0 and 1.1 will be disabled. Customers are encouraged to upgrade to TLS 1.2 immediately; please contact your system administrator or network provider today to ensure seamless access.

      This change will be effective in New Release on Tuesday, August 29.

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      New Functionality

      Rounded Intraday Settlement Prices - August 27

      Effective Sunday, August 27 (trade date Thursday, August 31), to provide additional information on intraday settlement prices, CME Group will publish rounded intraday settlements for E-mini S&P 500 futures, in addition to the unrounded prices available today. Rounded intraday settlements are flagged with tag 731=SettlPriceType where bit 2=1 and bit 3=1.

      Market Data Dissemination of Equity Intraday Rounded Settlements Prices
      MDP 3.0 Channel Description MDP 3.0 Channel MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      CME Globex Equity Futures Channel 310 ES ES

      With this change, customers will receive both a rounded and unrounded intraday settlement message. Intraday Settlement Prices are published on the last trading day of the calendar month for E-mini S&P 500 contracts. These prices are sent while the trading session is still active and represent a snapshot valuation of the settlement price at the time that they are published.

      The new prices are currently available for customer testing in New Release. To test tag 731-SettlPriceType (bits 2 and 3) in New Release, 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.

      The MDP 3.0 Market Data Incremental Refresh message including tag 731-SettlPriceType is documented in the Client Systems Wiki.

      Please Note: The rounded intraday settlement prices will also be published via ITC Channel 3.

      ITC Floor Feed testing is not available in New Release. Customers consuming ITC messages can use the following examples for customer testing.

      ITC Feed Market Data Dissemination of Equity Intraday Rounded Settlements Prices
      ITC Channel Description ITC Feed Channel
      CME Open Outcry 3
      Examples of the rounded and unrounded messages published
      on the final day of the month:
      Settlement Message Type
      <SOH>M   FQ S00075081500550 <STX> SP  H18EH182
      0243720+TWS                        S<ETX>
      Futures Intraday Unrounded Settlement
      <SOH>M   FQ S00075241500570 <STX> ES  H18EH182
      0243725+TWS                        S<ETX>
      Futures Intraday Rounded Settlement
      <SOH>M   FQAS00075251500570 <STX> ES  H18EH182
      0243720+TWS                        S<ETX>
      Futures Intraday Unrounded Settlement

      This change does not impact ITC Future Unrounded Settlement for the S&P 500 Futures. 

      The ITC Market Data Message specification for pricing is documented in the Client Systems Wiki.

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      Spread Statistics Change - September 10

      To better align traded volume information across platforms, effective Sunday, September 10 (trade date Monday, September 11), when a spread-of-spreads trades MDP 3.0 will only publish traded volume updates for the top-level spread and the outright legs.

      Today, MDP 3.0 publishes volume updates for the top-level spread, the spread legs and the outright legs. With this change, the spread legs will no longer have a volume update when traded as part of a spread-of-spreads. The following table outlines the new behavior. This change only affects trades for spread-of-spreads. Trades in spreads will continue to function as they do today.

      Current State
      PS Pack Spread – Volume update
      Effective Sunday, September 10
      PS Pack Spread – Volume update
      PK Pack 1 – Volume update PK Pack 1 – No volume update

       Outright leg 1 – Volume update

       Outright leg 1 – Volume update

       Outright leg 2 – Volume update

       Outright leg 2 – Volume update

       Outright leg 3 – Volume update

       Outright leg 3 – Volume update

       Outright leg 4 – Volume update

       Outright leg 4 – Volume update

      PK Pack 2 – Volume update PK Pack 2 – No volume update

       Outright leg 1 – Volume update

       Outright leg 1 – Volume update

       Outright leg 2 – Volume update

       Outright leg 2 – Volume update

       Outright leg 3 – Volume update

       Outright leg 3 – Volume update

       Outright leg 4 – Volume update

       Outright leg 4 – Volume update

      Detailed spread and spread-of-spread information is available in the Client Systems Wiki.

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

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      UpdateUpdate - CME Globex Execution Information Enhancements - September 10

      † Denotes update to the article

      Starting Sunday, September 10 (trade date Monday, September 11), CME Group will introduce the following CME Globex execution information enhancements:

      • Updated STP function - new Common Trade ID automatically traces each individual execution across CME Globex and through clearing
        • iLink tag 37711-MDTradeEntryID
        • MDP 3.0 tag 37711-MDTradeEntryID
        • CME STP and CME STP FIX MDTrdEntrID
      • Real-time trade price adjustments reporting to participating traders and market as a whole via iLink and MDP 3.0 messages
        • Currently, trade price adjustments are only available via Clearing systems
      • Spread trade cancellation reporting for both the spread and legs via iLink and MDP 3.0 messages
        • Currently, CME Globex sends the iLink Execution Report - Trade Cancellation message (tag 35-MsgType=8, tag 39-OrdStatus=H) for legs only
      CME Globex Execution Information Enhancements
      Tag1300-MarketSegmentID Market Segment Launch Schedule
      68 CME Equity futures excluding E-mini S&P Sunday, September 10
      50 CME Eurodollar options Sunday, September 24
      76 NYMEX and COMEX Metals and Alternative Market futures Sunday, September 24
      78 NYMEX Non-Crude Energy futures Sunday, September 24
      54 CME Equity options Sunday, October 22
      56 NYMEX and COMEX options Sunday, October 22
      58 CBOT Treasury options Sunday, October 22
      64 CME E-mini S&P 500 futures Sunday, October 22
      80 NYMEX Crude Energy futures  Sunday, October 22
      84 CBOT Treasury futures Sunday, October 22
      88 CME Globex FX Futures and Options Sunday, October 22
      52 CME FX options Sunday, October 29
      60 CBOT Commodity and Equity options Sunday, October 29
      70 CME Commodity futures Sunday, October 29
      72 CBOT Commodity futures Sunday, October 29
      74 Hosted Partner Exchange markets and NYMEX Emissions futures Sunday, October 29
      82 CME Eurodollar futures Sunday, October 29

      Please review the client impact assessment for information on functionality and messaging impacts and complete rollout schedule.

      These enhancements are now available in New Release for customer testing.

      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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      UpdateUpdate - Self-Match Prevention Enhancements - September 24

      † Denotes update to the article

      Effective Sunday, September 24 (trade date Monday, September 25) CME Group will launch enhancements to CME Globex Self-Match Prevention (SMP). SMP is optional functionality that allows market participants to prevent the matching of orders for accounts with common ownership if both the buy and sell orders contain the same SMP ID and Globex Firm ID.

      With these enhancements, iLink customers will have the ability to configure SMP functionality across multiple Globex Firm IDs within or across clearing firms. Upon this release, orders submitted with unregistered SMP IDs will be rejected. CME Globex will send a Session Level Reject (tag 35-MsgType=8) message including tag 58=<Reject Reason>. All Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders with unregistered SMP IDs must also be updated to use a registered SMP ID by the close on the Friday before launch. Any remaining GT orders with unregistered SMP IDs will be eliminated at Sunday start-up on launch weekend.

      The Firm Administrator Dashboard interface will continue to be used to request new SMP IDs but will be enhanced to allow existing SMP IDs to be modified to support additional Globex Firm IDs.

      Starting Sunday, September 10, customers may register one or more CME Globex Firm IDs to their SMP IDs via the Firm Administrator Dashboard.

      Detailed information, including the launch schedule, is available in the Client Impact Assessment.

      The new SMP enhancements are currently available for customer testing in New Release. Customer certification is not required, but CME Group strongly recommends all system providers test these changes thoroughly in New Release.

      Please note: Clients planning to test the SMP enhancements in New Release must contact their Global Account Manager to receive new SMP IDs, which will be activated after the New Release daily maintenance period (16:00 to 16:45 central time).

      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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      Product Launches

      Bursa Malaysia Derivatives Berhad (BMD) FX Futures - Q3 2017

      Pending regulatory approvals, Bursa Malaysia Derivatives (BMD) will list the following FX futures for trading on CME Globex in late Q3 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 are currently available for customer testing in New Release.

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      NewNew - Gold London Trade At Marker - September 10

      Effective Sunday, September 10 (trade date Monday, September 11), Gold London Trade At Marker First PM will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Gold London Trade At Marker
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Gold London Trade At Marker First PM GCD GM

      This futures will be available for customer testing in New Release on Monday, August 28.

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

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      NewNew - Listing Quarterly Strips on Copper Futures - September 10

      Effective Sunday, September 10 (trade date Monday, September 11), the CME Group will add Copper Futures quarterly strips for 8 consecutive quarters on CME Globex.

      Quarterly Strips on Copper Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Tag 762- SecuritySubType
      Copper Futures HG HG SA

      The strips will be made available for customer testing in New Release on Monday, August 21.

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

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      Product Changes

      Decommission of MexDer Order Routing Offering - August 25

      Effective end of day Friday, August 25, Globex order routing and market data for MexDer products will no longer be available via the CME Globex platform. Existing order routing customers to MexDer markets and customers wishing to pursue market access to MexDer should contact Laura Vazquez at lvazquez@grupobmv.com.mx or +(52 55) 53 42 9840. Customers wishing to pursue market access to CME Group markets should contact Global Account Management in the U.S. at 312-634-8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5505.

      New Release order routing were decommissioned end of day Wednesday, August 16

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      Group Code Change E-mini S&P 500 Options  - August 27

      Effective Sunday, August 27 (trade date Monday, August 28), the E-mini S&P 500 Options group codes will change for the following products:

      Group Code Change S&P 500 Options
      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
      E-mini S&P 500 Options ES EZ EW
      E-mini S&P 500 Wednesday Weekly Options E1C- E5C EK EW
      S&P 500 Wednesday Weekly Options S1C- S5C SW OS

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for User-Defined Spreads (UDS) only for the affected products by the close on the Friday, August 25.  After 16:00 CT on Friday, August 25 any remaining GT orders on UDS will be cancelled by the CME Global Command Center (GCC). GT orders on outright options will not be impacted.

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

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

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      UpdateUpdate - American-Style Mexican Peso Options to European-Style  - August 27

      † Denotes update to the article

      Effective Sunday, August 27 (trade date Monday, August 28), the following Mexican Peso options will be available for trading on CME Globex, trading floor and for submission for clearing on CME ClearPort with new European-style exercise starting with the January 2018 expiry.  All existing expiries through the December 2017 expiry will expire as American-Style.

      As a result, these options starting with the January 2018 expiry and beyond, not including the May 2018 expiry, were suspended from trading and removed from CME Globex on Thursday, August 10. Trading will not be permitted in these options from Thursday, August 10 through August 27. This temporary suspension is required to support the conversion of these options from American-style to European-style exercise. Currently, there is no open interest or resting orders in these expiries.

      The August 2017 through December 2017 and May 2018 expiries will remain active for trading and the product Symbols are not changing.

      Please Note: The Security Definition messages and Referential files will reflect the new European-style exercise starting Tuesday, January 2, 2018.

      American-Style Mexican Peso Options to European-Style
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Options on Mexican Peso/U.S. Dollar (MXN/USD) Futures

       

      6M

       

      MO

       

      Options on Mexican Peso/U.S. Dollar (MXN/USD) Futures - Week 1-5

       

      1M-5M

       

      MO

       

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

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      Listing of Calendar and Strips Spreads for Listing of Calendar and Strips Spreads for European Power Futures  - September 10

      Effective Sunday, September 10 (trade date Monday, September 11), calendar and strip spreads will be listed on CME Globex for the following European Power futures.

      Listing of Calendar and Strips Spreads for Listing of Calendar and Strips Spreads for European Power Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Listing Schedule Tag 762-SecuritySubType
      German Power Baseload Calendar Month Futures

       

      DEB

       

      PW

       

      6 monthly spreads,
      36 quarterly and yearly spreads 
      SP - Calendar Spread

       

      36 quarterly and yearly strips  SA - Strip

       

      German Power Peakload Calendar Month Futures

       

      DEP

       

      PW

       

        6 monthly spreads,
      36 quarterly and yearly spreads 
      SP - Calendar Spread

       

      36 quarterly and yearly strips  SA - Strip

       

      Italian Power Baseload (GME) Calendar Month Futures

       

      ITB

       

      PW

       

      6 monthly spreads,
      36 quarterly and yearly spreads 
      SP - Calendar Spread

       

      36 quarterly and yearly strips  SA - Strip

       

      Italian Power Peakload (GME) Calendar Month Futures

       

      ITP

       

      PW

       

      6 monthly spreads,
      36 quarterly and yearly spreads 
      SP - Calendar Spread

       

      36 quarterly and yearly strips  SA - Strip

       

      The spreads will be made available for customer testing in New Release on Monday, August 21.

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

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      Change to Minimum Price Increment for Micro Coal (API 5) fob Newcastle (Argus/McCloskey) Futures - September 10

      Effective Sunday, September 10 (trade date Monday, September 11), the minimum price increment tag 969-MinPriceIncrement will be reduced for Micro Coal (API 5) fob Newcastle (Argus/McCloskey) futures.

      Micro Coal (API 5) fob Newcastle (Argus/McCloskey) Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current tag 969 - MinPriceIncrement New tag 969 - MinPriceIncrement
      Micro Coal (API 5) fob Newcastle (Argus/McCloskey) Futures M5F CO 5.0000000 1.0000000

      These futures will be available for customer testing in New Release on Monday, August 21.

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

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      NewNew - Listing Cycle Expansion for Alumina FOB Australia (Platts) Futures - September 10

      Effective Sunday, September 10 (trade date Monday, September 11), the listing cycle for Alumina FOB Australia (Platts) Futures will be expanded on CME Globex.

      Alumina FOB Australia (Platts) Futuresr
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Listing Schedule New Listing Schedule
      Alumina FOB Australia (Platts) Futures ALA ST Monthly contracts listed for 12 consecutive months Monthly contracts listed for the current year and next calendar year. List monthly contracts for a new calendar year following the termination of trading in the December contract of the current year.

      This futures will be available for customer testing in New Release on Monday, August 28.

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

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      Events and Announcements

      Legacy FirmSoft Decommission  - September 8

      Effective Friday, September 8, at close of business, CME Group will retire the legacy FirmSoft order management tool. After this date, users will be required to use the new version of FirmSoft for all order search, cancellation and reporting needs. Existing FirmSoft users are strongly encouraged to begin using the new version of FirmSoft as soon as possible.

      The new FirmSoft offers:

      • a new look and feel
      • ability to search and cancel by Market Segment Gateway ID
      • mobile-friendly access from any internet-enabled device

      After Friday, September 8, legacy FirmSoft will be used for administrative purposes only. Authorized FirmSoft administrators will continue to use the legacy FirmSoft tool only to manage entitlements for users.

      For additional information about functionality, please review the FirmSoft Help.

      If you have any questions, please email FirmSoftFeedback@cmegroup.com or contact your Global Account Manager.

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