Topics in this issue include:

• Entity Reference Data for Trading Sub-Accounts - This Week
• Support for Inter-exchange Spread Blocks and EFRPs - This Week
• Aggressor Indicator Changes on CME ClearPort Trade Messages - September 30 ^New
• Price Precision Extension - 2018

Entity Reference Data for Trading Sub-Accounts

Effective this Sunday, September 9 (trade date Monday, September 10), entity reference data for all customer clearing and trading sub-accounts will be available for retrieval by Broker and Trader users.

With the addition of trading sub-accounts, the  Related Party Detail Group (ReltdPtyDetl) will represent the Delegated Intermediary role and relationship:

 Sample:

<ReltdPtyDetl ID="DELEGATED_INT_123" Src="C" R="29">

      <Rltnshp Rltnshp="33"/>

</ReltdPtyDetl>

The roll-out of trading sub-accounts to entity reference data will impact:

• PtyDetlListRpt - returns list of all accounts
• PtyEntlmntRpt - returns list of all accounts permitted to trade a particular product
• PtyEntlmntRpt - returns list of all tradeable products for a particular account

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

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Support for Inter-exchange Spread Blocks and EFRPs

Effective this Sunday, September 9 (trade date Monday, September 10), pending all relevant CFTC regulatory review periods, CME ClearPort API will support submission of block and EFRP trades on inter-exchange spreads between Designated Contract Markets (DCMs). This will include support for the STIR products, including CME Eurodollar futures, CBOT 30 Day Federal Funds futures, and One-Month and Three-Month SOFR futures.

The sum of the leg quantities of the spread must meet the largest applicable block minimum quantity, as described in the Block MRAN.

The following applies to these spreads:

• Inter-exchange spreads must be submitted as one multi-leg single-side or dual-side message
• Multiple allocations will be supported
• For trade entry:
  • For trade entry, price and quantities (no predefined ratios) are defined at the leg level.
    • Please Note:  Strategy price will not be supported for these spreads.
  • Spreads will not be pre-listed, and must be constructed from Outrights.
  • Market Types must be multi-leg permissible.
    • Please Note: OTC FX, IRS, and metal commodities are not permissible.
  • Inter-exchange spreads will include CME, CBOT, NYMEX and COMEX markets.

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

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New - Aggressor Indicator Changes on CME ClearPort Trade Messages

Effective Sunday, September 30 (trade date Monday, October 1), the Aggressor Indicator (TrdCaptRpt/RptSide/@AgrsrInd) will only be sent on CME ClearPort messages and subsequent allocation groups and allocation messages when the Aggressor is specified on the original trade submission via CME Direct or CME ClearPort. Currently, all CME ClearPort messages include the Aggressor Indicator, regardless if the indicator was specified.

If the indicator is present on the original trade message, it will also be present on any subsequent allocation messaging.

As a reminder, the Aggressor Indicator is a Fee Criteria and will determine give-up grouping and APS/NVAP allocation splitting.

Please see the CME Clearing House Notice for more information.

This enhancement will be available in the New Release for customer testing Thursday, September 20.

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Price Precision Extension

CME Group is implementing end-to-end technology changes to support increased price granularity. Currently, CME Group systems support a maximum of 7 decimals. With this initiative, products with up to 9 decimals may be listed and traded. Effective Sunday, January 13, 2019 (trade date Monday, January 14), pending regulatory approval, the 2 Year Treasury Note futures and spreads will move from 7 decimals to 8 to support trading at 1/8 of 1/32.

Customers are encouraged to move to support 9 decimals now; but there are no plans to list a product that uses the 9th decimal at this time.

The attributes listed below will be impacted.

For more on impacted products and CME Globex, iLink messaging, Drop Copy and Market Data impacts, view the CME Globex Client Impact Assessment.

Trade Capture Reports and Acknowledgements

Price will be impacted at the Trade Capture Report and Trade Instrument Leg Group levels.

Reference Data

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

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