• CME Globex Notices: April 11, 2016

      • To
      • CME Globex and Market Data Customers
      • #
      • 20160411
      • Notice Date
      • 11 April 2016

    • Topics in this issue include:

       

      Critical System Updates

      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 Update - 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 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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      Update - Drop Copy 4.0 Implementation

      † Denotes update to the article

      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.

      † To allow more time for customer migration, CME Group will continue to support legacy Drop Copy for a weekly escalating penalty. Client Systems still leveraging the existing implementation of Drop Copy after Friday May 6, will incur a weekly surcharge of $2000 that will be increased to $5000 after June 1.

      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.

      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

      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 Friday, May 13. After 16:00 CT Friday, May 13, 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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      New - Committed Cross (C-Cross) for Futures and Swaps on CME Globex

      Effective Sunday, June 5 (trade date Monday, June 6), pending regulatory review, Interest Rate and FX futures and swaps contracts will be eligible for the Committed Cross C-Cross on CME Globex, in addition to the currently permitted crossing method in these contracts.

      Currently, the C-Cross is available for FX Interest Rate and Equity Index options on CME Globex.

      The C-Cross functionality will introduce the following features for eligible futures and swaps markets:

      • Allow Request for Cross (tag 35-MsgType=s) orders
      • Automated publication of an RFQ (tag 35-MsgType=R) message to the market upon receipt of the Request for Cross (tag 35-MsgType=s) message
      • Predefined Pre-Cross period
      • Better Price Match (BPM) allocation for eligible products

      A detailed description of the C-Cross functionality for futures and swaps is available in the Client Systems Wiki.

      The C-Cross functionality for futures and swaps will be available in New Release for customer testing on Monday, May 2.

      Certification is mandatory for all customers who intend to leverage the committed cross functionality on Futures and swaps contracts.

       

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      Product Launches

      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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      New - European-Style Week 3 Options on E-mini Dow Jones Industrial Average Index Futures

      Effective Sunday, May 22 (trade date Monday, May 23), the following European-style Week 3 options on E-mini Dow Jones Industrial Average Index ($5 Multiplier) Futures will be listed for trading on CME Globex, open outcry and for submission for clearing via CME ClearPort.

      First contract to be listed as Week 3 will be the Aug 2016 Week 3 contract.

      Please Note: The May 2016 and July 2016 American-style serial options currently listed for trading will not be affected and will expire as regularly scheduled. No new American-style serial option months will be listed upon expiration of these option contracts.

      European-Style Week 3 Options on E-mini Dow Jones Industrial Average Index Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      European E-mini Dow  ($5) Week 3 Options YM3 OL
      American –Style E-mini Dow($5) Serial Options EYM OL

      These changes will be available for customer testing in New Release on Monday, May 9.

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

       

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      New - European-Style Week 3 Options on E-mini NASDAQ 100 Index Futures

      Effective Sunday, May 22 (trade date Monday, May 23), the following Week 3 European-style E-mini NASDAQ-100 options will be listed for trading on CME Globex, open outcry and for submission for clearing via CME ClearPort.

      First contract to be listed as Week3 will be Aug 2016 Week3.

      Please Note: The May 2016 and July 2016 American-style serial options currently listed for trading will not be affected and will expire as regularly scheduled. No new American-style serial option months will be listed upon expiration of these option contracts.

      European-Style Week 3 Options on E-mini NASDAQ 100 Index Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      European Style E-mini NASDAQ 100 Week 3 Options QN3 NW
      American –Style E-mini NASDAQ 100 Serial Options QNE NW

      These changes will be available for customer testing in New Release on Monday, May 9.

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

       

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      New - CBOT Treasury Invoice Swaps Calendar and Switch Spreads on CME Globex

      Effective Sunday, June 5 (for trade date Monday, June 6), pending regulatory review, Calendar Spreads and Tenor Switch spreads will be enabled for trading of Treasury Invoice Spread products on CME Globex and for Block trade submission through CME ClearPort. The newly enabled spreads will better support trading of calendar spreads and tenor switches as single, exchange defined invoice spread instrument combinations.

      Important features introduced by these new contracts are:

      • Calendar Spreads between consecutive quarterly listings of CBOT invoice spreads of the same tenor
      • Tenor Switches between Listed Invoice Spreads of different tenors with the same expiration month.
      • Support for price and quantity ratios for the Switch spreads, as with existing Treasury Intercommodity Spreads markets
      • New strategy types for Invoice Swap calendar and switch spreads
      • New external naming conventions for Invoice Swap Calendar and Switch Spreads

      Technical information is available in the CBOT Treasury Invoice Swaps Calendar and Switch Spreads Client System Impact Assessment.

      These spreads will be available in New Release for customer testing on Monday, May 2.

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

       

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      Product Changes

      Implied Options Functionality

      Effective Sunday, April 24 (trade date Monday, April 25), 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
      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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      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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      New - Expand the Listing Cycle for FX Serial Options

      Effective Sunday, April 24 (trade date Monday, April 25), the listing cycle of the following FX 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 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/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
      NZD/USD American Options 6N 2N
      PLN/USD American Options PLZ P6
      PLN/EUR American Options EPL 8M
      JPY/USD European Options XH QJ
      JPY/USD American Options 6J XH
      EUR/JPY American Options RY 8H

      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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      New - Temporary Suspension of New Contract Listings for Live Cattle Futures and Options

      Effective Sunday, May 1 (trade date Monday, May 2), new contract listings for Live Cattle Futures and Live Cattle Options will be temporarily suspended, beginning with the October 2017 maturity.

      Temporary Suspension of Live Cattle Futures and Options New Contract Listings
      Product iLink: tag 1151-Security Group
      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

      These contracts are listed on, 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.

       

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      Events and Announcements

      New - Financial Services Breakfast Forum

      CME Group, AWS and Cloud Technology Partners (CTP) will co-host a breakfast event on cloud strategies for financial services organizations. CME Group will moderate a forum of experts from AWS, CTP and financial services organizations as they discuss cloud adoption strategies, security and compliance, cloud economics and more.

      When: Monday, April 18, 8:00 a.m. to 9:30 a.m.
      Where: CME Group Headquarters, 20 South Wacker Drive,
      Chicago, Illinois 60606 (view map)

      Register Today

       

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      New - Cancel on Disconnect Enabled

      Effective Sunday, May 1, all newly created sendercomps will be created with Cancel on Disconnect (COD) enabled. If you would like to disable COD, Clearing Firm Administrators must enter the change request via Firm Admin Dashboard (FADB).

      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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      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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