CME Globex Notices: July 16, 2018

Critical System Updates

Price Precision Extension - 2018

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. On Sunday, January 13, 2019 (trade date Monday, January 14), pending regulatory approval, the 2-Year Treasury Note futures, all 2-Year Treasury Future Spreads (including Calendar Spreads, Tail Spreads and Inter-Commodity Spreads with a 2-Year Treasury Future) along with the futures portion of covered options UDS, 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.

With this release, customer certification will be required for MDP 3.0 and Streamlined SBE.  The new Market Data templates are currently available in New Release and the AutoCert+ test suite is now available for certification.

Starting Sunday, August 12, the price precision extension rollout will begin with MDP 3.0 in production over several weekends.

On Sunday, November 4, a production test instrument for the 2-Year Treasury Note futures will be launched on CME Globex. This new test instrument will give customers the ability to confirm system readiness for the introduction of 8-digit decimal price precision. Upon the launch of this test instrument, clients whose systems are not yet prepared to handle 8 decimal precision must ensure their systems have the ability to ignore market data and iLink/Drop Copy execution reports on this new instrument.

Price Precision Timeline:

 

 

Customer Mock Trading Sessions

To ensure customers can process the market data, CME Group will offer three customer mock trading sessions prior to each schema rollout group and Globex test instrument launch. Select the dates below to view the respective test scripts:

• Saturday, July 28
• Saturday, August 25
• Saturday, October 20

Customers are required to register and join the conference bridge line to participate in the mock trading sessions.

For complete impacts, rollout information and dates, please refer to Key Events and Dates in the Client Impact Assessment.

The Client Impact Assessment includes additional information on the following:

• CME Globex iLink
• CME Globex MDP3 and Mandatory Certification
• Streamlined MDP and Mandatory Certification
• ITC
• CME Globex Drop Copy
• Referential Data
• Production Globex Test Instrument

Please watch the Price Precision Extension Technology Webinar for a technical impact overview.

These changes are currently available in New Release for customer testing. The 2-Year Treasury Note futures are available in New Release with 1/8 of 1/32 tick.

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NewNew - iLink Performance Enhancements - July 29

Beginning Sunday, July 29 (trade date Monday, July 30), CME Group will implement iLink CGW and MSGW performance improvements on the following market segments. In internal testing, these enhancements improved iLink performance up to 10%.

These enhancements will not impact MDP 3.0 performance or market structure dynamics.

iLink Performance Enhancements
Launch Date	Impacted Market Segments
July 29	50

Launch dates for other Market Segments will be announced in future CME Globex Notices.

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New Functionality

Globex MDP3 SBE Schema Update - August 12

Starting Sunday, August 12, in conjunction with the price precision initiative, CME Group will update the schema for all Globex MDP3 SBE market data channels.  Please view the rollout schedule. This release will not support template extension, however the order of the fields will be preserved in the new templates.  Please review an overview of changes. 

The new version 9 schema is currently available New Release for customer testing. 

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Implied Functionality for Options on Futures - August 12

Starting Sunday, August 12 (trade date Monday, August 13), implied functionality will be enabled for eligible options markets on CME Globex.

• Sunday, August 12 – eligible products on Market Segment 56
• Sunday, August 26 – eligible products on all other options Market Segments

Implied options functionality is designed to provide the best possible price discovery by providing liquidity across markets.

Implied eligible instruments are identified in the MDP 3.0 Security Definition (tag 35-MsgType=d), in repeating group tag 871-InstAttribType, tag 872-InstAttribValue=19.

Implied functionality for all eligible options markets is currently enabled in New Release for customer testing.

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Streamlined MDP SBE Schema Update - August 26

Starting Sunday, August 26, in conjunction with the price precision initiative, CME Group will update the schema for streamlined SBE market data channels to support schema version 9 to ensure consistency between market data channels.  Please view the rollout schedule.  This release will not support template extension; however, the order of the fields will be preserved in the new templates. Please review an overview of changes. 

The new version 9 schema is currently available is currently available in New Release for customer testing New Release public FTP. 

Please Note: The schema update timeline for Streamlined Equity Indices and CME CF Cryptocurrency Pricing channels will be announced at a later date.

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Product Launches

Asia LPG and Naphtha Spread Futures  - July 29

Effective Sunday, July 29 (trade date Monday, July 30), the Asia LPG and Naphtha spread futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Asia LPG and Naphtha Spread Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Argus Propane Far East Index vs. Japan C&F Naphtha (Platts) Futures	3NA	ZZ	386
Argus Propane Far East Index vs. Japan C&F Naphtha (Platts) BALMO Futures	3NB	ZZ	386

These futures are 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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Propane OPIS vs Argus Spread Futures  - July 29

Effective Sunday, July 29 (trade date Monday, July 30), the Propane OPIS vs Argus Spread futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Propane OPIS vs Argus Spread Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Mont Belvieu LDH Propane (OPIS) vs. Argus Propane Far East Index Futures	PMF	JR	386
Mont Belvieu Non-LDH Propane (OPIS) vs. Argus Propane Far East Index Futures	PNF	JR	386

These futures are 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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North American Crude Grade Spreads - July 29

Effective Sunday, July 29 (trade date Monday, July 30), the North American Crude Grade spreads will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

North American Crude Grade Spreads
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
WTI Houston (Argus) vs. Dubai (Platts) Trade Month Futures	WHD	CC	382
WTI Houston (Argus) vs. Dubai (Platts) Calendar Month Futures	WDB	CC	382
WTI Houston (Argus) vs. Brent Trade Month Futures	WHB	CC	382
WTI Houston (Argus) vs. Brent Calendar Month Futures	WBR	CC	382
WTI Midland (Argus) vs. Brent Trade Month Futures	WMB	CC	382
WTI Midland (Argus) vs. Brent Calendar Month Futures	WMR	CC	382
WTI Midland (Argus) vs. Dubai (Platts) Trade Month Futures	WMD	CC	382
WTI Midland (Argus) vs. Dubai (Platts) Calendar Month Futures	WTD	CC	382
Mars (Argus) vs. Dubai (Platts) Trade Month Futures	MDR	CC	382
Mars (Argus) vs. Dubai (Platts) Calendar Month Futures	MDM	CC	382
Mars (Argus) vs. Brent Trade Month Futures	MBM	CC	382
Mars (Argus) vs. Brent Calendar Month Futures	MAB	CC	382

These futures are 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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NewNew - BTIC on Bloomberg Commodity Index Futures - August 12

Effective Sunday, August 12 (trade date Monday, August 13), BTIC on Bloomberg Commodity Index futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

BTIC on Bloomberg Commodity Index Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
BTIC on Bloomberg Commodity Index Futures	AWT	B7	346

These BTICs will be available for customer testing in New Release on Monday, July 30.

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

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NewNew - Bursa Malaysia Stock Index Futures - August 26

Effective Sunday, August 26 (trade date Monday, August 27), pending regulatory approvals, Bursa Malaysia Derivatives (BMD) will list the Mini FTSE Bursa Malaysia Mid 70 Index futures for trading on CME Globex.

FM70 Bursa Malaysia Stock Index Future
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Mini FTSE Bursa Malaysia Mid 70 Index futures	BS	FM70

These changes will be available for customer testing in New Release on Monday, July 30.

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Eris Swap Futures on Globex - December 2

Effective Sunday, December 2 (trade date Monday, December 3), pending regulatory approval, CME Group will list Eris Swap Futures on the CBOT designated contract market (DCM) for trading on CME Globex. Eris swap futures Block Trade transactions can also be submitted via CME Direct or CME ClearPort.

The Eris Swap futures will function similarly and trade alongside the MAC Swap Futures, bringing together the two leading interest rate swap futures on a single exchange venue.

Eris  Swap futures will be listed for quarterly IMM starting contracts, with fixed MAC coupons, and underlying tenors of 2, 3, 4, 5, 7, 10, 12, 15, 20, and 30-years.

The Client Impact Assessment includes information on the following:

• Order Entry Considerations
  • Pricing conventions
  • Trading Eligibility
• Market Data Considerations
  • Market Data Channels
  • Product Specifications
    • Eris Swap Futures Security Type
    • Eris Swap Futures Product Code
    • Standard Calendar Spreads (SP)
    • Changing Minimum Price Increment
    • Contract Month Convention
  • Eris Swap Futures Market Data through CME DataMine.
  • Risk Management Services

These futures will be made available in New Release for customer testing on Monday, October 1.

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Product Changes

Change to Maximum Order Quantity and TOP Order Allocation Maximum for Corn and Soybean Futures  - Starting July 29

Starting Sunday, July 29 (for trade date Monday, July 30), through Friday, November 30, based on market participant feedback, CME Group will introduce a pilot program to amend the maximum order quantity and the TOP order allocation maximum for calendar spreads on Corn and Soybean futures.  During the pilot program, these calendar spread markets will be monitored and evaluated to determine if the changes will remain in place or will be adjusted. The program is subject to early termination at the discretion of the Exchange and any changes to the program will be communicated via the Globex notice.

Changeto Maximum Order Quantity and TOP Order Allocation Maximum for Corn Futures and Soybean Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Maximum Order Quantity	New Maximum Order Quantity	Current TOP Order Allocation Maximum	New TOP Order Allocation Maximum
Corn Futures	ZC	ZC	2500	10000	100	1000
Soybean Futures	ZS	ZS	2500	10000	100	1000

The pilot is currently available for customer testing in New Release.

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

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Changes to CME FX Futures and Options Circuit Breaker Rules  - July 29

Effective Sunday, July 29 (for trade date Monday, July 30), pending all relevant CFTC regulatory review periods, the circuit breaker rules for CME FX futures and options will be changed as follows:

• there shall be no price limits in the expiring primary FX futures contract only; and
• any non-expiring contract months of the primary FX futures contract or any contract months of any associated products of the primary FX futures contract shall have price fluctuation limits

For additional information, please refer to Special Executive Report S-8168.

The circuit breaker settings for all CME Globex products are defined in the CME Globex Product Reference.

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.

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Change to Minimum Price Increment for U.S. Midwest #1 Busheling Ferrous Scrap (AMM) Futures: Resting Order Eliminations - July 29

Effective Sunday, July 29 (trade date Monday, July 30), the minimum price increment tag 969-MinPriceIncrement will be changed for the following.

U.S. Midwest #1 Busheling Ferrous Scrap (AMM) 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
To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders after the close on July 27. After 16:00 CT on July 27 all remaining GT orders for this future will be cancelled or deleted by the CME Global Command Center (GCC).
U.S. Midwest #1 Busheling Ferrous Scrap (AMM) Futures	BUS	ST	1	100

This change are 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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Change to Maximum Order Quantity for Calendar Spreads on Certain Treasury Futures - July 29

Effective Sunday, July 29 (trade date Monday, July 30), the maximum order quantity for the following calendar spreads on Treasury futures will be changed as follows:

Change to Maximum Order Quantity for Calendar Spreads on Certain Treasury Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current tag 1140-MaxTradeVol	New tag 1140-MaxTradeVol
2-Year T-Note Futures Calendar Spreads	ZT	ZT	29,999	49,999
5-Year T-Note Futures Calendar Spreads	ZF	ZF	29,999	49,999
10-Year T-Note Futures Calendar Spreads	ZN	ZN	29,999	49,999

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

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

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Change to E-mini S&P 500 BTIC Instrument Daily Settlement Calculation Time - July 29

Effective Sunday, July 29 (trade date Monday, July 30), the settlement calculation time for the E-mini S&P 500 futures BTIC (EST) instruments will change from between 2:59:30 - 3:00:00pm CT to between 2:15:00 - 2:45:00pm CT based on trades published on Globex and will be settled at the Volume Weighted Average Price (VWAP) settlement methodology. For modified trading days, the sampling period shall be the corresponding half-hour period in relation to the cash market close (MOC) order cut-off. For example, if cash market stops at 12:00 noon CT, the corresponding sampling period shall be 11:15:00-11:45:00am CT.

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

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NewNew - Changes to Brent Calendar Spread Options: Resting Order Eliminations - August 12

Effective Sunday, August 12 (trade date Monday, August 13), starting with the October 2018 listings, the Brent Calendar Spread options will use the Brent Last Day Financial futures (fix tag 6937=BZ) as the underlying spread, instead of the Brent Crude Oil (fix tag 6937=BB).  Tag 6937-Asset can be found in the MDP 3.0 Security Definition message.  There is no impact to the value in fix tag Asset- 6937 of the Brent CSOs listed below.

Calendar Spread Options (CSO) are options on the price relationship between the contract months of the spread, rather than on the underlying asset itself.  CSOs on CME Globex operationally require a non-tradable synthetic underlying future. A synthetic underlying future represents the futures spread underlying each CSO. To obtain the information on the underlying future spread, please contact the Global Command Center (GCC) in the U.S. at +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010.

Changes to Brent Calendar Spread Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
To facilitate this change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders after the close on August 10. After 16:00 CT on August 10, all remaining GT orders for these options will be cancelled or deleted by the CME Global Command Center (GCC).
Brent Calendar Spread Option - 1 Month	AA	OT
Brent Calendar Spread Option - 2 Month	AB	OT
Brent Calendar Spread Option - 3 Month	AC	OT
Brent Calendar Spread Option - 6 Month	AM	OT
Brent Calendar Spread Option - 12 Month	AZ	OT

These changes will be available for customer testing in New Release on Monday, July 30.

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

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NewNew - Listing Cycle Expansion for Gold, Silver and Copper TAS Spreads - August 12

Effective Sunday, August 12 (trade date Monday, August 13), the listing cycle for the following Gold, Silver and Copper TAS spreads will be expanded on CME Globex.

Listing Cycle Expansion for Gold, Silver and Copper TAS Spreads
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
Gold TAS	GCT	TG	First 2 Active Month (Feb, Apr, Jun, Aug, Dec)	First 3 Active Months	EC – TAS Calendar Spreads
Silver TAS	SIT	MT	First 2 Active Month (Mar, May, Jul, Sep, Dec)	First 3 Active Months	EC – TAS Calendar Spreads
Copper TAS	HGT	HT	First 2 Active Month (Mar, May, Jul, Sep, Dec)	First 3 Active Months	EC – TAS Calendar Spreads

These changes will be available for customer testing in New Release on Monday, July 30.

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

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Events and Announcements

10Gbps Offering  - October 1

To allow for greater than 1Gbps connectivity for market data distribution, CME Group now offers a 10Gbps fiber interface for CME LNet, EConnect, EConnect Secaucus and Globex Hub customers.  Interested customers can now order the 10Gbps fiber interface from CME Group.  By Monday, October 1, CME Group expects the bandwidth for the full market data feed to exceed 1Gbps and will modify traffic shaping to 2Gbps. For those customers that order the 10Gbps fiber interface, 1Gbps pricing will be in effect until Monday, October 1, when customers will be charged for 10Gbps as reflected in the chart below.

Offering	1Gbps Monthly  Customer Fee	10Gbps Monthly Customer Fee
CME LNet	$8,000	$12,000
CME EConnect	$4,000	$6,000
CME EConnect Secaucus	$4,000	$6,000
CME Globex Hubs	$1,000	$2,000

All CME LNet, EConnect, EConnect Secaucus and Globex Hub customers should review their existing market data subscriptions and determine which option they will use based on their bandwidth needs. 

Options to consider:

• Limit market data subscriptions to 1Gbps of bandwidth
• Choose to have multiple 1Gbps connections (additional monthly fee)
• Upgrade to a 10Gbps interface (new monthly fee)   
• License space in CME Group Colocation Facility          

Key Dates:

• June 1, 2018 –  CME Group began accepting 10Gbps fiber interface orders for CME LNet, EConnect, EConnect Secaucus and Globex Hubs
• October 1, 2018 – CME Group will modify traffic shaping to 2Gbps and the regular fees for the 10Gbps interface offering will go into effect

Additional Resources:

• Bandwidth statistics, by channel: www.cmegroup.com/bandwidthstats

For more information on the 10Gbps offering, please contact your Global Account Manager.

Global Account Management
U.S.: +1 312 634 8700 gam@cmegroup.com
Europe: +44 20 3379 3754 gamemea@cmegroup.com
Asia: +65 6593 5505 gamasia@cmegroup.com

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