CME Globex Notice: July 30, 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, 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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iLink Convenience Gateways Behavior Harmonization  - November 4

To simplify the iLink session behavior, effective Sunday, November 4 (trade date Monday, November 5), all Convenience Gateway (CGW) iLink sessions will move to MSGW-style Session Connection and Resend Request.  The following CGW features will now match the MSGW current state.

iLink Convenience Gateways Behavior Harmonizations
Functionality	Current Behavior	New Behavior	Certification Required
Duplicate Session Connection Attempts	Accepted, then disconnected	Ignored	No
Resend behavior from CME Globex to Client System	No real-time messages are published until the customer’s resend request is satisfied	Real-time messages will be interleaved with resend responses CGW customers must be able to receive out-of-sequence during a resend response without triggering another resend request	Yes Please Note - A new CGW Resend Request certification test will be available in Autocert+ on Monday, August 20. Certification via AutoCert+ is mandatory for all iLink CGW customers.

These changes will be available in New Release for customer testing on Wednesday, August 15.

CME Group will offer the iLink mock trading session on Saturday, October 20. This mock trading session will  offer customers the opportunity to interact with the system and experience the new iLink CGW behavior harmonization in the CME Globex production environment. An overview to the mock trading session script is now available.

Please note that customers are required to register in advance in order to participate in the iLink mock trading session. 

Drop Copy is not impacted by this change.

If you have any questions or concerns, please contact your Global Account Manager 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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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

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

The BTIC on Bloomberg Commodity Index futures 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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Listing Class III Milk Futures Strips vs. Class IV Milk Futures Strips Inter-Commodity Strip Spreads  - August 19

Effective Sunday, August 19 (trade date Monday, August 20), Class III Milk futures strips vs. Class IV Milk futures Strips Inter-commodity strip Spreads will be listed on CME Globex.

Listing Class III Milk Futures Strips vs. Class IV Milk Futures Strips Inter-Commodity Strip Spreads
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 762- SecuritySubType
Class III Milk Futures Strips vs. Class IV Milk Futures Strips	DC	DC	XS

These spreads will be made available for customer testing in New Release on Monday, August 13.

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

 

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UpdateUpdate - Bursa Malaysia Stock Index Futures - August 26

† Denotes update to the article

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	†FM70	†BS

The Mini FTSE Bursa Malaysia Mid 70 Index futures are currently available for customer testing in New Release.

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New New - European Gasoline Futures  - August 26

Effective Sunday, August 26 (trade date Monday, August 27), European gasoline futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

European Gasoline Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Gasoline Eurobob Non-Oxy NWE Barges (Argus) Futures	GNO	CP	382
Gasoline Eurobob Non-Oxy NWE Barges (Argus) BALMO Futures	GNB	CP	382
Gasoline Eurobob Non-Oxy NWE Barges (Argus) Crack Spread Futures	GNS	CP	382
RBOB Gasoline vs Eurobob Non-Oxy NWE Barges (Argus) (349,860 gallons) Futures	RGF	CP	382
Gasoline Eurobob Non-Oxy NWE Barges (Argus) vs Gasoline Eurobob Oxy NWE Barges (Argus) Futures	GES	CP	382
Singapore Gasoline 92 Unleaded (Platts) vs Gasoline Eurobob Non-Oxy NWE Barges (Argus) Futures	SGF	CP	382

These futures will be available for customer testing in New Release on Monday, August 13.

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

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New New - Micro Refined Fuel Oil Futures  - August 26

Effective Sunday, August 26 (trade date Monday, August 27), Micro Refined Fuel Oil futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Micro Refined Fuel Oil Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Micro European 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures	MEF	RF	382
Micro Singapore Fuel Oil 380CST (Platts) Futures	MAF	RF	382

These futures will be available for customer testing in New Release on Monday, August 13.

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

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New New - LNG Japan/Korea Marker (Platts) Average Price Options  - August 26

Effective Sunday, August 26 (trade date Monday, August 27), LNG Japan/Korea Marker (Platts) Average Price options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

LNG Japan/Korea Marker (Platts) Average Price Options
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)	Market Data Channel
LNG Japan/Korea Marker (Platts) Average Price Options	JKO	EF	EX	387

This option will be available for customer testing in New Release on Monday, August 13.

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

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New New - Fixing Price for Front Month S&P 500 Futures  - August 26

Effective Sunday, August 26 (trade date Monday, August 27), CME Group will begin disseminating the fixing price for the front month S&P 500 futures. The fixing price will be calculated Monday through Friday from 2:59:30 to  3:00 pm Central Time.

Fixing Price for Front Month S&P 500 Futures
Product	MDP 3.0: tag 6937-Asset	MDP 3.0 tag 1151 - Security Group
S&P 500 Futures	SP	SP

Fixing Price data blocks are sent in the MDP 3.0 Market Data Incremental Refresh (tag 35-MsgType=X) with the following attributes:

• Tag 279-MDUpdateAction will be set to 0 = New
• Tag 269-MDEntryType will be set to W = Fixing Price

This change will be available in New Release for customer testing on Monday, August 13.

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

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New New - DME Financial Futures Based on Monthly Average Price of DME Oman and Platts Dubai Crude Oil - August 26

Effective Sunday, August 26 (trade date Monday, August 27), pending regulatory approvals, the Dubai Mercantile Exchange (DME)  will launch the following series of financial futures based on the monthly average Price of DME Oman and Platts Dubai crude oil for trading on CME Globex and for submission for clearing via CME ClearPort.

DME Financial Futures Based on Monthly Average Price of DME Oman and Platts Dubai Crude Oil
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
DME Oman Crude Oil/Platts Dubai Crude Oil Futures	DOP	DE
DME Oman Crude Oil/Platts Dubai Crude Oil BALMO Futures	DOB	DE
Mini DME Oman/Platts Dubai Crude Oil Futures	DMB	DE
Brent Crude Oil vs DME Oman/Platts Dubai Crude Oil Futures	DBR	DE
Brent Crude Oil vs DME Oman/Platts Dubai Crude Oil BALMO Futures	DRB	DE
Singapore Gasoil 0.05% (Platts) vs DME Oman/Platts Dubai Crude Oil Crack Spread Futures	DGH	DE
Singapore Gasoil (Platts) vs DME Oman/Platts Dubai Crude Oil Crack Spread Futures	DSG	DE
Singapore Fuel Oil 180 cst (Platts) vs DME Oman/Platts Dubai Crude Oil (1,000 mt) Crack Spread Futures	DUA	DE

These changes will be available for customer testing in New Release on Monday, August 13.

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

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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

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 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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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 are currently available customer testing in New Release.

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

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New New - Changes to DME Oman Crude Oil Financial Futures  - August 26

Effective Sunday, August 26 (trade date Monday, August 27), subject to regulatory approval, the Dubai Mercantile Exchange Oman Crude Oil Financial futures will be updated as follows:

Changes to DME Oman Crude Oil Financial Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Tag 1231-MinLotSize	New Tag 1231-MinLotSize
DME Oman Crude Oil Financial Futures	ZGD	DE	100	1000

These futures will be available in New Release for customer testing on Monday, August 13.

These contracts are listed with, and subject to, the rules and regulations of the Dubai Mercantile Exchange (DME).

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New New - CME FX Option Changes  - June 9

Effective with the listing of the September 2019 quarterly options, these CME FX options will reflect the following changes:

• Expiration time will be 9:00 am Central Time (CT). Currently, these options expire at 2:00 pm CT.
• Exercise will use the 9:00 am CT fixing price instead of the 2:00 pm fixing price.

These changes will be in effect for all option instruments that expire after Sunday, June 9, 2019. Currently listed instruments, and any instruments that expire before June 9, 2019, will continue to use the 2:00 pm expiration and 2:00 pm fixing price for exercise.

The instrument last trade date and time can be found by leveraging FIX tags 865=7 (Last eligible trade date) and 1145-EventTime in the Security Definition (tag 35-MsgType=d) message.

The Fixing Price data blocks are sent in the MDP 3.0 Market Data Incremental Refresh (tag 35-MsgType=X) with the following attributes:

• Tag 279- MDUpdateAction=0 (New)
• Tag 269-MDEntryType=W (Fixing Price)
• Tag 270-MDEntryPX = Price of the MD Entry (This value will contain the fixing price).
• Tag 5796-Trading Reference will display the date for which the fixing price was calculated.

This change will be available for customer testing in New Release on Monday, August 26.

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

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Events and Announcements

New New - Reminder: Access to the CME Global Command Center

Customers must have an entitled CME Group Login to access GCC support for order status and cancellations. Get your CME Group Login now, and ask your FirmSoft Clearing Firm Administrator to ensure it is permissioned for GCC access.

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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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