CME Globex Notices: February 6, 2023

For the latest roadmap of CME Group technology initiatives:
See the Development Launch Schedule.

Critical Updates

Update to Request for Quote Functionality (RFQ) - This Week

On this Sunday, February 12 (trade date Monday, February 13), CME Globex updated the RFQ tag formats for MDP3.0 tag 131-QuoteReqID, and iLink 2 and iLink 3 tag 9770-ExchangeQuoteRefId, to contain only numeric string values. The data types for these tags did not change. This notice is informational only. Clients should not parse these tags for reference information.

New Release and Production release dates are outlined below.

Market Segment ID	Description	MDP Channel(s)	New Release Launch	Production Launch
74	CME Crypto Futures and Options; Event Contracts	310 - ES Synthetic Future	Available	Sunday, February 12
		318 - E-mini Nasdaq and E-mini Russel Synthetic Future
		320- Euro/USD Synthetic Future
		329 - Event Contracts
		342 - E-mini DJIA Synthetic Future
		360 - COMEX Synthetic Futures
		382 - NYMEX Synthetic Futures
		326- CME Crypto Futures
		327 - CME Crypto Options
64	CME Equity Futures - E-mini S&P	310 - CME Globex Equity Futures (ES)	Available	Sunday, February 12
78	NYMEX Emissions and Non-Crude Energy Futures	380 - NYMEX Globex Emissions Futures	Available	Sunday, February 12
		386 - NYMEX Globex Nat Gas & other Non-Crude Energy Futures
80	DME Futures; NYMEX Crude and Crude Refined Energy Futures	440 - DME Globex Futures	Available	Sunday, February 12
		382 - NYMEX Globex Crude & Crude Refined Futures
82	CME and CBOT Interest Rate Futures	312 - CME Globex Interest Rate Futures	Available	Sunday, February 12
		348 - CBOT Interest Rate Futures II
84	CBOT Interest Rate Futures	344 - CBOT Globex Interest Rate Futures	Available	Sunday, February 12
70	CME, CBOT and MGEX Commodity Futures	316 - CME Globex Commodity Futures	Available	Sunday, February 12
		340 - CBOT Globex Commodity Futures
		460 - MGEX Globex Futures
60	CME, CBOT and MGEX Commodity Options Bursa Malaysia Futures and Options	431 - BMD Globex Options	Available	Sunday, February 12
		317 - CME Globex Commodity Options
		341 - CBOT Globex Commodity Options
		430 - BMD Globex Futures
		461 - MGEX Globex Options

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iLink 3 Cancel On Behalf Functionality - This Week

Starting this Sunday, February 12 (trade date Monday, February 13), CME Group will launch a new Cancel On Behalf functionality that allows iLink 3 sessions to cancel orders and quotes from different iLink 3 sessions under the same CME Globex Firm ID (GFID). This functionality will be enabled for all CME Group futures and options on futures on CME Globex. It is only available on iLink 3 sessions using the schema version 8. Cancel On Behalf is not allowed on iLink2 orders and quotes.

In addition to the new Cancel On Behalf functionality, CME Group will allow client systems to block future mass quotes submissions from a different iLink 3 session under the same GFID via Quote Cancel (tag 35-MsgType=Z) message using a new tag 9182-QuoteEntryOpen = 0.  The original session will have the ability to remove this block by submitting a Mass Quote (tag 35-MsgType=i) message with tag 9182-QuoteEntryOpen = 1.

Please review the Client Impact Assessment for full technical details and launch schedule.

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

Certification in AutoCert+ is required to utilize the new Cancel On Behalf functionality. The new AutoCert+ test suite is currently available for customer certification.

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CME Settlements and Valuations SBE Schema and Final Settlement Update - April 2

Effective Sunday, April 2 (trade date Monday, April 3), CME Group will launch a new Simple Binary Encoding (SBE) schema on all CME Settlements and Valuations channels. Additionally, the new SBE incremental schema will be sent on Google Cloud: 

• CME Settlements and Valuations - SBE UDP Multicast
• Settlements and Valuations - GCP SBE  

Additionally, CME Settlements and Valuations will begin sending “final final” settlements with this update. The “final final” Settlement is the settlement sent after expiration of trade. 

Please review the Client Impact Assessment for full technical details and launch schedule.

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NewNew - Enhancements to Public Settlement “stl” Files on CME FTP - April 16

Effective Sunday, April 16, CME Group will provide new, enhanced Public Settlement "stl" files on the CME FTP site. The legacy file formats will be decommissioned by Friday, April 14. 

Please review the Clearing Advisory for full technical details and decommission of legacy file schedule. 

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Product Launches

Listing Additional Micro E-mini Equity Options - This Week

Effective this Sunday, February 12 (trade date Monday, February 13), pending completion of all regulatory review periods, additional Micro E-mini Equity options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Listing additional Micro E-mini Equity Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Monday Weekly Options on Micro E-mini S&P 500 Index Futures - Week 1-5 (European-Style)	X1A, X2A, X3A, X4A, X5A	Outrights: EO, Strategies: EN	323
Tuesday Weekly Options on Micro E-mini S&P 500 Index Futures - Week 1-5 (European-Style)	X1B, X2B, X3B, X4B, X5B	Outrights: EO, Strategies: EN	323
Wednesday Weekly Options on Micro E-mini S&P 500 Index Futures - Week 1-5 (European-Style)	X1C, X2C, X3C, X4C, X5C	Outrights: EO, Strategies: EN	323
Thursday Weekly Options on Micro E-mini S&P 500 Index Futures - Week 1-5 (European-Style)	X1D, X2D, X3D, X4D, X5D	Outrights: EO, Strategies: EN	323
Monday Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)	D1A, D2A, D3A, D4A, D5A	Outrights: NE, Strategies: NF	319
Tuesday Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)	D1B, D2B, D3B, D4B, D5B	Outrights: NE, Strategies: NF	319
Wednesday Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)	D1C, D2C, D3C, D4C, D5C	Outrights: NE, Strategies: NF	319
Thursday Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)	D1D, D2D, D3D, D4D, D5D	Outrights: NE, Strategies: NF	319

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 - Listing LNG Japan/Korea Marker (Platts) Futures Spreads - This Week

† Denotes update to the article

Effective this Sunday, February 12 (trade date Monday, February 13), the following LNG Japan/Korea Marker (Platts) futures spreads for the current year and the next two calendar years will be available for trading on CME Globex.

Listing LNG Japan/Korea Marker (Platts) Futures Spreads
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 762- SecuritySubType
LNG Japan/Korea Marker (Platts) Futures/LNG North West Europe Marker (Platts) Futures	†JKM	GU	†XS (Intercommodity Spread)

These spreads 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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E-mini Russell 2000 Tuesday and Thursday Options - February 26

Effective Sunday, February 26 (trade date Monday, February 27), pending completion of all regulatory review periods, E-mini Russell 2000 Tuesday and Thursday options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

E-mini Russell 2000 Tuesday and Thursday 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
Tuesday Weekly Options on E-mini Russell 2000 Index Futures - Week 1-5 (European-Style)	R1U-R5U	R4	R5	319
Thursday Weekly Options on E-mini Russell 2000 Index Futures - Week 1-5 (European-Style)	R1D-R5D	R4	R5	319

These options will be available for customer testing in New Release on Monday, February 13.

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

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Listing 30-Year Uniform Mortgage-Backed Security (UMBS) To-Be-Announced (TBA) Futures – 6.5% Coupon - February 26

Effective Sunday, February 26 (trade date Monday, February 27), pending completion of all regulatory review periods,  the 30-Year Uniform Mortgage-Backed Securities (UMBS) To-Be-Announced (TBA) futures - 6.5% Coupon will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Listing 30-Year Uniform Mortgage-Backed Security (UMBS) To-Be-Announced (TBA) Futures – 6.5% Coupon
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
30-Year Uniform Mortgage-Backed Securities (UMBS) To-Be-Announced (TBA) Futures - 6.5% Coupon	65U	BM	344

This contract will be available for customer testing in New Release on Monday, February 13.

This contract is listed with, and subject to, the rules and regulations of CBOT.

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Product Changes

Migration of Open Interest and Delisting of E-mini S&P 500 Quarterly PM Options - This Week

Effective close of business this Friday, February 10, and pending all relevant CFTC regulatory review periods, a rule amendment will be introduced to facilitate the conversion of unexpired open positions in the E-mini S&P 500 Quarterly PM options (EYC) into E-mini S&P 500 Weekly options - Week 3 (tag 6937=EW3) with the same strike, expiration date and time. Following completion of the conversion process on February 12, 2023, there will be zero (0) open interest in the E-mini S&P 500 Quarterly PM options and it will be immediately delisted.

To support this change, effective this Sunday, February 12 (trade date Monday, February 13), the listing cycle of E-mini S&P 500 Week 3 Friday options will be extended to 13 consecutive weekly contracts (including quarterly months).

Please note: To facilitate this change, customers will be asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for E-mini S&P 500 Quarterly PM options contracts, by the close on Friday, February 10. After 16:00 CT on Friday, February 10, any remaining GT orders on these markets will be removed by the CME Global Command Center (GCC).

Migration of Open Interest and Delisting of E-mini S&P 500 Quarterly PM Options
PRODUCT	MDP 3.0: TAG 6937-ASSET	ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP	Current Listing Schedule	Expanded Listing Schedule
E-mini S&P 500 Weekly Options - Week 3	EW3	EW	9 non-consecutive weekly contracts (excluding quarterly months)	13 consecutive weekly contracts (including quarterly months)

Please see the Special Executive Report and the Clearing House Advisory for additional information.

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

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Listing Cycle Expansion for Brent Crack Spread Futures - This Week

Effective this Sunday, February 12 (trade date Monday, February 13), the listing cycle for the following Brent Crack Spread futures will be expanded on CME Globex.

Listing Cycle Expansion for Brent Crack Spread Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Schedule	New Listing Schedule
NY Harbor ULSD Brent Crack Spread Futures	HOB	RF	Monthly contracts listed for 36 consecutive months.	Monthly contracts listed for the current year and the next 3 calendar years. List monthly contracts for a new calendar year following the termination of trading in the December contract of the current year.
RBOB Gasoline Brent Crack Spread Futures	RBB	PT	Monthly contracts listed for 36 consecutive months.	Monthly contracts listed for the current year and the next 3 calendar years. List monthly contracts for a new calendar year following the termination of trading in the December contract of the current year.

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 Micro E-mini S&P 500 and Nasdaq-100 Weekly Options - This Week

Effective this Sunday, February 12 (trade date Monday, February 13), the listing cycle for the following Micro E-mini options will be expanded on CME Globex.

Listing Cycle Expansion for Micro E-mini S&P 500 and Nasdaq-100 Weekly Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Schedule	New Listing Schedule
Weekly Options on Micro E-mini S&P 500 Stock Price Index Futures - Week 3	EX3	EO	Weekly contracts (EX1, EX2, EX4) listed for 3 weeks and 2 weeks of EX3; do not list EX3 March Quarterly contract months	Weekly contracts (EX1, EX2, EX4) listed for 3 weeks and 6 weeks of EX3, inclusive of March Quarterly expiries
Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 3	MQ3	NE	3 weekly contracts of Week 1, Week 2 and Week 4. 2 weekly contracts of Week 3; Week 3 contracts will not be listed on March Quarterly contract months	Weekly contracts (MQ1, MQ2, MQ4) listed for 3 weeks and 3 weeks of MQ3; MQ3 contracts will not be listed on March Quarterly contract months

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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Delisting and Removal of E-mini S&P 500 Quarterly PM Options - February 13

On Monday, February 13, the E-mini S&P 500 Quarterly PM options will be delisted, and effective close of business Friday, February 10, these options will be removed from CME Globex.

Delisting and Removal of E-mini S&P 500 Quarterly PM Options
PRODUCT	MDP 3.0: TAG 6937-ASSET	ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP
E-mini S&P 500 Quarterly PM Options	EYC	CM

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NewNew - Listing Cycle Expansion for WTI Futures - February 26

Effective Sunday, February 26 (trade date Monday, February 27), the listing cycle for the following futures will be expanded on CME Globex.

Listing Cycle Expansion for WTI Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Schedule	New Listing Schedule
WTI Houston (Argus) vs. WTI Trade Month Futures	HTT	CC	Monthly expiries for the current year plus 3 years	Monthly expiries for the current year plus 7 years
WTI Midland (Argus) vs. WTI Trade Month Futures	WTT	CC	Monthly expiries for the current year plus 3 years	Monthly expiries for the current year plus 7 years

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

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

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Listing Cycle Amendment for BTIC on EUR/USD Futures - February 26

Effective Sunday, February 26 (trade date Monday, February 27), the listing cycle for the following BTIC on EUR/USD futures will be amended on CME Globex.

Listing Cycle Amendment for BTIC on EUR/USD Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Schedule	New Listing Schedule
BTIC on EUR/USD futures	6EB	6D	BTIC available for next quarterly futures contract following final expiry of BTIC on nearby futures contract	BTIC available for next quarterly futures contract 10 business days prior to the final expiry of BTIC on nearby futures contract

This contract will be available for customer testing in New Release on Monday, February 20.

This contract is listed with, and subject to, the rules and regulations of CME.

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Change to External Alias and Strike Price Listing for certain Nasdaq Options; Resting Order Eliminations  - March 19

Effective Sunday, March 19 (trade date Monday, March 20), strike price listing rule will be changed for the following Nasdaq-100 options on CME Globex and for submission for clearing via CME ClearPort. With this change, the external alias will display the full strike price.

• Example: tag 55-Symbol= NQZ3 P16000, currently the strike price on the external alias truncates a single digit – Example: tag 55-Symbol = NQZ3 P1600

Please note: To facilitate this change, customers will be asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for certain Nasdaq options contracts, by the close on Friday, March 17. After 16:00 CT on Friday, March 17, any remaining GT orders on these markets will be removed by the CME Global Command Center (GCC).

Change to External Alias and Strike Price Listing for Equity Options
PRODUCT	MDP 3.0: TAG 6937-ASSET	ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP	CURRENT STRIKE PRICE LISTING RULE	NEW STRIKE PRICE LISTING RULE
E-mini Nasdaq-100 Options	NQ	QZ	500-point increment: -80% - +30% (when listed) 250-point increment: -40% - +20% (<96 DTE) 100-point increment: -30% - +15% (<66 DTE) 50-point increment: -20% - +10% (<35 DTE) 10-point increment: -10% - +5% (<5 DTE)	500-point increment: -80% - +30% (when listed) 250-point increment: -40% - +20% (<96 DTE) 100-point increment: -30% - +15% (<66 DTE) 50-point increment: -20% - +10% (<35 DTE) 25-point increment: -10% - +5% (<10 DTE) 10-point increment: -10% - +5% (<5 DTE)
E-mini Nasdaq-100 End-of-Month Options	QNE	NW
E-mini Nasdaq-100 Monday Weekly Options - Week 1-5	Q1A-Q5A	NW
Tuesday Weekly Options on E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)	Q1B-Q5B	QZ
E-mini Nasdaq-100 Wednesday Weekly Options - Week 1-5	Q1C-Q5C	NW
Thursday Weekly Options on E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)	Q1D-Q5D	QZ
E-mini Nasdaq-100 Weekly Options - Week 1-4	QN1-QN4	NW
Options on Micro E-mini Nasdaq-100 Index Futures	MNQ	NE
Micro E-mini Nasdaq-100 Index EOM Options	MQE	NE
Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 1-4	MQ1-MQ4	NE
Monday Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)	D1A-D5A	NE
Tuesday Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)	D1B-D5B	NE
Wednesday Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)	D1C-D5C	NE
Thursday Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)	D1D-D5D	NE

For the options strike price value, customers are advised to leverage tag 202-StrikePrice on the MDP 3.0 Security Definition (tag 35-MsgType=d) message.

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

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

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Enable Implied Functionality for CME FX Futures - April 2

Effective Sunday, April 2 (trade date Monday, April 3), pending completion of all regulatory review periods, implied functionality for the following CME FX futures will be enabled for all outright contracts and calendar spread combinations for the first twelve consecutive contract months on CME Globex.

Enable Implied Functionality for CME FX Futures
PRODUCT	MDP 3.0: TAG 6937-ASSET	ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP
British Pound Sterling/U.S. Dollar (GBP/USD) Futures	6B	6B
Canadian Dollar/U.S. Dollar (CAD/USD) Futures	6C	6C
Japanese Yen/U.S. Dollar (JPY/USD) Futures	6J	6J
Australian Dollar/U.S. Dollar (AUD/USD) Futures	6A	6A
Euro/U.S. Dollar (EUR/USD) Futures	6E	6E

Please note: The Non-Reviewable Range of each leg spread will be evaluated as an outright.

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 Matching Eligibility

These changes 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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Events and Announcements

SPAN 2 Approximation Files Available Now - Available Now

As previously announced, the SPAN 2 framework will be rolled out for specific product groupings in a phased multi-year approach after extensive testing, starting with major NYMEX energy futures and options on futures. 

To help clients prepare for this launch, CME Group is offering the following services:

• Tools for replicating SPAN 2 margin requirements through software and API solutions for post-trade processes.
• New SPAN 2 approximation file to help firms estimate SPAN 2 margins in low latency margin calculation scenarios for pre-trade margin approximation processes.

Please contact PostTradeServices@cmegroup.com now to get ready for this critical migration!

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Cessation of Eurodollar CVOL Indices - This Week

Due to the acceleration of transition from Eurodollar futures and options to SOFR, CME Group Benchmark Administration (CBA), will be bringing forward the permanent cessation of the three Eurodollar CVOL indices to this Friday, February 10.

• Eurodollar 90-day CVOL
• Eurodollar 1-year Midcurve 90-day CVOL
• Eurodollar 2-year Midcurve 90-day CVOL

Additional information on this change is available on the CVOL webpage.

Any comments or queries regarding the cessation of the three Eurodollar CVOLs should be sent to benchmark@cmegroup.com.

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Save the Date: CME Group Backup Datacenter Migration and Test - March 4

CME Group is pleased to announce the move and upgrade of our backup datacenter as part of our commitment to the protection of our customers. Last year, we completed the migration of our backup clearing systems, and we are now focused on CME Globex and supporting systems. To help ensure customers can connect to our new backup datacenter, CME Group will hold mock disaster recovery testing on Saturday, March 4, at 9 a.m. Eastern Time (ET).

Please note: Customers do not need to test from Disaster Recovery – please plan to stay in your production environment.

To participate in the disaster recovery exercise, register here.

View the mock script.

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Change to Access Manager Expiration Window Enforcement Time - March 19

Effective Sunday, March 19 (trade date Monday, March 20), to prevent orders during the pre-open period from unauthorized accounts managed in Access Manager, the expiration window enforcement time will be changed to 4 p.m. Central time (CT) from the current 5 p.m. CT.

There are no changes to API messaging or GUI displays with this enhancement.

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

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