CME Globex Notices: July 6, 2015

Topics in this issue include:

• Critical System Updates
  • MexDer Risk Control Gateway Enhancements - August 10 ^New
  • AutoCert+ SMART Click Integration - September 2015
  • MDP 3.0 Migration Schedule
  • Drop Copy 4.0 Implementation - Q3 2015
  • New iLink Architecture - Q4 2015
    • New iLink Failover Process - Q3 2015
  • iLink Session ID Policy and Operational Guidelines
• New Functionality
  • User-Defined Instruments on CME Globex - August 9 ^New
• Product Launches
  • KC HRW Wheat-Corn Intercommodity Spread - July 26
  • CME Globex Test Product Launch - August 9 ^Update
• Product Changes
  • Modified Listing Cycle for Weather Futures - This Week
  • Changes to Non-Reviewable Range and Price Banding for US Dollar/Chilean Peso Futures - This Week
  • Listing Cycle Changes for 17 Low Sulphur Gasoil Related Futures - July 26 ^New
  • Implied Functionality for SRW Wheat-Corn Intercommodity Spread - July 26
  • Monthly-to-Daily Conversion for Power Futures: Part 2 - July 26
  • CME Globex Test Product Launch - August 9 ^Update
• Events and Announcements
  • Messaging Efficiency Program Q3 2015 Benchmarks ^New
  • iLink Session ID Policy and Operational Guidelines
  • CME Globex Test Product Launch - August 9 ^Update
  • Reminder: Order Routing and Front-End Audit Trail Requirements - April 2016

Critical System Updates

New - MexDer Risk Control Gateway Enhancements

Effective Monday, August 10, MexDer (Mercado Mexicano de Derivados) will launch enhancements to the Risk Control Gateway (RCG). With these enhancements, additional risk filters will be made available for north-to-south order routing customers. The RCG allows Clearing Firm Risk Administrators to set credit limits for pre-trade risk management.

The new risk filters are:

• Credit Limit Controls on SWAPS for all classes Long
• Credit Limit Controls on SWAPS for all classes Short
• Position Limit Control Net on SWAPS for Long/Short Margin

Orders that would exceed the credit and position limits are rejected with an Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus=8) message.

The additional risk filters will be available in New Release for customer testing on Monday, July 27.

Please contact MexDer for more information on the RCG.

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AutoCert+ SMART Click Integration

In September 2015, all AutoCert+ access will migrate to SMART Click. The migration has been designed to minimize customer impacts; users will associate their legacy entitlements to their SMART Click ID and connect via a new URL. Complete information on the migration will be published in upcoming CME Globex Notices.

SMART Click is a self-managed, centralized user profile service that authenticates access to CME Group applications and services. Benefits of SMART Click include:

• A single User ID and password to access CME Group services and applications;
• One User ID to access multiple firms;
• User-owned IDs, regardless of changes to employers or firm relationships;
• † Secure access using 2-factor authentication;

Users now also have the option of using SMART Click to access AutoCert+. Some additional steps are required for these users only:

• Associate your legacy entitlements to your SMART Click ID
• Update your local host file with the following IPs:
  • 69.50.112.210 loginnr.chicago.cme.com
  • 69.50.112.210 ttnrap0012d.chicago.cme.com
• Login to AutoCert+ at https://69.50.112.210:8081 only

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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MDP 3.0 Migration Schedule

On Sunday, December 7, 2014, CME Group completed the launch of Market Data Platform (MDP) 3.0, a low latency and direct data access solution designed to improve customers' ability to process and act on real-time price information.

Currently, both FIX/FAST and MDP 3.0 are considered to be "Feeds of Record." In case of market data failures, markets may be halted for either FIX/FAST or MDP 3.0 issues. CME Group will review each event individually to determine the best response.

In September 2015, MDP 3.0 will become the sole "Feed of Record" and markets will be halted for MDP 3.0 issues only. After this date, markets will not be halted for only FIX/FAST issues.

CME Group recommends all customers certify for and migrate to MDP 3.0 by September 2015 as the legacy FIX FAST feed will be eliminated in October 2015.

Please Note: There will be no surcharges assessed to customers due to the extended decommission window.

The schedule for implementation of the MDP 3.0 format for the Order Routing Partner Exchanges, BM&FBOVESPA and MexDer (Mercado Mexicano de Derivados) is as follows:

Please Note: AutoCert+ Certification of the MDP 3.0 and Order Routing Partner Exchange (BVMF and MexDer) Test Suites are mandatory prior to receiving Market Data for each Order Routing Partner Exchange.

TAS Pre-Validation

Currently, order entry will be permitted in TAS (Trade at Settlement) markets as soon as the Pre-Open state message is published, regardless of whether it is received first via the FIX/FAST or MDP 3.0 feeds. As of the MDP 3.0 Feed of Record date, only the publishing of the MDP 3.0 Pre-Open state message will be valid for the start of the TAS market and TAS orders can be entered. The CME Group Market Regulation rules for TAS Transactions can be found here.

Trade Summary Message: Order Detail Level Processing

Enhanced Trade Summary Order Detail Level Processing specifications are now available here. CME Group strongly encourages client systems to support the dissemination of Trade Summary Order Details. Leveraging the Order Detail information provides a more granular view into trade events, access to fill information (for customers that opt to include their iLink order ID in the MDP 3.0 messages), and supports Time and Sales and charting applications.

Additional Information

Customer systems receiving market data via CME Globex must complete mandatory certification via AutoCert+. The functional and message specifications provide detailed information.

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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Drop Copy 4.0 Implementation

In Q3 2015, CME Group will introduce a new Drop Copy implementation to provide further consistency across iLink and Drop Copy. The new Drop Copy 4.0 implementation will have both functional and messaging changes.

The new Drop Copy 4.0 implementation will include:

• Harmonized customer experience between iLink and Drop Copy
• New message format with encapsulated message type.
• New supported FIX tags on Drop Copy messages - inbound and outbound
• Harmonized resend behavior (elimination of Application Resend functionality)
• Sequencing by market segment (see: New iLink Architecture client impact assessment)
• Robust fault tolerance

An updated version of the client impact assessment is now available. The updates include additional details regarding functionality and messaging in the Drop Copy 4.0 Overview section.

The existing implementation of Drop Copy will be phased out on a date to be published in the CME Globex Notices. All customers leveraging the Drop Copy service must be certified for Drop Copy 4.0 by that date.

With the new implementation, the Drop Copy service will have a new session model where customers will have access to two types of target sessions:

• Drop Copy Convenience Gateway (CGW) target session - consumers manage sequence streams from Convenience Gateway iLink source sessions across all market segments.
• Drop Copy Market Segment Gateway target session - consumers manage sequence streams from Market Segment Gateway iLink source sessions per unique market segment; with the possibility of having the same sequence numbers from multiple market segments.

To facilitate migration to the new Drop Copy service, CME Group will support a parallel feed. Traffic from Convenience Gateway source sessions will be available via their current Drop Copy IPs and ports and via the new Drop Copy 4.0 IPs and ports. Certification is required for production access to Drop Copy 4.0. Please coordinate your migration with your CME Group Account Manager.

Upon completion of the Drop Copy 4.0 certification, customers can request Drop Copy CGW and/or Drop Copy MSGW target sessions.

Certification and New Release Drop Copy sessions will be re-issued by your to Global Account Manager upon customer request.

Drop Copy 4.0 is available in New Release for customer testing. A new Drop Copy 4.0 certification suite is available in AutoCert+. Customer systems leveraging the Drop Copy service must complete this mandatory certification.

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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New iLink Architecture

In Q4 2015, CME Group will launch Phase 2 of the new iLink Architecture, which will implement Market Segment Gateways throughout the iLink infrastructure, to provide:

• FIFO ordered message handling per market segment, and
• Elimination of variability associated with multiple sessions across multiple gateways.

All customers are encouraged to review the new iLink Architecture Client Impact Assessment.

The Phase 2 launch will allow customers to access the Market Segment Gateways directly and introduce a new session ID model, messaging and functionality changes. Customers may choose to access CME Globex markets through the MSGWs or the current Convenience Gateways (CGWs), which will continue to be supported and will route through the MSGWs.

Phase 2 will be launched over several weekends. Prior to each launch weekend, CME Group will conduct a mock trading session. MSGWs is available in New Release for customer testing. A new MSGW certification suite will be available in AutoCert+ in Summer 2015. More specific information about the MSGW certification suite and production launch schedules will be published in the CME Globex Notices. Customer systems who want to connect directly to the MSGW must complete this mandatory certification.

Details on the new iLink Architecture roadmap can be found online. For an overview of the new iLink architecture, please review the iLink Architecture webinar.

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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New iLink Failover Process

In Q3 2015, CME Group will introduce a new iLink failover process to improve customers’ ability to recover from a CME Globex component failure. † This new iLink Failover Process change will affect all iLink sessions.

When the Market Segment Gateway (MSGW) fails over from the primary to backup instance, customer iLink messages will be rejected with Session Level Reject (tag 35=3) messages including tag 58=Technical Error - Market Segment: is not available at this time.

† In addition to the new reject message, a new Technical Pause will be introduced to ensure that all messages sent during the MSGW failover are acknowledged by CME Globex. During the MSGW failover, CME Globex will transition all product groups on that market segment into a Technical Pause and then Technical Pre-Open. The MDP Security Status(tag 35-MsgType=f) message is generated with tag 327-HaltReason=6 (Recovery in process) to notify the market of these states. After the market is re-opened, order entry will be allowed.

The new iLink failover process will be available for customer testing in New Release on Tuesday, July 14

Detailed information including these failover behavior changes and customer New Release testing window are now available online.

Further details on the launch schedule and the new iLink failover testing will be published in future CME Globex Notices.

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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 iLink Session ID Policy and Operational Guidelines.

Please refer to the CME Globex Notices for more information about MSGW functionality and when the new policy for iLink session IDs will take effect.

To ease and 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 Functionality

New - User-Defined Instruments on CME Globex

Effective Sunday, August 9 (trade date Monday, August 10), User-Defined Instruments (UDI) functionality will be launched on CME Globex. CME Direct customers will be able to dynamically list outright option strikes. All CME Globex customers will receive market data on the UDI and be able to submit orders via iLink.

For the initial launch, UDIs will be supported for options in the following markets:

These UDIs will be flagged in the FIX/FAST and MDP 3.0 Security Definition messages (tag 35-MsgType=d) with tag 9779-UserDefinedInstrument =Y.

Please Note: There are no template changes required for FIX/FAST or MDP 3.0.

Additional information regarding UDI functionality is available online.

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

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Product Launches

KC HRW Wheat-Corn Intercommodity Spread

Effective Sunday, July 26 (trade date Monday, July 27), the following KC HRW Wheat-Corn Intercommodity Spread will be listed for trading on CME Globex, and implied functionality will be enabled for this product.

This product will be available in New Release for customer testing on Monday, July 13.

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

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Product Changes

Modified Listing Cycle for Weather Futures

On Monday, July 6, the listing cycle for the following weather futures was modified on CME Globex.

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

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Changes to Non-Reviewable Range and Price Banding for US Dollar/Chilean Peso Futures

Effective this Sunday, July 12 (trade date Monday, July 13), the non-reviewable range and price banding will be modified for US Dollar/Chilean Peso futures as follows:

The non-reviewable range and price banding for every CME Globex product are defined in the CME Globex Product Reference.

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

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

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New - Listing Cycle Changes for 17 Low Sulphur Gasoil Futures

Effective Sunday, July 26 (trade date Monday, July 27), the listing cycle will be expanded for seventeen Low Sulphur Gasoil futures listed for trading on CME Globex and clearing submission via CME ClearPort.

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

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Implied Functionality for SRW Wheat-Corn Intercommodity Spread

Effective Sunday, July 26 (trade date Monday, July 13), implied functionality will be enabled for SRW Wheat-Corn Intercommodity spread listed for trading on CME Globex.

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

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

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Monthly-to-Daily Conversion for Power Futures: Part 2

Effective Sunday, July 26 (trade date Monday, July 27), the last trade date (LTD) rules for the following monthly electricity futures will be modified. With this change, positions in the monthly contracts will terminate trading prior to the start of the contract month and positions in the monthly contracts will automatically convert into a strip of corresponding daily contracts. Currently, the last day of trading for these monthly cash-settled contracts is the last business day of the contract month.

A full list of the products is available online.

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

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

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Events and Announcements

New - Messaging Efficiency Program Q3 2015 Benchmarks

The Q3 2015 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available online. With the exception of the temporary Benchmark increase in Product Group 6J (Japanese Yen Futures & Spreads), no changes were made to any of the Q3 2015 Product Group Benchmarks vs. Q2 2015 Product Group Benchmarks.

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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Update - CME Globex Test Product Launch

^{† Denotes update to the article}

Effective † Sunday, August 9 (trade date Monday, August 10), to support the ability to test connectivity and messaging on CME Globex, a new test product will be listed in the production environment.

Please note: For this test contract, CME Group is restricting throughput to 1 message per 30 seconds per iLink session.

The test product will mimic the E-mini S&P MidCap 400 (EMD) futures contract. Only outright futures will be listed. Market data will be disseminated on MDP 3.0 channel 318 and FIX/FAST channel 15.

0MD will offer the following functionality:

• Order routing only:
  • Trades will not be supported
• Pre-open only:
  • Sunday
    • Pre-open at 16:00 Central Time (CT) (Instrument Security Status (35=f) with 326=21))
    • Close at 16:59 CT (Instrument Security Status (35=f) with 326=4))
  • Monday – Thursday
    • Pre-open at 16:45 CT (Instrument Security Status (35=f) with 326=21))
    • Close at 16:59 CT (Instrument Security Status (35=f) with 326=4))
• iLink:
  • Order entry, modifies and cancels
  • Mass Order Status and Mass Cancel
• Order Types and Qualifiers:
  • Day orders
  • Limit
• Market Data Statistics:
  • Indicative Opening (Incremental Refresh (35=X) with 269=4))
  • A fixed, reasonable value will be published in the  Daily Settlement (Incremental Refresh (35=X) with 269=6))
    • Preliminary settlements will not be published
• Messaging Controls will be applicable:
• GC2:
  • 0MD will have a $1 margin rate
• Drop Copy

Please contact your Global Account Manager with any feedback or requests for additional functionality 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.

0MD is currently available in New Release for customer testing. † The new $M value in FIX/FAST and iLink: tag 55-Symbol/MDP 3.0 tag 1151 - Security Group will be available this Monday, July 13.

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Reminder: Order Routing and Front-End Audit Trail Requirements

All firms responsible for Order Routing and Front-End Audit Trail Requirements (Rule 536.B.) of a trading system accessing CME Globex must recertify their audit trail to ensure full compliance with the new audit trail requirements. Firms must be in compliance of the new Order Routing and Front-End Audit Trail Requirements by Friday, April 1, 2016.

Full information on these changes is available in the Market Regulation Advisory.

The new Audit Trail Requirements is available in the Client Systems Wiki.

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