CME Globex Notices: March 14, 2016

 

Topics in this issue include:

• Critical System Updates
  • New iLink Architecture Phase 2
  • Drop Copy 4.0 Implementation
  • CME Ciphers and MACs SFTP Changes - April 9
  • AutoCert+ SMART Click Integration - Q2 2016
  • iLink Session ID Policy and Operational Guidelines
• New Functionality
  • New Cross Process on CME Globex - April 10
  • Enhanced UDS Strip Functionality - May 8 ^New
• Product Launches
  • Weather Futures and Options CME ClearPort - This Week
  • Aluminum European Premium Duty-paid (Metal Bulletin) Futures - This Week
  • Mid-Sized Milk Options - April 3
  • CME Bloomberg Dollar Spot Index Futures - April 3 ^New
  • Listing Henry Hub Natural Gas Butterfly Spreads - April 10 ^New
• Product Changes
  • Listing Cycle Expansion for Aluminum Japan Premium (Platts) Futures - This Week
  • Circuit Breaker Changes to Equity Index Futures and Options - This Week ^New
  • Delisting of Dow Jones CME FX$INDEX Futures Contracts - March 28 ^New
  • External Name Changes to Existing NYMEX Inter-Commodity Spreads and Listing of Six Additional Spreads - April 3
  • Implied Options Functionality - April 3 ^Update
  • Group Code Changes for Energy Products - April 17 ^New
• Events and Announcements
  • iLink Session ID Policy and Operational Guidelines
  • Order Routing and Front-End Audit Trail Requirements - April 2016

 

Critical System Updates

New iLink Architecture Phase 2

To ensure customer and systems’ readiness, the previously announced mock trading sessions and launches of all remaining market segments have been postponed. A new launch schedule for the remaining market segments will be announced in the CME Globex Notices as soon as it is available.

The MSGW config.xml file for the Production and New Release environments is available on the CME Group SFTP site. The file contains the list of all market segments and MSGW IP addresses. Refer to MSGW – SFTP Site Information for more information.

A new iLink MSGW certification suite is available in Autocert+. Both iLink and the new iLink MSGW certifications are required for customer systems to connect directly to the MSGW. To successfully certify your application, customers must use the same System Profile for both iLink and iLink MSGW certifications. As a reminder, all customers must certify and migrate to Drop Copy 4.0. Only Drop Copy 4.0 supports MSGW source sessions.

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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Drop Copy 4.0 Implementation

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.

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.

The existing implementation of Drop Copy will be decommissioned on Friday, May 6, 2016. All customers leveraging the Drop Copy service must be certified for Drop Copy 4.0 by that date.

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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CME Ciphers and MACs SFTP Changes

On Saturday, April 9, CME Group will update the supported list of ciphers and MACs to enhance security of customers’ connectivity to CME Group Secure FTP site.

This change will impact connectivity to CME Group Secure FTP site. Following the update, customers must use at least one of the Ciphers and one of the MACs listed below:

Supported Cipher algorithms:

• aes256-ctr
• aes192-ctr
• aes128-ctr
• aes256-cbc
• aes192-cbc
• aes128-cbc

Supported MAC Algorithms:

• hmac-sha2-256
• hmac-sha2-512
• hmac-sha1

Customers can test this enhancement in the Test SFTP site now.

To verify your ability to access the SFTP site:

• Logon to sftpcert.cmegroup.com with your production credentials.
• Send a test file into the Incoming folder or download test file “CME.Cipher.Test.xml” from the Outgoing folder.

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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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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.

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 Functionality

New Cross Process on CME Globex

Effective Sunday, April 10 (trade date Monday, April 11), CME Globex will introduce a new Committed Cross (C-Cross) process for CME FX options and CME and CBOT Interest Rate and Equity Index options.

The new C-Cross process supports the following enhancements to Request for Cross:

• The Request for Quote (tag 35-MsgType=R) is no longer required.
  • CME Globex will continue to automatically publish an RFQ upon receipt of the Request for Cross (tag 35-MsgType=s) message
• Extended Pre-cross state.
• Better Price Match (BPM) guaranteed execution for some markets.

A detailed description of the C-Cross process is available here. More information is also available in the Regulatory Advisory.

The C-Cross process is available in New Release and AutoCert+ for customer testing.

Customer systems already certified for Request for Cross functionality are not required to certify for this enhancement.

 

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New - Enhanced UDS Strip Functionality

Effective Sunday, May 8 (trade date Monday, May 9), 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).

The client impact assessment is now available, which outlines changes introduced in this release.

These changes will be available in New Release for customer testing on Monday, April 4.

 

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Product Launches

Weather Futures and Options CME ClearPort

Effective this Sunday, March 20 (for trade date Monday, March 21), Weather futures and options are available for clearing submission via CME ClearPort.

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

 

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Aluminum European Premium Duty-Paid (Metal Bulletin) Futures

Effective Sunday, March 20 (trade date Monday, March 21), Aluminum European Premium Duty-Paid (Metal Bulletin) futures will be listed for trading on CME Globex and clearing submission via CME ClearPort.

Aluminum European Premium Duty-Paid (Metal Bulletin) Futures
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Aluminium European Premium Duty-Paid (Metal Bulletin) Futures	EDP	ST

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

Please view New Product Summary.

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

 

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Mid-Sized Milk Options

Effective Sunday, April 3 (trade date Monday, April 4), Mid- Sized Milk options will be listed for trading on CME Globex and for submission clearing via CME ClearPort.

Mid-Sized Milk Options
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Mid-Sized Milk Options	JQ	JQ
Mid-Sized Milk Synthetic Futures	JQ	05

With this launch, the ITC code for Mid-Sized Milk options underlying futures will change from  ITC Code: DA to ZX.

An ITC 2.1 ticker test will be held on Friday, March 18 at approximately 6:45 p.m. Central Time (CT) for customer testing.

These products will be available in New Release for customer testing on Monday, March 21.

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

 

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New - CME Bloomberg Dollar Spot Index Futures

Effective Sunday, April 3 (trade date Monday, April 4), CME Bloomberg Dollar Spot Index Futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

CME Bloomberg Dollar Spot Index Futures
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
CME Bloomberg Dollar Spot Index Futures	BDI	DI

This futures will be available in New Release for customer testing on Monday, March 21.

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

 

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New - Listing Henry Hub Natural Gas Butterfly Spreads

Effective Sunday, April 10 (trade date Monday, April 11), the CME Group will add Henry Hub Natural Gas futures butterfly spreads for the first 12 contract months on CME Globex.

A detailed description of the butterfly futures spread is available here.

Listing Henry Hub Natural Gas Butterfly Spreads
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 107-SecurityDesc MDP 3.0: tag 55-Symbol	Tag 762- SecuritySubType
Henry Hub Natural Gas Futures	NG	NG:BF K6-M6-N6 NG:BF M6-N6-Q6 NG:BF N6-Q6-U6 NG:BF Q6-U6-V6 NG:BF U6-V6-X6 NG:BF V6-X6-Z6 NG:BF X6-Z6-F7 NG:BF Z6-F7-G7 NG:BF F7-G7-H7 NG:BF G7-H7-J7	BF (Butterfly Spread)

These spreads will be available in New Release for customer testing Monday, March 28.

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

 

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Product Changes

Listing Cycle Expansion for Aluminum Japan Premium (Platts) Futures

Effective this Sunday, March 20 (for trade date Monday, March 21), the listing cycle for Aluminum Japan Premium (Platts) futures is expanded on CME Globex and clearing submission via CME ClearPort.

Listing Cycle Expansion for Aluminum Japan Premium (Platts) Futures
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Cycle	New Listing Cycle
Aluminum Japan Premium (Platts) Futures	MJP	ST	12 consecutive maturities	24 consecutive maturities

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

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

 

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New - Circuit Breaker Changes to Equity Index Futures and Options

Effective this Sunday, March 20 (trade date Monday, March 21), to align Equity Index futures and options with the primary securities markets’ circuit breakers, the circuit breaker monitoring interval on CME Globex will be reduced:

• to 2 minutes (8:23 a.m. to 8:25 a.m.) Central Time (CT), from the current 10 minutes (8:15 a.m. to 8:25 a.m. CT), preceding the daily opening of trading on US primary listing exchanges
• to 2 minutes from the current 10 minutes for implementation of the price limit methodology

With this change, trading in the options markets will be halted only when the Primary Futures Contract Month is halted. Currently, options trading is also halted when the Primary Futures Contract Month is limit bid or limit offer.

Additional information on these changes is available in the Special Executive Report (SER).

 

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New - Delisting of Dow Jones CME FX$INDEX Futures Contracts

Effective Monday, March 28, the following product will be delisted from CME Globex, open outcry and for submission for clearing through CME ClearPort.

Delisting of Dow Jones CME FX$INDEX Futures Contracts
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Dow Jones CME FX$INDEX™ Futures	DX	FXD

 

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External Name Changes to Existing NYMEX Inter-Commodity Spreads and Listing of Six Additional Spreads

Effective Sunday, April 3 (trade date Monday, April 4), the external instrument naming convention for RB:BZ and HO:BZ Inter-Commodity spreads on CME Globex will be modified as follows:

Current External Name iLink: tag 107-SecurityDesc MDP 3.0: tag 55-Symbol	New External Name iLink: tag 107-SecurityDesc MDP 3.0: tag 55-Symbol
Examples: a) BZ:C1 RB-BZ K6 BZ - Leg 2 Symbol C1 - Strategy Type (Crack) RB = Leg 1 Symbol K6 = Month & year of both legs b) BZ:C1 HO-BZ K6 BZ - Leg 2 Symbol C1 - Strategy Type (Crack) HO = Leg 1 Symbol K6 = Month & year of both legs	Examples: a) BZ:C1 RB K6-BZ M6 BZ - Leg 2 Symbol C1 - Strategy Type (Crack) RB = Leg 1 Symbol RB K6 = Month & Year of Leg1 BZ M6 = Month & Year of Leg2 b) BZ:C1 HO K6-BZ M6 BZ - Leg 2 Symbol C1 - Strategy Type (Crack) HO = Leg 1 Symbol HO K6 = Month & Year of Leg1 BZ M6 = Month & Year of Leg2

With this change, six additional RB:BZ and six HO:BZ Inter-Commodity spreads will be listed on CME Globex.

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

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

 

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Update - Implied Options Functionality

† Denotes update to the article

Starting Sunday, April 3 (trade date Monday, April 4), 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
Crude Oil Options	April 3
Natural Gas Options
Biofuels Options
Refined Options
Agricultural Options	April 24
FX Options	April 24

†Note: Additional FX 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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New - Group Code Changes for Energy Products

Effective Sunday, April 10 (trade date Monday, April 11), ), the tag 1151-Security Group for these energy products will be changed as follows:

Group Code Changes for Energy Products
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	Current iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	New iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	UDS Group
Gasoline Euro-bob Oxy NWE Barges (Argus) Average Price Option	7HO	PR	EP	P2
NY Harbor ULSD Average Price Option	ATX	PR	EP	P2

To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) orders for the impacted User Defined Spreads after their close on Friday, April 8. After 16:00 CT on Friday, April 8, all remaining GTC orders for these options will be cancelled by the CME Global Command Center (GCC).

These changes will be available in New Release for customer testing on Monday, March 28.

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

 

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Events and Announcements

Order Routing and Front-End Audit Trail Requirements

As previously announced in the Market Regulation Advisory Notice RA1509-5, all firms must comply with the new Order Routing and Front-End Audit Trail Requirements (Rule 536.B.) by April 1. All new, and currently certified, iLink order routing applications must certify or recertify their trading systems to ensure full compliance with the new audit trail requirements.

Detailed information on the new specification is available in the Client Systems Wiki.

Important changes to the Order Routing and Front-End Audit Trail Requirements:

• Market Regulation will now require the Audit Trail for certifications and annual exams to be submitted in CSV or Excel file format with specific column order as outlined in the Minimum Acceptable Audit Trail Elements.
• The new specifications of the audit trail file provides details for each column on data requirements for tier 1 and tier 2 components
• Clarification of how to represent market maker functionality at the quote entry level as well as how to properly represent Request for Cross (RFC) and Request for Quote (RFQ)s.
• Additional iLink messages are now in scope of the audit trail:
  • Session Level Reject (tag 35-MsgType=3)
  • Business Level Reject (tag 35-MsgType=j)
  • Order Mass Action Request (tag 35-MsgType=CA)
  • Order Mass Action Report (tag 35-MsgType=BZ)
• For improved representation of the information exchanged between trading systems and CME Globex, 17 data points have been added and 16 data points have been removed from the audit trail specifications.
• The new 2016 specifications simplify data capture by removing requirements to capture data from other interfaces than iLink, including market data and post-trade system interfaces.

CME Group recommends all applications certifying for Market Segment Gateway (MSGW) certify for the new audit trail requirements simultaneously.

Please forward any questions regarding the new Order Routing and Front-End Audit Trail Requirements to: audittrail@cmegroup.com.

 

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