Market Data Notice: April 7, 2014

New CME Globex Market Data Protocol
In Q3 2014, CME Group is introducing 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. The protocol production dates will be announced in future CME Globex and Market Data Notices.

The final version of the MDP 3.0 protocol will be in New Release in Q2 2014.

MDP 3.0 includes:

• Simple Binary Encoding (SBE); replaces the current FAST compression model
• FIX 5.0 (SP2) Market by Price messaging formats
• Event-driven market price and trade information
• Enhanced market state dissemination
• Increased timestamp granularity
• Trade identifier on both market data and order entry messages

The  client impact assessment,  functional specifications, and  message specifications provide detailed functionality and messaging information.

MDP 3.0 channels and functionality are currently available in New Release.

A new MDP 3.0 certification suite will be available in AutoCert+. Customer systems receiving market data via CME Globex must complete this mandatory certification.

Real Logic Ltd. and Informatica have collaborated to create open source tools that provide extensive support for Simple Binary Encoding (SBE), the messaging standard developed through The Financial Information Exchange (FIX) Trading Community. The SBE decoders will create an environment that can be used directly by customers or treated as a reference implementation that can be extended into custom solutions tailored to individual customer’s needs. The information and tool are open to the public under an Apache Public License and available  here.

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.

 CME Europe on CME Globex
CME Group has received approval from United Kingdom's Financial Conduct Authority (FCA) to launch a new London-based derivatives Recognised Investment Exchange (RIE), CME Europe Limited.

Effective Sunday, April 27 (trade date Monday, April 28), CME Europe markets will be available via CME Globex for iLink order routing and market data.

Only non-US customers are eligible to trade on CME Europe. Eligible customers who would like to trade CME Europe products must establish all appropriate agreements and accounts to be authorised to trade CME Europe products and clear through CME Clearing Europe.

• New products in Biofuel and FX futures (FX subject to final regulatory approval of certain operational clearing conditions)
  • New futures calendar spread type for FX futures
  • Contrasting minimum tick increment (Tag 969-MinPriceIncrement) for Biofuel futures between CME Globex (0.25) and CME ClearPort (0.001).
  • Minimum daily settlement tick increment of 0.001 for Biofuel futures.
  • Book depth of 5 for Biofuel and FX futures starting Monday, April 14. Currently, the book depths are designated as 5-deep for FX futures and 10-deep for Biofuel futures in New Release.
• New tag value to identify the exchange
• New market data channels to disseminate market data
• New streamlined Fix/Fast market data to publish block information

The  client impact assessment provides detailed functionality and messaging for customer systems interested in supporting CME Europe products via CME Globex.

Onboarding information is available  online.

A new CME Europe mandatory certification suite is currently available in AutoCert+. Customer systems that plan to support CME Europe via CME Globex must complete this certification.

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

An  overview of the customer mock trading session to be held on Saturday, April 26 is now available.

Please contact your  Global Account Manager for further information.

 New Strip User-Defined Spread for Energy Options
Effective Sunday, June 1 (trade date Monday, June 2), a new option strip User-Defined Spread type (tag 762-SecuritySubType=SA) will be introduced on CME Globex for NYMEX energy markets.

The SA option strip spread is constructed of all calls (Call Strip) or all puts (Put Strip). The Call Strip consists of buying calls within the same instrument and strike price for up to 26 expiration months, resulting in a total of between two and 26 calls purchased. The Put Strip consists of buying puts within the same instrument and strike price for up to 26 expiration months, resulting in a total of between two and 26 puts purchased. The Strip requires all legs to be equally distributed maturities (e.g., M8-U8-Z8 or M8-N8-Q8).

An SA spread trade price is the average of the outright leg prices. The trade reports for both the spread and the outright legs will reflect the averaged price.

Only one strip UDS type will be supported per options market. With this launch, the current option strip UDS (tag 762-SecuritySubType=SR) will be retired in the NYMEX energy options markets. The SR type will continue to be supported in all other options markets on CME Globex.

A detailed description of Option Strip spread types is available online.

The new spread type will be available in Certification for customer testing on Monday, April 28.

Euro-Denominated Deliverable Interest Rate Swap Futures
Effective this Sunday, April 13 (trade date Monday, April 14), the following Euro-Denominated Deliverable Interest Rate Swap futures will be listing for trading on CME Globex, open outcry and for clearing submission on CME ClearPort.

This product has the same economic exposure as an interest rate swap with the margin and liquidity benefits of a futures contract, and at expiration all open positions will deliver into a CME Cleared Euro Interest Rate Swap. Other key benefits include automatic risk offsets with our liquid Treasury and Eurodollar futures and options, and reduced clearing fees as futures are not typically subject to additional costs charged by OTC clearing members.

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

Please view the  New Product Summary.

Pending all relevant CFTC regulatory review periods, these contacts shall be listed with, and subject to, the rules and regulations of CBOT.

Options on Yen Denominated Nikkei Stock Average Futures
Effective this Sunday, April 13 (trade date Monday, April 14), options on Yen Denominated Nikkei Stock Average futures will be listed for trading on CME Globex and for clearing submission on CME ClearPort.

These options contracts will be available in American-style and European-style options. The American-style options will be offered in two months in the March Quarterly Cycle, and the European-style options will be offered in two serial months. For European-style options, CME will reference OSE's Nikkei 225 (Yen) Futures contract prices to make in-the-money and exercise determinations at option expiry.

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

Please view the  New Product Summary.

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

Weekly Metal Options
Effective this Sunday, April 13 (trade date Monday, April 14), the following Gold, Silver and Copper Weekly options will be listed for trading on CME Globex.

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

Please view the  New Product Summary.

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

Crude Oil and Natural Gas Weekly Options
Effective this Sunday, April 13 (trade date Monday, April 14), the following Crude Oil and Natural Gas Weekly options will be listed for trading on CME Globex.

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

Please view the  New Product Summary.

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

 Platts Mini Dubai and Mini BALMO Futures
Effective this Sunday, April 27 (trade date Monday, April 28, 2014), the following Mini Dubai Crude Oil futures will be listed for trading on CME Globex.

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

Please view the  New Product Summary.

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

Japan C&F Naphtha Dubain (Platts) Crack Spread Futures
Effective Sunday, April 27 (trade date Monday, April 28), the Japan C&F Naphtha Dubai (Platts) Crack Spread futures (tag 1151-Security Group=JNC, tag 55-Symbol=PT) will be listed for trading on CME Globex.

A futures contract referencing the spread between the month-average price for Platts "C&F Japan" Naphtha, minus the month-average price for Platts Crude Oil Marketwire for Dubai, for each business day over the contract month.

Please view the  new product summary.

These futures will be for customer testing in available New Release on Monday, April 14.

 2-year U.S. Treasury Notes Future vs. 5-year U.S. Treasury Notes Future Implied Inter-commodity Ratio Spreads
Effective Sunday, April 27 (trade date April 28), 2-year U.S. Treasury Notes Future vs. 5-year U.S. Treasury Notes Future Implied Inter-commodity Ratio Spread (tag 1151-SecurityGroup=TFY; tag 55-Symbol=ZB) will be listed for trading on CME Globex.

• TFY Spread Ratio = 3.1
• Defined ratio = 6

Please note: This spread is listed in addition to the existing -year U.S. Treasury Notes Future vs. 5-year U.S. Treasury Notes Future Implied Inter-commodity Ratio Spread (tag 1151-SecurityGroup=TUF; tag 55-Symbol=ZB)

This spread will be available for customer testing in New Release on Monday, April 14.

Weekly options and EOM options on E-mini and $10 Dow Jones Industrial Average Futures
Effective Sunday, May 4 (trade date Monday, May 5), Weekly options and end of month (EOM) options on E-mini and $10 Multiplier Dow Jones Industrial Average futures will be listed for trading on CME Globex.

The weekly and EOM options on E-mini and $10 Multiplier Dow Jones Industrial Average futures will be European-style options. There will be two concurrent weekly option contracts and two concurrent EOM option contracts listed.

These options will be available for customer testing in New Release on Monday, April 28.

Please view the  New Product Summary.

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

Aluminum Futures
Effective Monday, May 5 (trade date Tuesday, May 6), the following  Aluminum futures (tag1151-SecurityGroup=ALI, tag 55-Symbol=ST) will be listed for trading on CME Globex.

These new Aluminum futures contracts will offer global aluminum market participants a new tool for managing their exposure to volatile North American prices, while giving them access to physical aluminum at a number of CME Group-approved warehouses across the U.S.

These futures will be available for customer testing in New Release on Monday, April 14.

Please view the  New Product Summary.

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

Bursa Malaysia Derivative Berhad (BMD) USD RBD Palm Olein Futures
Pending regulatory approval, Bursa Malaysia Derivative Berhad (BMD) will list USD RBD Palm Olein futures (tag1151-SecurityGroup=FPOL, tag 55-Symbol=BL) for trading on CME Globex in Q2 2014. The production launch date will be announced in the CME Globex Notices as soon as it is available.

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

 1-Month and 3-Month Euro/U.S. Dollar (EUR/USD) Realized Volatility Futures Delisting
Effective this Sunday, April 13 (trade date Monday, April 14), the 1-Month and 3-Month EUR/USD Realized Volatility futures will be delisted. There is currently no open interest in these products.

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

Minimum Price Increment Change for European Gasoil (100mt) Bullet Futures
Effective this Sunday, April 13, (trade date Monday, April 14), minimum price increment for European Gasoil (100mt) Bullet Futures will be modified from $0.05 to $0.25 on CME Globex and Open Outcry.

With this change, the listing cycle will be expanded from current year plus the next year to current year the next 3 years.

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

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

Listing Cycle Expansion Coal (API 8) cfr South China (Argus/McCloskey) Futures
Effective this Sunday, April 13, (trade date Monday, April 14), the listing cycle for Coal (API 8) cfr South China (Argus/McCloskey) futures (tag 1151-SecurityGroup=SSI; tag 55-Symbol=JR) will be expanded on CME Globex, open outcry for clearing submission on CME ClearPort.

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

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

Variable Price Limit Grain and Oilseed Futures and Options
Effective Thursday, May 1, pending regulatory approval  variable price limits will be introduced on for grain and oilseed futures. Products impacted include Corn, Soybeans, Chicago Soft Red Winter (SRW) Wheat, KC Hard Red Winter (HRW) Wheat, Mini-sized Corn, Mini-sized Soybeans, Mini-sized Wheat, Soybean Oil, Soybean Meal, Oats, and Rough Rice.

Currently, the daily price limits are fixed on all CBOT grain and oilseed futures and options. With this change, variable price limit mechanism resets price limits in each of the CBOT grain and oilseed futures contract every six months. The new variable price limit mechanism will allow higher limits when prices are high and lower limits when prices are low.

Customers are strongly encouraged to utilize the FIX/FAST Security Status (tag 35-MsgType=f) messages to obtain the daily price limits (tag 332-HighPx; tag 333-LowPx) to avoid the rejection of orders that breach price limit thresholds.

Customers may also obtain the daily price limits from the Security Definition (tag 35-MsgType=d, tag 1149-HighLimitPrice and 1150-LowLimitPrice) messages on the instrument replay feed.

The variable price limits will be available for customer testing in New Release on Monday, April 21.

Legacy SFTP Site Decommission
Effective close of business April 25, customers will no longer be able to access the FTP site using the fixuserprod ID to CME WAN facing 167.204.41.33 IP address. Customers may continue to access the ftp site via secure FTP or the public FTP  ftp://ftp.cmegroup.com/fix/Production/.

If you have any questions, please contact the CME Global Command Center in the U.S. at +1 800 438 8616, in Europe at +44 800 898 013 or in Asia at +65 6532 5010 and ask for GSS.

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