Topics in this issue include:

• In-Service Solution for Calculating Total Notional Quantity - February 21
• New Offset Trade Message for Converted Monthly-to-Daily Power Contracts - February 21
• RC4 Cipher Suite - March 12 ^New
• Swaption Trade Support on CME STP - April 10 ^New
• Party Roles Propagated to Allocated Trades - April 24 ^New

In-Service Solution for Calculating Total Notional Quantity

Effective this Sunday, February 21 (trade date Monday February 22), a Unit of Measure Quantity (UOMQty) field will be added to the Instrument and Trade Leg levels of CME STP to support total notional quantity calculations.

Additionally, the definition for the Price Multiplier will be revised for greater clarity.

Unit of Measure Quantity Specification

The following field will be published in Trade Capture Reports:

Price Attribute and Definition Updates

• Updated attribute definitions to indicate price rather than contract
• Trade Instrument Leg level attribute re-named from Leg Contract Multiplier to Leg Price Multiplier

Please see example.

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

CME Group strongly recommends customer testing of the Unit of Measure Quantity (UOMQty) field in the New Release environment to ensure proper consumption of messages.

Offset Trade Message for Converted Monthly-to-Daily Power Contracts

Effective this Sunday, February 21 (trade date Monday, February 22), an Offset Trade message will be sent for applicable Power contracts when they convert to daily trades on  the first business day of the contract month. This message is designed to more clearly signal open positions upon the conversion from monthly to daily.

• Original Clearing Advisory on Monthly-to-Daily Conversion for Power Contracts
• Applicable products

This enhancement is currently available for customer testing in the New Release.

If you have any questions, please contact the Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 800 898 013 or in Asia at +65 6532 5010.

New - RC4 Cipher Suite

CME Group is committed to information security. To deliver the best security and customer experience, we are eliminating support of the RC4-based cipher suites for CME Group web-based applications, APIs, and services. Effective Saturday, March 12, customers using RC4 will not be able to access, connect, or establish sessions for CME Group products.

Customers following CME Group Web Browser Standards should not be impacted by this change. However, if customers connect through a proxy, they should ensure their proxy utilizes one or more of these CME Group supported ciphers:

• TLS_RSA_WITH_AES_256_CBC_SHA256
• TLS_RSA_WITH_AES_256_CBC_SHA
• TLS_RSA_WITH_AES_128_CBC_SHA256
• TLS_RSA_WITH_AES_128_CBC_SHA

New - Swaption Trade Support on CME STP

Effective Sunday, April 10 (trade date Monday, April 11), support for Swaption trades will be enabled on CME STP, allowing for more effective management of a risk portfolio.

With this change, the Security Type field in the Instrument block of the Trade Capture Report will include a new SWAPTION enumeration. Customers will be able to retrieve their Swaption trades in CME STP by specifying SecTyp="SWAPTION" in the Trade Capture Report Request.

Swaption trades will be FpML embedded in the Trade Capture Report messages. Please see a sample message.

The following message tags are not included in Trade Capture Report Messages for Swaptions:

• /FIXML/TrdCaptRpt/@ExecID
  • ExecID will be present for on-exchange trades and Blocks, including Invoice Swap Spreads
  • ExecID will not be present for off-exchange IRS/FRA/SWAPTION trades
• /FIXML/TrdCaptRpt/@TrdID
• /FIXML/TrdCaptRpt/@MtchID
• /FIXML/TrdCaptRpt/@LastPx
• /FIXML/TrdCaptRpt/@TxnTm
• /FIXML/TrdCaptRpt/@PxTyp
• /FIXML/TrdCaptRpt/RptSide/@Ccy
• /FIXML/TrdCaptRpt/RptSide/TrdRegTS/@TS[@@Typ="1"]

This enhancement will be available for customer testing in New Release on Wednesday, March 2.

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 with questions while testing in New Release.

Please contact the Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 800 898 013 or in Asia at +65 6532 5010 for production questions

New - Party Roles Propagated to Allocated Trades

Effective Sunday, April 24 (trade date Monday, April 25) a number of party role attributes from the initial Trade Capture Report message will propagate to the post-trade Average Price System (APS) and Give-up (GUS) order allocations. This enhancement will provide claiming firms greater visibility of parties on the original trade, thereby allowing for more accurate reporting.

These party role attributes are not required fields for the customer to submit the trade and therefore may or may not be present in the original trade.

Party Roles to be propagated for APS / GUS orders:

This enhancement will be available for customer testing in New Release on Wednesday, April 6.

Please contact the CME Global Command Center (GCC) in the U.S. at +1 800 438 8616, in U.K. at +44 800 898 013 or in Asia at +65 6532 5010 with any questions or concerns.