EXHIBIT D

Case: 1:20-cv-04028 Document #: 26-4 Filed: 10/02/20 Page 1 of 6 PageID #:236
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To CME Globex and Market Data Customers

From Global Market Solutions and Services

# 20200403

Notice Date 03 April 2020

Effective Date 05 April 2020

Changes to Price and Strike Price Eligibility Flags for

Certain Energy Products

This Sunday, April 5 (trade date Monday, April 6), as an operational step toward potentially

supporting negative pricing and strikes, the MDP 3 Security Definition (tag 35-MsgType=d) for

these Energy outright futures and options on CME Globex will be flagged as eligible to trade at

negative prices. The options on futures will also be flagged as negative strike price eligible.

Trading at negative prices for these outright markets will not be supported at this time. Negative

strike prices will not be listed.

Negative order prices will be rejected with Execution Report (tag 35-MsgType=8) message:

Reject code tag 103-OrdRejReason = 1012

Tag 58-Text=<’Price must be greater than zero'>

Any changes will be published in future CME Globex Notices.

Negative trade price instruments, and negative strike price eligible instruments, are identified in

the MDP 3.0 Security Definition (tag 35-MsgType=d), in repeating group tag 871-InstAttribType:

tag 872-InstAttribValue= 9: Negative Strike Eligible

tag 872-InstAttribValue=10: Negative Price Eligible

tag 872-InstAttribValue= 14: Zero Price Eligible

Case: 1:20-cv-04028 Document #: 26-4 Filed: 10/02/20 Page 2 of 6 PageID #:237
TO: Clearing Member Firms 

Chief Financial Officers 

Back Office Managers 

FROM: CME Clearing 

ADVISORY #: 20-152

SUBJECT: CME Clearing Plan to Address the Potential of a Negative Underlying in Certain 

Energy Options Contracts

DATE: April 8

th, 2020

____________________________________________________________________________

The purpose of this advisory is to assure CME clearing firms and end clients that if major energy 

prices continue to fall towards zero in the coming months, CME Clearing has a tested plan to 

support the possibility of a negative options underlying and enable markets to continue to 

function normally. That plan is as follows:

• If WTI Crude Oil futures prices settle, in any month, to a price between $8.00/bbl and 

$11.00/bbl, CME Clearing MAY switch its pricing and margining options models from the 

existing models to the Bachelier model, currently utilized in numerous spread options 

products where negative underlying prices and strike levels are a regular occurrence. If 

any WTI Crude Oil futures prices settle, in any month, to a level below $8.00/bbl, CME 

Clearing WILL move to the Bachelier model for all WTI Crude oil options contracts as 

well as all related crude oil options contracts effective the following trade date. CME 

Clearing will send out an advisory notice with one day notice before any implementation 

occurs with all appropriate details. 

• Similarly, if RBOB Gasoline futures prices settle, in any month, to a price between 

$0.20/gal and $0.30/gal, CME Clearing MAY switch its pricing and margining options 

models from the existing models to the Bachelier model. If any RBOB Gasoline futures 

price settle, in any month, to a level below $0.20/gal, CME Clearing WILL move to the 

Bachelier model for all RBOB Gasoline options contracts as well as all related gasoline 

options contracts effective the following trade date. CME Clearing will send out an 

advisory notice with one day notice before any implementation occurs with all 

appropriate details. 

• Similarly, if Heating Oil futures prices settle, in any month, to a price between $0.20/gal 

and $0.30/gal, CME Clearing MAY switch its pricing and margining options models from 

the existing models to the Bachelier model. If any Heating Oil futures price settle, in any 

Case: 1:20-cv-04028 Document #: 26-4 Filed: 10/02/20 Page 3 of 6 PageID #:238
month, to a level below $0.20/gal, CME Clearing WILL move to the Bachelier model for 

all Heating Oil options contracts as well as all related heating oil options contracts

effective the following trade date. CME Clearing will send out an advisory notice with 

one day notice before any implementation occurs with all appropriate details. 

The primary goal of this advisory is to let the market know that CME Clearing is ready to handle 

the situation of negative underlying prices in major energy contracts and we want to give all of 

our clearing firms, customers, and partners a view into what the CME Clearing plan is so that 

each of our partners can do their own respective planning for this potential situation. 

Negative strike prices will NOT be listed in any of these energy markets until this model change 

is made per the plan above and may not occur even if the modelling changes do happen.

Please note that all existing CME Clearing message and file formats already support, without 

modification, negative futures prices as well as negative strike prices. We will publish additional 

information shortly regarding the details of potentially affected products and sample files.

Should you have any questions, please contact CME Clearing Risk Management at 

Clearing.RiskManagement@cmegroup.com or 312-648-3888 or CME Clearing Pricing & 

Valuations at OTCPricing&ValuationsFnOTeam@cmegroup.com

Case: 1:20-cv-04028 Document #: 26-4 Filed: 10/02/20 Page 4 of 6 PageID #:239
DATE: April 15, 2020

TO: Clearing Member Firms 

FROM: CME Clearing 

ADVISORY #: 20-160

SUBJECT: Testing opportunities in CME’s “New Release” environment

for negative prices and strikes for certain NYMEX energy contracts

Recent market events have raised the possibility that certain NYMEX energy futures contracts could 

trade at negative or zero trade prices or be settled at negative or zero values, and that options on 

these futures contracts could be listed with negative or zero strike prices.

Were this to occur, all of CME’s trading and clearing systems would continue to function normally. 

Support for zero or negative futures and/or strike prices is standard throughout CME systems. All file 

and message formats support such prices, and we have a variety of products which have long 

behaved in this manner, for example NYMEX BY (WTI-Brent Bullet) futures contracts and NYMEX BV

options on those futures contracts.

Clearing Advisory 20-152 was published on April 8, 2020, and detailed the process, considerations 

and timing by which CME would transition from the Whaley option pricing model to the Bachelier 

option pricing model for margining and settlements for particular groups of products. It’s at:

https://www.cmegroup.com/content/dam/cmegroup/notices/clearing/2020/04/Chadv20-152.pdf

Globex Advisory 20200403 was published on April 3, 2020 and details the changes to Price and 

Strike Price Eligibility flags associated with this possibility. It’s at:

https://www.cmegroup.com/notices/electronic-trading/2020/04/20200403.html#pageNumber=1

Effective immediately, firms wishing to test such negative futures and/or strike prices in their systems 

may utilize CME’s “New Release” testing environments, for products CL (crude oil futures) and LO

(options on those futures.) “New Release” SPAN files and settlement price files already reflect such 

prices. In the New Release environment, orders may be submitted in CME Globex, block trades may 

be submitted through CME Clearport, and all normal trade and position processing may be performed 

in Clearing.

The full list of potentially affected products is provided on the following page.

For more information please contact CME Clearing at ccs@cmegroup.com or via phone at 

Chicago (312) 207 2525 | London (44) 203 379 3198 | Singapore (65) 6593 5591.

Case: 1:20-cv-04028 Document #: 26-4 Filed: 10/02/20 Page 5 of 6 PageID #:240
Product Clearing 

Code

Clearing 

Product 

Type

Globex 

Code

Group 

Code

Category Benchmark

Brent Crude Oil Last Day Financial Futures BZ FUT BZ OP BZ Y

Brent Crude Oil Average Price Option BA OOF BA OT BZ N

Brent Crude Oil BALMO Futures J9 FUT AJ9 BB BZ N

Brent Crude Oil European Financial Option BE OOF BE OT BZ N

Brent Crude Oil Futures-Style Margin Option BZO OOF BZO PR BZ N

Brent Crude Oil Option OS OOF OSX OT BZ N

Brent Crude Oil Penultimate Financial Futures BB FUT BB BB BZ N

Brent Financial Futures CY FUT CY CC BZ N

Dated Brent (Platts) BALMO Futures DBB FUT DBB BB BZ N

Mini Brent Financial Futures MBC FUT MBC CC BZ N

Light Sweet Crude Oil Futures CL FUT CL CL CL Y

Argus WTI Formula Basis Calendar Month 

Futures 39 FUT 39 CC CL N

Argus WTI Trade Month Futures V7 FUT V7 CC CL N

Crude Oil Bullet Futures WS FUT WS WS CL N

Crude Oil Last Day Financial Futures 26 FUT 26 CC CL N

Crude Oil Weekly Options

LO1-

LO5 OOF

LO1-

LO5 LO CL N

Daily Crude Oil Option CD OOF ICD LO CL N

Daily WTI Financial Futures DCL FUT DCL CC CL N

E-mini Crude Oil Futures QM FUT QM CL CL N

Light Sweet Crude Oil European Financial Option LC OOF LCE LO CL N

Light Sweet Crude Oil Option LO OOF LO LO CL N

LLS (Argus) Financial Futures XA FUT AXA CC CL N

WTI BALMO Futures 42 FUT A42 CC CL N

WTI Financial Futures CS FUT CSX CC CL N

WTI Trade Month Futures TCS FUT TCS CC CL N

WTI Average Price Option AO OOF AAO LO CS N

WTI Houston Crude Oil Option HCO OOF HCO H3 HCL Y

WTI Houston Crude Oil Futures HCL FUT HCL HC HCL N

NY Harbor ULSD Option OH OOF OH OH HO Y

E-mini NY Harbor ULSD Futures QH FUT QH CL HO N

NY Harbor ULSD Average Price Option AT OOF ATX EP HO N

NY Harbor ULSD BALMO Futures 1G FUT A1G RF HO N

NY Harbor ULSD Bullet Futures BH FUT ABH RF HO N

NY Harbor ULSD European Financial Option LB OOF LB EF HO N

NY Harbor ULSD Financial Futures MP FUT MPX PT HO N

NY Harbor ULSD Futures HO FUT HO CL HO N

NY Harbor ULSD Last Day Financial Futures 23 FUT 23 CP HO N

DME Oman Crude Oil Futures OQD FUT OQD DE OQD Y

DME Dubai Crude Oil (Platts) BALMO Futures DDI FUT DDI DE OQD N

DME Dubai Crude Oil (Platts) Futures DCD FUT DCD DE OQD N

Dubai Crude Oil (Platts) BALMO Futures BI FUT ABI BB OQD N

Dubai Crude Oil (Platts) Financial Futures DC FUT DCB BB OQD N

RBOB Gasoline Average Price Option RA OOF RA EF RB Y

E-mini RBOB Gasoline Futures QU FUT QU CL RB N

RBOB Gasoline BALMO Futures 1D FUT A1D RF RB N

RBOB Gasoline Bullet Futures RT FUT RT WS RB N

RBOB Gasoline European Financial Option RF OOF ARF EF RB N

RBOB Gasoline Financial Futures RL FUT RLX PT RB N

RBOB Gasoline Futures RB FUT RB CL RB N

RBOB Gasoline Last Day Financial Futures 27 FUT 27 CP RB N

RBOB Gasoline Option OB OOF OB OB RB N

Case: 1:20-cv-04028 Document #: 26-4 Filed: 10/02/20 Page 6 of 6 PageID #:241