• BrokerTec Markets on CME Globex Update: September 21, 2023

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      • BrokerTec Clients
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      • Global Market Solutions & Services (GMSS)
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      • 20230921
      • Notice Date
      • 21 September 2023

    • Topics in this issue include:

      Versions of BrokerTec notices dated March 23, 2023, and onward are available from the Notice Search page. 

      Archived BrokerTec notices dated July 2019 through March 9, 2023, are available from the BrokerTec Support Portal, which requires a separate login.  

       

      Critical System Information

       

      iLink Mass Order Cancel Change

      Effective Sunday, October 22 (trade date Monday, October 23), the maximum number of individual cancelled orders listed in one Order Mass Action Report on CME Globex will be reduced to 75.  Currently, the maximum number of cancelled orders listed in one Order Mass Action Report is 125.

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

      More information about Mass Order Cancel functionality is available in the Client Systems Wiki.

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      FINRA Regulatory Notice 22-27 Impact on Current TRACE Reporting

      In its Regulatory Notice 22-27 (“Notice”) FINRA has adopted several amendments to Rule 6730, including a requirement for members to report electronically executed transactions in U.S. Treasury securities to TRACE in the finest increment captured by the system used to execute the transaction. This amendment does not require members to update execution systems for U.S. Treasury securities to capture finer timestamp granularity, members must make any updates to their trade reporting systems necessary to ensure that their TRACE reports reflect the finest increment of time captured by such execution systems (but not finer than a microsecond). This requirement comes into effect November 6, 2023.

      Please be advised that BrokerTec Americas (BTEC) captures execution timestamps to the nearest nanosecond and reports to TRACE to the nearest microsecond, as required by this Notice. As such, BTEC does not anticipate making any changes.

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      Product Launches

      BrokerTec Euro Short Term Rate (ESTR) Repos and General Collateral Baskets on CME Globex

      Effective Sunday, October 1 (trade date Monday, October 2), the following BrokerTec European Short Term Rate Repos and General collateral (GC) baskets (All and Sub 10) will be listed on CME Globex.

      BrokerTec European Short Term Rate (ESTR) Bill Repos

      Product Name

      MDP 3.0: TAG
      6937-ASSET

      ILINK: TAG 55-SYMBOL
      MDP 3.0 TAG 1151 - SECURITY GROUP

      MDP 3.0: TAG
      1180-APPLID
      Belgian ESTR Special Repo LCH SA Bills BEBSTA ESTA 517
      Finnish ESTR Special Repo LCH SA Bills FIBSTA ESTA 517
      French ESTR Special Repo LCH SA Bills FRBSTA ESTA 517
      German ESTR Special Repo LCH SA Bills DEBSTA ESTA 517
      Dutch ESTR Special Repo LCH SA Bills NLBSTA ESTA 517
      Portuguese ESTR Special Repo LCH SA Bills PTBSTA ESTA 517

      BrokerTec European Short Term Rate (ESTR) Bond Repos
      Product Name MDP 3.0: TAG
      6937-ASSET      		 ILINK: TAG 55-SYMBOL
      MDP 3.0 TAG 1151 - SECURITY GROUP      		 MDP 3.0: TAG
      1180-APPLID
      Austrian ESTR Special Repo LCH SA Bonds ATDSTA ESTA 517
      Belgian ESTR Special Repo LCH SA Bonds BEDSTA ESTA 517
      Finnish ESTR Special Repo LCH SA Bonds FIDSTA ESTA 517
      French ESTR Special Repo LCH SA Bonds FRDSTA ESTA 517
      German ESTR Special Repo LCH SA Bonds DEDSTA ESTA 517
      Irish ESTR Special Repo LCH SA Bonds IEDSTA ESTA 517
      Dutch ESTR Special Repo LCH SA Bonds NLDSTA ESTA 517
      Portuguese ESTR Special Repo LCH SA Bonds PTDSTA ESTA 517
      Slovakian ESTR Special Repo LCH SA Bonds SKDSTA ESTA 517
      Slovenian ESTR Special Repo LCH SA Bonds SIDSTA ESTA 517

      BrokerTec European Short Term Rate General Collateral (GC) Baskets
      Product
      (Wider Basket Name)      		 MDP 3.0: TAG 6937-ASSET
      (Wider Basket Code)      		 Product
      (Sub 10yr Basket Name)      		 MDP 3.0: TAG 6937-ASSET
      (Sub 10yr Basket Code)      		 ILINK: TAG 55-SYMBOL
      MDP 3.0 TAG 1151 - SECURITY GROUP      		 MDP 3.0: TAG 1180-APPLID
      AUSTRIA GC ESTR ATGSTA AUSTRIA GC ESTR SUB 10YR AGST10 ESGC 517
      BELGIUM GC ESTR BEGSTA BELGIUM GC ESTR SUB 10YR BGST10 ESGC 517
      FINLAND GC ESTR FIGSTA FINLAND GC ESTR SUB 10YR FGST10 ESGC 517
      FRANCE GC ESTR FGESGC FRANCE GC ESTR SUB 10YR FG10ES ESGC 517
      GERMANY GC ESTR DEGSTA GERMANY GC ESTR SUB 10YR DGST10 ESGC 517
      IRELAND GC ESTR IEGSTA IRELAND GC ESTR SUB 10YR IEST10 ESGC 517
      NETHERLANDS GC ESTR NLGSTA NETHERLANDS GC ESTR SUB 10YR NGST10 ESGC 517
      PORTUGAL GC ESTR PTGSTA PORTUGAL GC ESTR SUB 10YR PGST10 ESGC 517

      These products are available for customer testing in New Release.

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      Update - BrokerTec European Investment Bank (EIB) General Collateral Baskets on CME Globex

      † Denotes update to the article

      Effective Sunday, October 1 (trade date Monday, October 2), the following BrokerTec European Investment Bank (EIB) General collateral (GC) basket will be listed on CME Globex.

      BrokerTec European Investment Bank (EIB) General Collateral (GC) Baskets
      Product MDP 3.0: TAG 6937-ASSET ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP MDP 3.0: TAG 1180-APPLID
      †EIB GC LCH SA †XSCSA †EAGC †517

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

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      BrokerTec US Treasuries RV Butterfly Spreads

      Effective Sunday, January 28, 2024 (trade date Monday, January 29) new exchange-defined BrokerTec US Treasuries RV Butterfly spreads will be made available for trading on CME Globex.  BrokerTec US Treasuries RV Butterfly spreads will utilize a new strategy type (RB). BrokerTec US Treasuries RV Butterfly spreads will allow customers to trade between three US Treasury Actives at different points on the yield curve in a single transaction to eliminate legging risk and allow more efficient execution.

      Similar to RV Curve spreads, the RV Butterfly spreads will trade at yield differentials in a +1:-2:+1 convention; and prices will be inverted as in a typical yield market. These spreads will have predefined DV01-neutral leg ratios.

      Please review the Client Impact Assessment [external link needed prior to publication] for detailed spread construction and pricing examples.

      These changes will be available for customer testing in the New Release environment on Monday, November 20.

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      Front-End Clients

      BrokerTec Global Front End Upgrade Client 11.1 - Coming in Early October

      In early October, there will be a new BrokerTec Global Front End (GFE) Client 11.1 software upgrade. Firms that need to package the BrokerTec GFE Client for distribution can download and distribute version 11.1 when it is available.

      Customers using BrokerTec Sync will automatically be upgraded to the latest version.

      The software release includes:

      • Off the Run Treasuries
        • Consolidated Matching Window (CMW) enhancements
          • Traders will be able to paste orders from Excel in the CMW during matching sessions.
          • A new option to hide the "Yield" column was added to the right click menu.
      • EU Repo
        • Skip Empty Line (SEL) enhancement - a new preference was added to include term Repo instrument lines with the last traded price in the condensed view.
      • US Repo
        • Delete All My Cash and Delete All My Reg buttons - US Repo traders will be able to quickly remove all own CASH and REG orders via the Delete All My Cash and Delete All My Reg buttons, respectively.
        • Bid in Bulk Cash enhancement - a new criteria, "Shown Size", added for traders to specify a custom shown size for the bids to be entered against resting offers without a contra bid.

      For additional details, please see BrokerTec GFE Client 11.1 - What's New.

      Any client inquiries for technical issues or Production support should be directed to the CME Group Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010.

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      Post- Trade

      Support for BrokerTec US Treasuries RV Butterfly Spreads in CME STP FIX and FIXML

      Effective Sunday, January 28 (trade date Monday, January 29), new exchange-defined BrokerTec US Treasuries RV Butterfly spreads will be made available for trading on CME Globex.

      Trade capture reports for trades of BrokerTec RV Butterfly spread will be denoted with a new security sub type "RB" (FIX : tag 762-SecuritySubTyp=RB) (FIXML : /TrdCaptRpt/Instrmt/@SubTyp="RB")

      The spreads will be available for customer testing in New Release on Monday, November 20.

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      Announcements and Additional Resources

      BrokerTec US SIFMA Business Continuity Test

      BrokerTec US will participate in the SIFMA Business Continuity Test on Saturday, October 14.  All BrokerTec US testing is scheduled for 9 am to 11 am Eastern Time.

      To participate in the SIFMA Business Continuity Test, users must register directly with SIFMA.

      All customers who intend to participate must provide their Production CME Group Login ID and/or any CME Group API IDs they intend to use for testing by Friday, October 6, so they can be enabled for weekend testing privileges. Please email login IDs to ms@btec.com after completing your registration at SIFMA.

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      Update - Reminder: CME Reference Data API v2 Decommission

      † Denotes update to the article

      Effective Friday, October 27, Reference Data API version 2 will be decommissioned and no longer supported. To support the decommission, version 2 will be deprecated and no further enhancements will be offered as of Saturday, September 30. 

      Customers are strongly encouraged to migrate to Reference Data API Version 3 as soon as possible to prevent any data interruptions. 

      CME Reference Data API v3 (RD APIv3), hosted on Google Cloud (GC), provides the following enhancements:

      • Decreased refresh time rate
      • Increased results per page from 20 to 1000
      • No change to your API IDs and entitlements

      Clients should review an updated †Client Impact Assessment for details on v3.

      Reference Data API Version 3 is currently available in Production and for customer testing in New Release.

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