BrokerTec Markets on CME Globex Update - January 4, 2024

Topics in this issue include:

• Critical System Information
  • Increased Mass Quote Messaging Capacity - This Week 
  • Globex User Signature (GUS) ID Maintenance - February 29
  • iLink 3 BrokerTec Schema Version 5 Decommission - March 2024 
  • iLink 3 Mass Quote Cancellation Change - March 3
• Product Launches
  • BrokerTec EUROGC+ GREEN Standard and Minimum Size Baskets on CME Globex - This Week
  • BrokerTec Euro Short Term Rate (ESTR) Repos and General Collateral Baskets for European Supranational Bills and Bonds on CME Globex - January 21 New
  • BrokerTec US Treasuries RV Butterfly Spreads - January 28
• Product Changes
  • Change to BrokerTec US RV Curve Contract Leg Ratios - This Week New
• Front-End Clients
  • Reminder: BrokerTec Global Front End Upgrade Client 11.2 - Now Available
• Post-Trade
  • Support for BrokerTec US Treasuries RV Butterfly Spreads in CME STP FIX and FIXML - January 28
• Announcements and Additional Resources
  • Internal Testing Reminder New
  • Reminder: BrokerTec Market Support Legacy Contact Updates to be Decommissioned - January 21 New

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

Increased Mass Quote Messaging Capacity

Effective this Sunday, January 7 (trade date Monday, January 8), customers will be able to quote and quote cancel up to 375 messages per second (MPS). Currently, customers can quote or quote cancel a maximum of 350 MPS.

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

More information about Mass Quote Messaging Thresholds is available in the Client Systems Wiki.

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Globex User Signature (GUS) ID Maintenance

As a reminder, all Front Office Admin Managers of BrokerTec (BTEC) participants are responsible for updating their firm’s Globex User Signature (GUS) IDs and to ensure that BTEC has the correct contact and identity information associated with those IDs. GUS IDs should be periodically reviewed, updated and/or deleted if considered inactive. Front Office Admin Managers must take the following action on GUS information from the Request Center:

• Update the following information for the individual or team lead assigned to the active GUS IDs under their Globex Firm IDs (GFIDs): first and last name, email, phone number/type, country, address, and town/city.
• Delete any GUS IDs that are no longer active. 

Please review all GUS IDs associated with your Firm IDs as soon as possible but no later than February 29.

Please note: Before deleting any GUS(s), make sure they are not in use as deleting them will prevent order placement. Contact Global Account Management at globalaccountmanagement@cmegroup.com who will provide information regarding the Front Office Admin Managers and any system support required to make the changes. If you have compliance questions contact US Compliance at uscashmarketscompliance@cmegroup.com.

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iLink 3 BrokerTec Schema Version 5 Decommission

Starting in March 2024, BrokerTec on CME Globex will no longer accept iLink 3 schema version 5 messages in the Production environment.

Version 8 of iLink 3 for BrokerTec launched in February 2023.

Effective with this change, BrokerTec GFE 11.1.0.34+ will be required for access in the New Release environment.

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iLink 3 Mass Quote Cancellation Change

Effective Sunday, March 3, 2024 (trade date Monday, March 4), CME Globex will implement an enhancement to the iLink 3 Mass Quote Cancellation to BrokerTec EGB on CME Globex.

With this change, CME Globex will reject any Quote Cancel All (tag 35-MsgType =Z and tag 298-QuoteCancelType=4) message from a MSGW session not permissioned to quote any product group for the MarketSegmentID on which Quote Cancel All request was initiated. The Quote Cancel Reject (tag 35-MsgType=b and tag 297-QuoteStatus=5) message will include tag 300-QuoteRejectReason=9 (Not authorized to quote security) and tag 58-Text=Quote rejected: Not authorized to quote any group. Currently, CME Globex does not respond back to a Quote Cancel All request from a MSGW session not permissioned to quote any product group.

This change will be available for customer testing in New Release on Thursday, January 4.

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Product Launches

BrokerTec EUROGC+ GREEN Standard and Minimum Size Baskets on CME Globex

Effective this Sunday, January 7 (trade date Monday, January 8) the following BrokerTec EUROGC+ GREEN Standard and Minimum Size General collateral (GC) baskets will be listed on CME Globex.

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

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New - BrokerTec Euro Short Term Rate (ESTR) Repos and General Collateral Baskets for European Supranational Bills and Bonds on CME Globex

Effective Sunday, January 21(trade date Monday, January 22) the following BrokerTec European Short Term Rate Repos and General collateral (GC) baskets for European Supranational Bills and Bonds will be listed on CME Globex.

These changes will be made available for customer testing in New Release on Monday, January 8.

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BrokerTec US Treasuries RV Butterfly Spreads

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.  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 for detailed spread construction and pricing examples.

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

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Product Changes

New - Change to BrokerTec US RV Curve Contract Leg Ratios

Effective this Sunday, January 7 (trade date Monday, January 8), the BrokerTec RV Curve contract leg ratios will be amended as follows.

This change will be available for customer testing in New Release on Thursday, January 4.

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Front-End Clients

Reminder: BrokerTec Global Front End Upgrade Client 11.2

A new BrokerTec Global Front End (GFE) Client 11.2 software upgrade is available now. Firms that need to package the BrokerTec GFE Client for distribution can download and distribute version 11.2.

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

The software release includes:

• US Treasuries Actives
  • Support for BrokerTec US Treasuries RV Butterfly Spreads
    • Traders will be able to access and trade the new BrokerTec UST RV Butterfly spreads via the GFE when the product launches in Q1 2024.
  • New display conventions for US Treasuries RV Curves and Butterfly Spreads
    • Traders will be able to customize market data display in the GFE to format yield difference in the RV instruments as:
      • Pick/Give (default)
      • Front leg yield minus back leg yield [for butterflies: wings minus body yield]
      • Back leg yield minus front leg yield [for butterflies: body minus wings yield]
• Off the Run Treasuries
  • Consolidated Matching Window (CMW) enhancements
    • Traders will be able to paste orders from Excel in the CMW during matching sessions.
• Technical Enhancements
  • BrokerTec GFE 11.2 release introduces support for iLink 3 schema V8. Decommission of the iLink 3 schema V5 used by prior versions of the GFE is scheduled for March 2024. Please upgrade to this latest version as soon as possible to prevent any interruption of service.

For additional details, please see BrokerTec GFE Client 11.2 - 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")

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

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Announcements and Additional Resources

New - Internal Testing Reminder

As a reminder, CME Group internal testing in the Production environment can occur during the weekend. Any trades or market data generated during these tests should be disregarded. Clients can connect to CME Globex services beginning at 10:30 a.m. Central Time (CT) Sundays to prepare for weekly start-up. Clients should ensure all services are disconnected by 5:00 p.m. CT Fridays to avoid receiving internal test data. CME Group Trading and Clearing Hours are also available on the CME Group website.

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New - Reminder: BrokerTec Market Support Legacy Contact Updates to be Decommissioned

BrokerTec US and EU Market Support contact points integrated with the CME Global Command Center (GCC) in November 2023. Effective Sunday, January 21, 2024, the legacy BrokerTec US and EU contact points will be decommissioned. 

Please Note the following:

• The email addresses ms@btec.com and btec_eu@nex.com will be decommissioned. Emails sent to these addresses will not be delivered and customers will receive an "undeliverable" message. Note that emails sent to legacy addresses will no longer be forwarded to the GCC after January 21.
• BrokerTec legacy phone numbers will be decommissioned. Customers calling legacy phone numbers will receive a "number not in service" message. Note that calls to these numbers will no longer be forwarded to the GCC after January 21.
  • BrokerTec Market Support phone queries should be made to the regional GCC numbers:
    U.S. at +1 800 438 8616
    Europe at +44 20 7623 4747
    Asia at +65 6532 5010 
    -selecting option 4 for EU markets and 5 for US markets 
    -or via email at gcc@cmegroup.com for all regions.

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