EBS Market on CME Globex Notice

EBS Market on CME Globex Notice

Topics in this issue include:

• Critical Information
  • Enhancements to EBS Risk Management API Grantee Group Limits Response Message - This Week New
  • EBS Market OFF-SEF/OFF-MTF NDF Migration - September 11
  • EBS MMA Performance Report Enrichment - September 11
  • Post-Migration iCross Connectivity - October 15
  • SDR Reporting Requirements – CFTC Rule Re-Write
  • Reminder: Short Code Identifiers on CME Globex
  • Reminder: Disorderly Market Testing for NEX MTF on CME Globex
  • Reminder: FirmSoft
• Announcements and Additional Resources
  • Subscription Center for EBS Market on CME Globex Notice

Critical System Information

New - Enhancements to EBS Risk Management API Grantee Group Limits Response Message

On Monday, August 22, to provide additional information on grantee group limits, the Grantee group limits response message was updated EBS Risk Management API as follows:

• The field name for the defaultLimit field will be updated to Default Field from the current field name of Current Limit.
• A new field availableBalance will be added to reflect the balance remaining for the current day.

FIELD	NAME	TYPE	VALUES	USAGE	DESCRIPTION
availableBalance	Available Balance	Integer		ALWAYS	Limit that will be enforced next day

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

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EBS Market OFF-SEF/OFF-MTF NDF Migration

As previously announced, EBS is restructuring the EBS Market off-SEF NDF venue effective Sunday, September 11 (trade date Monday, September 12), pending regulatory approval. All EBS Market off-SEF/off-MTF NDFs will be migrated to off-SEF/on-MTF UK-regulated multi-lateral trading facility (“MTF”) operated by BrokerTec Europe Limited, which is authorized and regulated by the UK Financial Conduct Authority.

This change will have no impact for the on-SEF/on-MTF NDF venue operated by NEX SEF Limited, nor the EBS Market or EBS Direct FX Spot instruments, which will continue to operate as they do today.

The following technical changes will be applied in Production Sunday, September 11.

Instrument Attributes

With this migration, the following instrument attributes will be updated:

Attribute	MDP 3.0	Reference Data API
Exchange Identifier Current: EBSC New: XEBS	207-SecurityExchange	exchangeGlobex
MTF Indicator Current: Off New: On	Repeating group 870-NoInstAttrib, 872-InstAttribValue, position 25	onMTF

These changes will be reflected in the MDP Security Definitions and in Reference Data API before the start of trading on Sunday, September 11.

Impacted Currencies

The following currencies are in-scope for this migration:

Impacted Currencies
ARS 1M	US Dollar/Argentine Peso NDF 1 Month off-SEF
BRL 1M	US Dollar/Brazilian Real NDF 1 Month off-SEF
CLP 1M	US Dollar/Chilean Peso NDF 1 Month off-SEF
CNY 1M	US Dollar/Yuan NDF 1 Month off-SEF
COP 1M	US Dollar/Columbian Peso NDF 1 Month off-SEF
EGP 1M	US Dollar/Egyptian Pound NDF 1 Month off-SEF
EGP 2M	US Dollar/Egyptian Pound NDF 2 Month off-SEF
EGP 3M	US Dollar/Egyptian Pound NDF 3 Month off-SEF
GHS 1M	US Dollar/Ghana Cedi NDF 1 Month off-SEF
IDR 1M	US Dollar/Indonesian Rupiah NDF 1 Month off-SEF
INR 1M	US Dollar/Indian Rupee NDF 1 Month off-SEF
KES 1M	US Dollar/Kenyan Shilling NDF 1 Month off-SEF
KRW 1M	US Dollar/South Korean Won NDF 1 Month off-SEF
MYR 1M	US Dollar/Malaysian Ringgit NDF 1 Month off-SEF
NGN 1M	US Dollar/Nigerian Naira NDF 1 Month off-SEF
PEN 1M	US Dollar/Peruvian Nuevo Sol NDF 1 Month off-SEF
PHP 1M	US Dollar/Philippine Peso NDF 1 Month off-SEF
RUB 1M	US Dollar/Russian Ruble NDF 1 Month off-SEF
TRY 1M	US Dollar/Turkish Lira NDF 1 Month off-SEF
TWD 1M	US Dollar/New Taiwan Dollar NDF 1 Month off-SEF
VND 1M	US Dollar/Vietnamese Dong NDF 1 Month off-SEF
ZMW 1M	US Dollar/Zambian Kwacha NDF 1 Month off-SEF
INR EOM JAN	US Dollar/Indian Rupee NDF 1 Month off-SEF
INR EOM FEB	US Dollar/Indian Rupee NDF 1 Month off-SEF
INR EOM MAR	US Dollar/Indian Rupee NDF 1 Month off-SEF
INR EOM APR	US Dollar/Indian Rupee NDF 1 Month off-SEF
INR EOM MAY	US Dollar/Indian Rupee NDF 1 Month off-SEF
INR EOM JUN	US Dollar/Indian Rupee NDF 1 Month off-SEF
INR EOM JUL	US Dollar/Indian Rupee NDF 1 Month off-SEF
INR EOM AUG	US Dollar/Indian Rupee NDF 1 Month off-SEF
INR EOM SEP	US Dollar/Indian Rupee NDF 1 Month off-SEF
INR EOM OCT	US Dollar/Indian Rupee NDF 1 Month off-SEF
INR EOM NOV	US Dollar/Indian Rupee NDF 1 Month off-SEF
INR EOM DEC	US Dollar/Indian Rupee NDF 1 Month off-SEF

Trading Schedule

The off-SEF/on-MTF NDFs will have a daily trading close, similar to the NEXS on-SEF/on-MTF instruments. All Good for Session (GFS) orders are eliminated at the close, as documented here. Currently, the off-SEF/off-MTF NDFs close weekly.

MiFID Short Code Identifiers

With this migration, CME Globex will validate MiFID short code identifiers for the new off-SEF/on-MTF instruments, hence all customers must ensure they are ready to submit these additional MiFID fields, which are not required for the off-SEF/off-MTF NDF pairs. Details on the use of Short Code Identifiers in iLink 3 are detailed in the Client Systems Wiki.

Post Trade Changes

The EBS Central Post Trade (CPT) API is designed to support trades on both regulated and non-regulated venues and will support all clients through the transition of FX NDFs from Off-MTF to On-MTF. Both the TOF and FIX4.4 APIs support clear identifiers for regulated and non-regulated venues.

There are no additional fields or API changes, but you will notice the inclusion of fields previously not populated in your messages for Off-MTF trades. The specific regulatory fields are detailed in the Client Systems Wiki.

Clients’ APIs must be configured for these fields. Please contact your Global Account Manager to confirm your GFID(s) are configured correctly to include or exclude the identifiers.

Client Reports

The CEOD200 report will be expanded to include both EBSSC-listed instruments and the new BEL off-SEF/on-MTF NDF instruments. The EBS MMA Performance Report will also be updated to include a new attribute, “ExchangeMIC”.

There is no impact to CEOD201 reports. All other EBS Reports that currently contain EBSSC-listed NDF data will contain the equivalent BEL NDF data with no change to the report format.

Monthly Transaction Invoice Billing

Following the EBS Market Off-SEF NDF migration to the new BEL MTF on September 12 2022, Transaction invoices will be sent to clients on a separate new invoice issued by BrokerTec Europe Limited. This will commence with the September 2022 invoice in early October 2022, covering all transactions for the full month of September 2022.

There are no changes in the brokerage fees for these NDF transactions. The entity name issuing the invoice will be updated from EBS Service Company Limited to BrokerTec Europe Limited. There will also be no changes to connectivity, access or market data invoices for the EBS NDF business.

Full details of the new invoicing company and remittance details will be sent to client billing departments with the August invoices. Fee schedules can also be found on EBS Regulatory Documents landing page.

There will be no impact to market data channels or order entry gateways. The current CME Globex Group Codes, product codes and product names will not change.

The off-SEF/on-MTF NDF instruments are currently available for customer testing in the CME Globex New Release environment and for functional certification via the new supplemental AutoCert+ test.  This test is mandatory for iLink 3 client systems that support NDFs and have not already certified for on-SEF/on-MTF NDFs. Client systems that have already certified for iLink 3 on-SEF/on-MTF NDFs, and client systems that do not support NDF trading, are not required to complete this test.

Clients interested in trading these off-SEF/on-MTF NDF instruments must complete all required onboarding, including disorderly market certification for algorithms and submission of Personal Identification information (“PII”) for manual and algo traders. Please contact your Global Account Manager directly with any questions.

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EBS MMA Performance Report Enrichment

Effective Sunday, September 11 (trade date Monday, September 12), the EBS MMA Performance Report (MMA300) will be enriched with a new attribute, “ExchangeMIC”. This field will clearly differentiate EBS Off-SEF/On-MTF NDFs (exchangeMIC=XEBS) from the On-SEF/On-MTF NDFs (exchangeMIC=NEXS).

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Post-Migration iCross Connectivity

EBS Market customers with iCross connectivity will continue to see their iCross port as active/live after the migration to CME Globex; however the legacy EBS Market 1.0 platform will not be available. Customers that used their iCross connection for the sole purpose of accessing EBS Market 1.0 may cancel/disconnect the associated Equinix cross-connects.

EBS Direct customers with iCross connectivity will continue to see their iCross port as active/live after the migration to CME Globex. EBS Direct customers that have turned up RNet service to access EBS Direct 2.0 may cancel/disconnect the associated Equinix cross-connects supporting the legacy iCross connectivity. However, EBS Direct customers that have not turned up RNet service will need to keep the cross-connects in place to be able to access EBS Direct  2.0 applications. EBS Direct 1.0 is no longer available.

EBS customers using iCross connectivity to access both EBS Market and EBS Direct over the same connection may cancel their legacy Equinix cross-connects only if they have turned up RNet service to access EBS Direct 2.0.

On October 15 iCross service will be decommissioned and more information will be available in future customer notices.

If you have any questions, please contact Global Account Management.

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SDR Reporting Requirements – CFTC Rule Re-Write

NEX SEF is working on implementing the necessary changes to its SDR reporting messages consistent with the CFTC Technical Specifications for December 5, 2022, the Compliance Date. As part of this undertaking, NEX SEF is closely working with DTCC, our SDR, on ensuring all required CFTC fields and values are accurately reflected in its Public Price Dissemination (“PPD”) messages to meet DTCC’s validation requirements in time for the Compliance Date.

Consistent with CFTC Technical Specifications and DTCC’s validation requirements, NEX SEF will transition on the Compliance Date from reporting a Unique Swap Identifier (“USI”) to reporting a UTI for newly executed transactions adhering to ISO Standardized guidelines (ISO 23897). Details of these changes can be found on the Client Systems Wiki where changes to the Central Post-Trade APIs highlight the pre and post implementation values.

The upcoming changes to the UTI should be low impact to the existing CPT APIs, however we encourage participant testing to validate the ingestion by their back-office systems to ensure accurate UTI adoption for continued and lifecycle data reporting to DTCC. New Release (NR) testing availability in will be announced as soon as possible in future EBS Market on CME Globex Notices.

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Reminder: Short Code Identifiers on CME Globex

To meet MiFID requirements, all EBS Market on-SEF and/or on-MTF NDF orders must contain accurate Short Codes registered to a client’s LEI, GFID and GUS. Clients trading in these markets must ensure their Short Codes (and corresponding natural person identifiers where applicable) are registered via the NEX Upload Facility (NUF). Clients are responsible for maintaining NUF Administrators whose role it is to ensure all Short Code information is accurate and registered to the correct entities and to update this information as needed. The EBS Upload Facility User Guide and NUF Registration Form are available online for your convenience.

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Reminder: Disorderly Market Testing for NEX MTF on CME Globex

Participants on NEX SEF, operated by NEX SEF Limited, are required to self-certify that their algorithms will avoid contributing to or creating disorderly trading conditions, as defined in the relevant Rulebooks. This self-certification is mandatory prior to the initial deployment of trading algorithms or trading strategies and prior to any substantial updates or changes.

NEX SEF participants must complete this self-certification prior to the launch of EBS Market On-SEF NDFs on CME Globex, even if the algorithm is self-certified for the current trading platform. Self-certification attestation will be available via the Request Center in the  CME Customer Center starting May 15. More information on the availability schedule will be available in further EBS Integration Notices.

To facilitate this self-certification for all NEX SEF clients, CME Group supports regularly scheduled simulated disorderly trading conditions in the CME Globex New Release environment where order entry messages will be injected at 35 messages per second (MPS) to create additional latency in the environment. The session schedule is:

• Thursdays: 5:00 a.m. – 6:00 a.m. GMT (23:00 p.m. – 0:00 a.m. CT on Wednesdays)
• Thursdays: 3:00 p.m. – 4:00 p.m. GMT (9:00 a.m. – 10:00 a.m. CT)

CME Group also supports the ability to inject erroneous orders and trades into the New Release environment.

Please note: These testing sessions, along with the self-certification in Request Center, are separate from the mandatory functionality certification required for all client API systems prior to production access to CME Globex. Functional certification is available now in the AutoCert+ tool.

Additional Resources:

• Details about accessing the test environment
• Details about Injecting erroneous orders in the New Release environment

For questions about the disorderly markets testing, please contact Certification Support for Electronic Trading (CSET) at 312 930 2322 in the US, +44 20 3379 3803 in Europe, or +65 6593 5593 in Asia.

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Reminder: FirmSoft

FirmSoft is a browser-based order management tool that provides real-time access to information on working and filled CME Globex orders and provides risk mitigation functionality through order cancellation by permissioned users.

FirmSoft functionality includes activity across EBS Workstation, proprietary, and third-party front-end systems. FirmSoft access is granted by a Front Office Admin Manager via User Administration.

Learn more on FirmSoft functionality and User Administration. For additional details about using FirmSoft, please visit the FirmSoft User Help.

Please contact Global Account Management for further information, demos of the functionality or access questions.

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Announcements and Additional Resources

Subscription Center for EBS Market on CME Globex Notice

Please be aware that customers can now subscribe to receive EBS Market on CME Globex Notices via the Subscription Center, a self-serve online resource for managing email communications from CME Group. The EBS Market on CME Globex Notices are currently sent weekly at 2 a.m. Central Time (CT) Thursday and include communications regarding the up-to-date details and actions required for clients to support the EBS Market on CME Globex.

Additional details about how to Subscribe to the EBS Market on CME Globex Notice are now available.

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To view previous versions of EBS Market Integration Notices, see the Advisory Notices page.