EBS Market on CME Globex Notice: November 16, 2023

Topics in this issue include:

• Critical Information
  • CME Globex Performance Enhancement for EBS Market - This Week 
  • EBS Conditional Price Increments - December 3 
  • Reducing Minimum Trade Volume on EBS Market AUD/USD on CME Globex - December 3 
  • EBS Algorithmic Trading Systems Annual Recertification - December 31 New
  • On-SEF NDF Tailored Order Books Launch - January 7, 2024 
  • Reduced Minimum Quote Life (MQL) for ON and OFF SEF Asian 1M NDFs - January 7, 2024 
  • Reduced Minimum Quote Life (MQL) for Select FX SPOT Products - January 7, 2024 
  • EBS Spot Market Data Channel Enhancements - January 7, 2024 
  • EBS NDF Market Data Channel Enhancements - January 7, 2024 
  • Upcoming Regulatory Reporting Changes - Implementation of Unique Product Identifier (UPI) and Report Tracking Number (RTN) - January 29, 2024 
• Announcements and Additional Resources
  • CME STP for EBS Trades and the Decommission of CPT - December 31, 2024

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

Critical System Information

CME Globex Performance Enhancement for EBS Market 

Effective this Sunday, November 19 (trade date Monday, November 20), CME Globex will implement internal changes to EBS Market on CME Globex.

These changes will have no functional or messaging impacts to client gateways. In internal testing, these changes improved performance on CME Globex around 10%. 

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EBS Conditional Price Increments

Starting Sunday, December 3 (trade date Monday, December 4), EBS Market on CME Globex will introduce the new Conditional Price Increments (CPI) functionality for select Spot instruments.  CPI enables submission of  “sub-pip” prices in applicable EBS products subject to pre-defined conditions and requirements being satisfied as orders arrive at the matching engine.

Orders using the CPI sub-pip price increments may be subject to a different Minimum Quote Life (MQL) duration which is defined in the new tag 37739-AltMinQuoteLfe in the MDP 3.0 Security Definition message. More details on the CPI functionality are now available on Client Impact Document.

The EBS CPI will be available for the following EBS products:

The new CPI for products subject to this change are currenlty  available for customer testing in New Release.     

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Reducing Minimum Trade Volume on EBS Market AUD/USD on CME Globex

Effective Sunday, December 3 (trade date Monday, December 4), the minimum trade volume published in FIX tag 562-MinTradeVol in the Security Definition (tag 35=d) message will be reduced for the following EBS Market FX Spot contracts on CME Globex.

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

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New - EBS Algorithmic Trading Systems Annual Recertification

Participants of the EBS MTF, EBS UK MTF and the NEX SEF MTF are required to self-certify annually that the algorithms they deploy have been tested to avoid contributing to or creating disorderly trading conditions, as well as explain the means used for that testing. Testing must have been performed prior to the initial deployment of the algorithm or prior to any substantial update or change of trading algorithm or trading strategy. The EBS MTF, EBS UK MTF and NEX SEF MTF each require their participants to complete this form on an annual basis. If you have not completed re-certification, please do so by Sunday, December 31.

To complete the self-certification process, EBS Front Office Managers must review and confirm all Algorithmic Trading systems registered in the CME Customer Center via Request Center > EBS Requests > Algorithmic Trading, then update the Certification Date > and attach the updated EBS Algo Certification Form  for all registered Algos or manually enter the Algo information to generate a EBS Algo Certification Form.

The EBS MTF, EBS UK MTF and the NEX SEF MTF are operated by CME Amsterdam B.V., BrokerTec Europe Limited and NEX SEF Limited respectively.

For more information on completing the Annual Algorithmic System Certification and managing Algos, please refer to the CME Customer Center User Help.

For support and questions regarding functionality, please contact Global Account Management.

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On-SEF NDF Tailored Order Books Launch

Effective Sunday, January 7, 2024 (trade date Monday, January 8), pending the completion of all regulatory review periods, On-SEF NDF Tailored Order Books capability will be made available by NEX SEF Limited on CME Globex. 

Please review the Client Impact Assessment for full technical details and launch schedule. 

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Reduced Minimum Quote Life (MQL) for ON and OFF SEF Asian 1M NDFs

Effective Sunday, January 7, 2024 (trade date Monday, January 8), the Minimum Quote Life (MQL) for the following ON and OFF SEF products traded on EBS Market on CME Globex via the legal entities NEX SEF (ON SEF) and EBS UK MTF (OFF SEF) will be reduced to 100 milliseconds. Currently MQL is set to 500 milliseconds. 

Additionally, effective June 3, 2024, the MQL for these products will be further reduced to 50 milliseconds.

Minimum Quote Life (MQL) is an instrument attribute reflected as minQuoteLife on the CME Reference Data API and in FIX tag 37731-MinQuoteLife in the  MDP 3.0 Security Definition (tag 35-MsgType=d) message.

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

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Reduced Minimum Quote Life (MQL) for Select FX SPOT Products 

Effective Sunday, January 7, 2024 (trade date Monday, January 8), the Minimum Quote Life (MQL) for the following Spot products traded on EBS Market on CME Globex will be reduced to 5 milliseconds. Currently MQL is set to 20 milliseconds.

Minimum Quote Life (MQL) is an instrument attribute reflected as minQuoteLife on the CME Reference Data API and in FIX tag 37731-MinQuoteLife in the  MDP 3.0 Security Definition (tag 35-MsgType=d) message.

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

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EBS Spot Market Data Channel Enhancements

Effective Sunday, January 7, 2024 (trade date Monday, January 8), CME Globex will launch new EBS Ultra Spot Market Data channels and reduce conflation intervals for existing credit screened market data channels.

Please review the Client Impact Assessment for full technical details and launch schedule.

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EBS NDF Market Data Channel Enhancements

Beginning Sunday, January 7, 2024  (trade date Monday, January 8), CME Globex will launch new EBS Ultra NDF Market Data channels and reduce conflation intervals for existing NDF credit screened market data channels. 

Additionally, effective June 3, 2024, the conflation interval for the new Ultra channels will be further reduced.

Please review the Client Impact Assessment for full technical details and launch schedule.

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Upcoming Regulatory Reporting Changes - Implementation of Unique Product Identifier (UPI) and Report Tracking Number (RTN)

In response to ongoing regulatory reporting harmonization across different jurisdictions, CME Group is committed to supporting EBS FX trading venue customers in meeting their regulatory obligations in the regions from which they operate. We are currently looking to meet two key compliance dates:

• CFTC re-write Phase II - January 29, 2024
• European Markets Infrastructure Regulation (EMIR) Refit - April 29, 2024

Both initiatives introduce the Unique Product Identifier (UPI) which sits above the ISIN, an existing identifier already provider to customers trading on NEX SEF MTF (operated by NEX SEF Limited) and the EBS UK MTF (operated by BrokerTec Europe Limited). The implementation of UPI by EBS will be no later than Monday, January 29, 2024.

CME Group for EBS Market venues will to provide a Report Tracking Number (RTN) for all exchange traded derivatives (including OTC) to support clients with EMIR reporting obligation.

UPI is currently available for customer testing in New Release.. Additonal information on the  details of the updates available on the Client Systems Wiki.

All customers trading FX NDFs on the NEX SEF MTF and EBS UK MTF are encouraged to engage their internal compliance and regulatory teams for additional changes as a result of the regulatory reporting updates to ensure reporting accuracy ahead of the compliance dates.

Please contact the Global Account Management or Cash Markets Reg Product Team to raise any questions regarding the upcoming regulatory changes.

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Announcements and Additional Resources

CME STP for EBS Trades and the Decommission of CPT

As announced during the CME Globex migration, Central Post Trade (CPT) for EBS trades will be decommissioned starting in 2024. CPT TOF will be decommissioned on December 31, 2024, with CPT FIX decommission following shortly thereafter.

EBS trades are now available on CME STP and CME STP FIX, a unified post-trade solution for EBS Markets on CME Globex, EBS Direct, BrokerTec on CME Globex, BrokerTec Stream, and CME Group futures and options venues.

All clients are encouraged to start planning their migration now to ensure no interruption of service upon the CPT decommission, and to access to new products and features which will only be supported in CME STP.

The following resources are now available:

• Message Specifications for CME STP for EBS FX Markets
• Business specifications for other Markets and Venues and Core specifications at Post Trade Services
• Migration Guide for CPT TOF to CME STP

A migration guide for CPT FIX to CME STP will be announced in future EBS Market on CME Globex notices.

The Global Account Management team will continue working with all TOF customers to discuss the options available and how best to manage the migration to CME STP.

Testing and functional certification in the New Release environment will be required prior to client’s production migration. CME STP for EBS FX Markets is now available for customer testing in New Release.

Further details will be provided in future announcements.

Please contact Global Account Management with any questions regarding this migration.

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