• CME Globex Notices: November 16, 2020

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20201116
      • Notice Date
      • 19 November 2020

    • Topics in this issue include:

    • For the latest roadmap of CME Group technology initiatives:
      See the Development Launch Schedule.

      Critical System Updates

      iLink 2 on MSGW Decommission - February 26, 2021

      To accommodate client requests, iLink 2 on MSGW deprecation has been extended to the end of day Friday, February 26, 2021. Effective Sunday, February 28, 2021, all MSGW sessions still using iLink 2.x will be charged $1,000 per iLink session per week.

      Effective Sunday, March 28, 2021, iLink 2 on MSGW will be decommissioned and all MSGW sessions will support iLink 3 only.

      Please contact your Global Account Manager for additional information.

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      Update on Order Routing and Front-End Audit Trail Requirements for iLink 3

      As noted in the CME Globex Notice on January 30, 2020, the required audit trail specifications in the Client Systems Wiki were amended in connection with the implementation of iLink 3.

      All customer systems must be certified for Audit Trail for iLink 3 prior to going to the production environment.

      For additional information, please review the Market Regulation Advisory Notice on order routing and front-end audit trail regulatory requirements.

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      UpdateUpdate - Removal of Korea Exchange (KRX) Markets on CME Globex - December 18

      † Denotes update to the article

      Effective close of business Friday, December 18—as announced by the Korea Exchange (KRX) KRX Derivatives Market Notice dated October 29—CME Group will remove all KRX markets from Globex.

      Effective Sunday, December 20 (trade date Monday, December 21), iLink order entry and MDP 3.0 market data for the Korea Exchange (KRX) will no longer be available via the CME Globex platform. As a result, the following MDP 3.0 market data group will be heart beating only in the New Release, Certification and Production environments as follows:.

      Market Data Channels
      Market Data Channel Description Market Data Channel Production Certification †New Release
      KRX Futures 450 Sunday, December 20 Sunday, December 20 †Thursday, December 3

      Information on the removal of MDP 3 channel 450 will be in future Globex Notices. 

      The config.xml files will be updated to reflect these changes upon the effective date.

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      iLink 3 SBE Schema Update - January 24, 2021

      Starting Sunday, January 24, 2021, CME Group will update the schema for iLink 3 to support the upcoming CME FX Link Enhancements and EBS initiatives on CME Globex.  The overview of iLink 3 schema updates is now available.

      In order to ease customer development efforts, the new SBE schema files will support Template Extension for iLink 3 massages sent from Client systems to CME Globex until the end of day Friday, March 26, 2021.  Client systems can send iLink 3 messages using the preceding version of a schema; however CME Globex will only send messages using the latest version of a schema.

      Effective Sunday, March 28, 2021, version 6 schema will be the only supported in production.  Client systems can only send version 6 messages.

      The new version 6 schema is currently available New Release for customer testing.

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      Phase 1 CME FX Link Enhancements - February 21, 2021

      Effective Sunday, February 21, 2021 (for trade date Monday, February 22, 2021), CME Group will launch the Phase 1 CME FX Link enhancements. CME FX Link is a spot FX basis spread on CME Globex, which provides unique new capital, margin and operational benefits for the FX marketplace by efficiently linking trading activity in FX Futures and OTC Spot FX via a single spread trade.

      With these enhancements, CME Globex will provide the actual OTC Spot FX leg fill price, notional value for base and counter currency on the iLink fills for the OTC Spot FX leg instruments. Currently, these transaction details are not available via CME Globex and can only be obtained via CME Straight Through Processing (STP).

      CME FX Link enhancements will apply to both iLink 2.x and iLink 3 customers. For iLink 3, these enhancements will be launched in production using the schema version 6. Additional information on the new FIX tags and messaging impacts for CME FX Link enhancements are available in the Client Impact Assessment.

      The CME FX Link enhancements are currently available for customer testing in New Release.

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      Phase 1 CME FX Link Enhancements: Drop Copy Impact - February 21, 2021

      Effective Sunday, February 21, 2021 (for trade date Monday, February 22, 2021), CME Group will launch the Phase 1 CME FX Link enhancements.  CME FX Link is a spot FX basis spread on CME Globex, which provides unique new capital, margin and operational benefits for the FX marketplace by efficiently linking trading activity in FX Futures and OTC Spot FX via a single spread trade.

      With these enhancements, the CME Drop Copy Service message payload will reflect the actual OTC Spot FX leg fill price, notional value for base and counter currency on the iLink fills for the OTC Spot FX leg instruments in the encapsulated XML Non-Fix (tag 35-MsgType=n) Message. Currently, these transaction details are not reflected in  the CME Drop Copy message payload and can only be obtained via CME Straight Through Processing (STP).

      To support the implementation FX Link, the acknowledgments and execution reports on the encoded payload messages sent on Drop Copy will reflect the following new tags and enumerations:

      • Tag 381 - GrossTradeAmt
      • Tag 1056 - CalcCcyLastQty

      Please note: Certification of client systems already leveraging Drop Copy Convenience Gateway (CGW) and Market Segment Gateway (MSGW) is not required.

      Additional information on the new FIX tags and messaging impacts for the CME Drop Copy payload message for CME FX Link enhancements are available in the Client Impact Assessment.

      The CME FX Link enhancements is currently available for customer testing in New Release.

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      New Functionality

      CME Benchmark Administration Premium - This Week

      This Sunday, November 22 (for trade date Monday, November 23), CME Group will launch CME Benchmark Administration Premium market data group to support CME Term SOFR Reference Rates.  CME Benchmark Administration Premium group will be available in the following connection options:  

      • Simple Binary Encoding (SBE) Multicast
      • CME Smart Stream on GCP SBE

      Please review the Client Impact Assessment for additional information and launch schedules.

      The Benchmark Administration Premium Market Data group is currently available for customer testing in New Release.

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      Product Launches

      Thailand Long Grain White Rice (Platts) Futures - This Week

      Effective this Sunday, November 22 (trade date Monday, November 23), pending completion of all regulatory review periods, Thailand Long Grain White Rice (Platts) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Thailand Long Grain White Rice (Platts) Futures

      Product

      MDP 3.0: tag 6937-Asset

      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group

      Market Data Channel

      Thailand Long Grain White Rice (Platts) Futures

      TRF

      LR

      340

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

      These contracts are listed with, and subject to, the rules and regulations of CBOT.

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      Nasdaq Veles California Water Index Futures - December 6

      Effective Sunday, December 6 (trade date Monday, December 7), pending completion of all regulatory review periods, Nasdaq Veles California Water Index futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Nasdaq Veles California Water Index Futures

      Product

      MDP 3.0: tag 6937-Asset

      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group

      Market Data Channel

      ITC Code

      Nasdaq Veles California Water Index Futures

      H2O

      WI

      318

      H2O

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

      These contracts are listed with, and subject to, the rules and regulations of CME.

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      Product Changes

      Change to Australian Dollar/U.S. Dollar (“AUD/USD”) Futures - This Week

      Effective this Sunday, November 22 (trade date Monday, November 23), the minimum price increment tag 969-MinPriceIncrement will be changed for the following:

      Changes to Australian Dollar/U.S. Dollar (“AUD/USD”) Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current tag 969 - MinPriceIncrement New tag 969 - MinPriceIncrement
      Australian Dollar/U.S. Dollar (“AUD/USD”) Futures 6A 6A 1.000000000 0.500000000

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

      This contract is listed with, and subject to, the rules and regulations of CME.

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      Changes to Russian Ruble/U.S. Dollar and South African Rand/U.S. Dollar Options: Resting Order Elimination - This Week

      Effective this Sunday, November 22 (trade date Monday, November 23), the following changes will be implemented to the Security Definition (tag 35-MsgType=d) message of the Russian Ruble/U.S. Dollar and South African Rand/U.S. Dollar options on CME Globex:

      • Tag 969-MinPriceIncrement
      • Tag 9787- DisplayFactor
      • Tag 9850-Mincabprice
      To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (“GTC”) and Good ‘Till Date (“GTD”) orders after the close on Friday, November 20. After 16:00 CT on Friday, November 20, all remaining GT orders for these options product will be cancelled or deleted by the CME Global Command Center (“GCC”).
      Changes to Russian Ruble/U.S. Dollar and South African Rand/U.S. Dollar Options: Resting Order Elimination
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current tag 969 - MinPriceIncrement New tag 969 - MinPriceIncrement CURRENT TAG 9787 -DISPLAYFACTOR NEW TAG 9787 -DISPLAYFACTOR CURRENT TAG 9850-MINCABPRICE NEW TAG 9850-MINCABPRICE
      Options on Russian Ruble/U.S. Dollar (RUB/USD) Futures 6R UO 5.000000000 2.000000000 N/A N/A 5.000000000 1.000000000
      Options on South African Rand/U.S. Dollar (ZAR/USD) Futures RO A4 25.000000000 10.000000000 0.000001000 0.000010000 12.500000000 5.000000000

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

      This contract is listed with, and subject to, the rules and regulations of CME.

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      Changes to E-mini FTSE China 50 Index Futures - This Week

      Effective this Sunday, November 22 (trade date Monday, November 23), pending completion of all regulatory review periods, E-mini FTSE China 50 Index Futures will be changed as follows:

      • Tag 969-MinimumPriceIncrement
      • Last Trade Date
      • Listing Schedule
      Changes to E-mini FTSE China 50 Index Futures
      Product MDP 3.0: Tag 6937-Asset iLink: Tag 55-Symbol
      MDP 3.0 Tag 1151-Security Group      		 Current Tag 969-MinPriceIncrement New Tag 969-MinPriceIncrement
      E-mini FTSE China 50 Index Futures

       

      		 FT5

       

      		 C5

       

      		 Futures:5.000000000
      Spreads: 1.000000000
      BTIC: 1.000000000

       

      		 Futures: 2.500000000
      Spreads: 0.500000000
      BTIC: 0.500000000
      Current Last Trade Date New Last Trade Date Current Listing Schedule New Listing Schedule

      Third Friday of the contract month

      Second to last Business Day of the contract month on the Hong Kong Exchange Securities Market calendar

      5 months in the March Quarterly Cycle

      4 months in the March Quarterly cycle and 2 nearest serial months

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

      These contracts are listed with, and subject to, the rules and regulations of CME.

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      Changes to Minimum Price Increment for FTSE Emerging Index Futures Calendar Spread - This Week

      Effective this Sunday, November 22 (trade date Monday, November 23), the minimum price increment tag 969-MinPriceIncrement will be changed for the E-mini FTSE Emerging Index futures BTIC and FTSE Emerging Index futures calendar spread as follows:

      Please Note: The outright minimum price increment will remain unchanged.

      Changes to Minimum Price Increment for FTSE Emerging Index Futures Calendar Spread
      Product MDP 3.0: Tag 6937-Asset iLink: Tag 55-Symbol
      MDP 3.0 Tag 1151-Security Group      		 Current Tag 969-MinPriceIncrement New Tag 969-MinPriceIncrement
      FTSE Emerging Index Futures EI EA 5.000000000 1.000000000

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

      These contracts are listed with, and subject to, the rules and regulations of CME.

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      Changes to Minimum Price Increment for Chicago Ethanol (Platts) Futures: Resting Order Elimination - This Week

      Effective this Sunday, November 22 (trade date Monday, November 23), the minimum price increment tag 969-MinPriceIncrement will be changed as follows:

      To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders after the close on Friday, November 20. After 16:00 CT on Friday, November 20, all remaining GT orders for this future will be cancelled or deleted by the CME Global Command Center (GCC).
      Changes to Minimum Price Increment for Chicago Ethanol (Platts) Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current tag 969 - MinPriceIncrement New tag 969 - MinPriceIncrement
      Chicago Ethanol (Platts) Futures CU EL 25.00000000 250.00000000

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

      This contract is listed with, and subject to, the rules and regulations of NYMEX.

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      NewNew - Change to Strike Price Listing for Options on Three-Month Eurodollar Futures and Options on Three-Month SOFR Futures - This Week

      This Sunday, November 22 (trade date Monday, November 23), the strike price listing rule will be changed for options on Three-Month Eurodollar futures and options on Three-Month SOFR futures, listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Change to Strike Price Listing for Options on Three-Month Eurodollar Futures and Options on Three-Month SOFR Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current
      Strike Price Listing      		 New
      Strike Price Listing
      Options on Three-Month Eurodollar Futures GE ZE Strike prices will be listed in intervals of 12.5 basis points (0.125) in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 25 basis points (0.25) in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 12.5 basis points (0.125) in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 25 basis points (0.25) in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price. For the nearest six (6) contract months to expiration, strike prices will be listed in intervals of 6.25 basis points in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price.

      Options on Three-Month SOFR Futures

      		 SR3 JE Strike prices will be listed in intervals of 12.5 basis points (0.125) in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 25 basis points (0.25) in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 12.5 basis points (0.125) in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 25 basis points (0.25) in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price. For the nearest six (6) contract months to expiration, strike prices will be listed in intervals of 6.25 basis points in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price.

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

      These contracts are listed with, and subject to, the rules and regulations of CME.

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      Changes to Minimum Price Increment and Spread Type for Palladium Futures: Resting Order Elimination - December 6

      Effective Sunday, December 6 (trade date Monday, December 7), pending completion of all regulatory review periods, Palladium futures will be changed as follows:

      • Tag 969-MinimumPriceIncrement
      • Tag 762-SecuritySubType
      To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (“GTC”) and Good ‘Till Date (“GTD”) orders after the close on Friday, December 4. After 16:00 CT on Friday, December 4, all remaining GT orders for this futures product will be cancelled or deleted by the CME Global Command Center (“GCC”).
      Changes to Minimum Price Increment and Spread Type for Palladium Futures
      Product MDP 3.0: Tag 6937-Asset iLink: Tag 55-Symbol
      MDP 3.0 Tag 1151-Security Group      		 Current Tag 969-MinPriceIncrement New Tag 969-MinPriceIncrement Current Tag 762-SecuritySubType New 762-SecuritySubType
      Palladium Futures PA PD 10.000000000 50.000000000 SP RT
      Micro Palladium Futures PAM PD 10.000000000 50.000000000 SP RT

      These changes will be available for customer testing in New Release on Monday, November 23.

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.

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      Changes to Non-Reviewable Ranges for E-mini S&P 500 ESG Index Futures - December 6

      Effective Sunday, December 6 (trade date Monday, December 7), the Non-Reviewable Ranges will be modified for the E-mini S&P 500 ESG Index futures.

      Changes to Non-Reviewable Ranges for E-mini S&P 500 ESG Index Futures
      Product MDP 3.0: Tag 6937-Asset iLink: Tag 55-Symbol
      MDP 3.0 Tag 1151-Security Group      		 Current
      Non-Reviewable Range: Outrights      		 New
      Non-Reviewable Range: Outrights      		 Current
      Non-Reviewable Range: Spreads      		 New
      Non-Reviewable Range: Spreads
      E-mini S&P 500 ESG Index Futures ESG S4 600 200 150 50

      These futures will be available for customer testing in New Release on Monday, November 23.

      These contracts are listed with, and subject to, the rules and regulations of CME.

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      Amending MAC SOFR Swap Futures Year Format - December 6

      Effective Sunday, December 6 (trade date Monday, December 7), the MAC SOFR Swap futures year format will be amended from two-digit year to one-digit year.

      Amending MAC SOFR Swap Futures Year Format
      Product iLink: tag 1151-Security
      Group MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current MDP 3.0 tag 55 - Symbol New MDP 3.0 tag 55 - Symbol

      2-Year MAC SOFR Swap Futures

      T1S

      SJ

      T1SH21

      T1SH1

      5-Year MAC SOFR Swap Futures

      F1S

      SF

      F1SH21

      F1SH1

      7-Year MAC SOFR Swap Futures

      S1S

      S7

      S1SH21

      S1SH1

      10-Year MAC SOFR Swap Futures

      N1S

      SN

      N1SH21

      N1SH1

      20-Year MAC SOFR Swap Futures

      E1S

      S2

      E1SH21

      E1SH1

      30-Year MAC SOFR Swap Futures

      B1S

      SM

      B1SH21

      B1SH1

      These changes are currently available in new release for customer testing.

      These contracts are listed with, and subject to, the rules and regulations of CBOT.

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      Mini FTSE Bursa Malaysia Mid 70 Index Futures Reactivation - December 13

      Effective Sunday, December 13 (trade date Monday, December 14), subject to receipt of regulatory approval prior to such date, the previously suspended Mini FTSE Bursa Malaysia Mid 70 Index futures and spreads will be made available for trading on CME Globex. With this reactivation, the following changes will be made to the minimum price increment tag 969-MinPriceIncrement and unit of measure quantity 1147- UnitOfMeasureQty.

      Please Note: The Mini FTSE Bursa Malaysia Mid 70 Index futures and spreads were previously suspended from trading in March 2020.

      Mini FTSE Bursa Malaysia Mid 70 Index Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Tag 969 - MinPriceIncrement New Tag 969 - MinPriceIncrement Current Tag 1147 - UnitofmeasureQty New Tag 1147 - UnitofmeasureQty
      Mini FTSE Bursa Malaysia Mid 70 Index Futures FM70 BS 1.000000000 5.000000000 2.000000000 4.000000000

      These changes will be available for customer testing in New Release on Monday, November 16.

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      UpdateUpdate - Removal of Korea Exchange (KRX) Markets on CME Globex - December 18

      † Denotes update to the article

      Effective close of business Friday, December 18—as announced by the Korea Exchange (KRX) KRX Derivatives Market Notice dated October 29—CME Group will remove all KRX markets from Globex.

      Effective Sunday, December 20 (trade date Monday, December 21), iLink order entry and MDP 3.0 market data for the Korea Exchange (KRX) will no longer be available via the CME Globex platform. As a result, the following MDP 3.0 market data group will be heart beating only in the New Release, Certification and Production environments as follows:.

      Market Data Channels
      Market Data Channel Description Market Data Channel Production Certification †New Release
      KRX Futures 450 Sunday, December 20 Sunday, December 20 †Thursday, December 3

      Information on New Release and the removal of MDP 3 channel 450 will be in future Globex Notices. 

      The config.xml files will be updated to reflect these changes upon the effective date.

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      Events and Announcements

      BrokerTec Markets on CME Globex  

      To allow additional time for client readiness in the current environment, CME Group is moving the migration dates of BrokerTec to CME Globex.

      • BrokerTec Europe will migrate on Monday, January 18, 2021
      • BrokerTec US will migrate on Monday, February 1, 2021

      For comprehensive information on the BrokerTec migration, please contact your Global Account Manager.

      All APIs for BrokerTec on CME Globex are now available in New Release for client testing. More information about the APIs, onboarding and connectivity options is available on the BrokerTec Support Portal.

      • To access the BrokerTec Support Portal you must be an existing customer or vendor with a signed Non-Disclosure Agreement (NDA) in place with BrokerTec.

      Client systems must certify for all applicable APIs before prior to participating in any mock trading session. The AutoCert+ test suites are now available for client system certification.

      BrokerTec Integration Timeline

      The full release calendar is available on the BrokerTec Support Portal.

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