CME Globex Notices: January 18, 2021

Critical System Updates

UpdateUpdate - iLink 2 on MSGW Decommission - Migrate to iLink 3 Now

† Denotes update to the article

iLink 2 on MSGW deprecation will take place at the end of day Friday, February 26. Effective Sunday, February 28, all MSGW sessions still using iLink 2.x will be charged $1,000 per iLink session per week.  †CME Group recommends all MSGW customers certify for and migrate to iLink 3 by Friday, February 26.

Effective Sunday, March 28, iLink 2 on MSGW will be decommissioned and all MSGW sessions will support iLink 3 only. †Attempts to connect to MSGWs and establish a FIX session over iLink 2 following decommission will be terminated.

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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iLink 3 SBE Schema Update - March 7

To address recent changes to third-party SBE decoders, the previously announced iLink 3 SBE Schema Update to version 6 has been cancelled. The iLink 3 SBE schema will be updated to version 7 starting Sunday, March 7. CME FX Link Enhancements and EBS Market on CME Globex will launch in production on schema version 7. The overview of iLink 3 schema updates is now available.

Version 7 will include all enhancements from version 6 PLUS:

• Change the data type of OrdType enum from uInt8 to uInt8NULL
  • Remove “Null” enum value(0)
• Change the data type of TimeInForce enum from char to charNULL
  • Remove “Null” enum value(255)

Futures and Options on Futures - Production Rollout

Date	Messages from Client	Messages from CME Globex
Currently	V5	V5
March 7 through March 28: Phased launch	V5 and V7	V7
Sunday, May 16	V7 only	V7

Please Note: BrokerTec on CME Globex will remain on iLink v5.

The new version 7 schema will be available New Release for customer testing on Thursday, February 4.

To support the new iLink 3 schema rollout the CME SFTP site will be updated as follows:

New Release: /MSGW/NRCert/Templates
Schema Version	Current State	February 4
V5	ilinkbinaryPrev.xml	ilinkbinary_v5.xml
V6	ilinkbinary.xml	N/A
V7		ilinkbinary.xml
Production: /MSGW/Production/Templates
Schema Version	Current State	March 7
V5	ilinkbinary.xml	iLinkbinary_v5.xml
V7		ilinkbinary.xml

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UpdateUpdate - CME FX Link Enhancements - March 28

† Denotes update to the article

As a result of the new dates of iLink 3 schema update, the previously announced launch of the Phase 1 CME FX Link enhancements have been postponed to Sunday, March 28 (for trade date Monday, March 29).

With these enhancements, CME Group will provide the following transaction details on the iLink fills for the OTC Spot FX leg instruments:

CME FX Link Enhancements	Transaction Details	New Release Launch	Production Launch
Phase 1	Actual OTC Spot FX leg fill price Notional value for base currency Notional value for counter currency	Thursday, February 4	Sunday, March 28
Phase 2	Value Date	†Monday, March 15	Sunday, May 2

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

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UpdateUpdate -CME FX Link Enhancements: Drop Copy Impact - March 28

† Denotes update to the article

As a result of the new dates of iLink 3 schema update the previously announced launch of the Phase 1 CME FX Link enhancements for the Drop Copy service has been postponed to Sunday, March 28 (for trade date Monday, March 29).

With these enhancements, the CME Drop Copy message payload will reflect the following transaction details on the iLink fills for the OTC Spot FX leg instruments in the  encapsulated XML Non-Fix (tag 35-MsgType=n) Message.

CME FX Link Enhancements	Transaction Details	New Release Launch	Production Launch
Phase 1	Actual OTC Spot FX leg fill price Notional value for base currency Notional value for counter currency	Thursday, February 4	Sunday, March 28
Phase 2	Value Date	†Monday, March 15	Sunday, May 2

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).

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.

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Product Launches

Listing 10-Yr Treasury Note vs. Ultra 10-Yr U.S. Treasury Note Inter-Commodity Spread - February 7

Effective Sunday, February 7 (trade date Monday, February 8), 10-Yr Treasury Note vs. Ultra 10-Yr U.S. Treasury Note Implied Inter-Commodity (3:2) ratio spread will be listed for trading on CME Globex.

Listing 10-Yr Treasury Note vs. Ultra 10-Yr U.S. Treasury Note Inter-Commodity Spread
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	TAG 762-SECURITYSUBTYPE	Market Data Channel
10-Yr Treasury Note vs. Ultra 10-Yr U.S. Treasury Note (3:2)	TOX	IV	IV (Implied Inter-Commodity Spread)	344

These spreads will be available for customer testing in New Release on Monday, January 25.

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

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Variable Quantity Japanese Power Futures  - February 7

Effective Sunday, February 7 (trade date Monday, February 8), pending completion of all regulatory review periods, four new Variable Quantity Japanese Power futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Japanese Power Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Japanese Power (Day-Ahead) Tokyo Base-Load Futures	JBT	PW	386
Japanese Power (Day-Ahead) Tokyo Peak-Load Futures	JPT	PW	386
Japanese Power (Day-Ahead) Kansai Base-Load Futures	JBK	PW	386
Japanese Power (Day-Ahead) Kansai Peak-Load Futures	JPK	PW	386

These futures will be available for customer testing in New Release on Monday, January 25.

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

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Ether Futures - February 7

Effective Sunday, February 7 (trade date Monday, February 8), pending completion of all regulatory review periods, Ether futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Ether Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel	ITC Code
Ether Futures	ETH	EZ	318	N/A

These futures will be available for customer testing in New Release on Monday, January 25.

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

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Yen Denominated JCC and JKM Futures - February 7

Effective Sunday, February 7 (trade date Monday, February 8), pending completion of all regulatory review periods, the Japan Crude Cocktail (Detailed) Yen Denominated futures and the LNG Japan/Korea Marker (Platts) Yen Denominated futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Yen Denominated JCC and JKM Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Japan Crude Cocktail (Detailed) Yen Denominated Futures	JCY	GU	386
LNG Japan/Korea Marker (Platts) Yen Denominated Futures	JKY	GU	386

These futures will be available for customer testing in New Release on Monday, January 25.

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

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NewNew - Methanol CFR China Specific Origin (ICIS) Futures - February 21

Effective Sunday, February 21 (trade date Monday, February 22), pending completion of all regulatory review periods, Methanol CFR China Specific Origin (ICIS) Futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Methanol CFR China Specific Origin (ICIS) Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Methanol CFR China Specific Origin (ICIS) Futures	CMS	JR	386

The Methanol CFR China Specific Origin (ICIS) Futures will be available for customer testing in New Release on Monday, February 8.

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

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Product Changes

Changes to Minimum Price Increment for SONIA Futures - This Week

Effective this Sunday, January 24 (trade date Monday, January 25), pending completion of all regulatory review periods, CME Group will change tag 969-MinimumPriceIncrement for SONIA futures as follows.

Changes to Minimum Price Increment for SONIA Futures
Product	MDP 3.0: tag 6947-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	CURRENT TAG 969-MINPRICEINCREMENT	NEW TAG 969-MINPRICEINCREMENT
Quarterly IMM SONIA Futures	SON	S8	0.250000000 for front month 0.500000000 for subsequent months	0.250000000 All months
MPC SONIA Futures	MPC	S9	0.250000000 for front month 0.500000000 for subsequent months	0.250000000 All months

With this change all outright futures and spread contracts will trade in minimum price increments of 0.250000000 only.

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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Change to Strike Price Listing for Eurodollar Options and 3-Month SOFR Options - This Week

Effective this Sunday, January 24 (trade date Monday, January 25), the strike price listing rule will be changed for the Eurodollar options and 3-Month SOFR options complex, listed for trading on CME Globex, the CME trading floor, and for submission for clearing via CME ClearPort.

Change to Strike Price Listing for Eurodollar Options and 3-Month SOFR Options
Product	MDP 3.0: tag 6947-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Strike Price	New Strike Price
Eurodollar Options	GE	ZE	Strike prices for the first 6 option (4 serial and 2 quarterly) months will be listed in intervals of 6.25 basis points (0.0625 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. All other options (back 14 quarterlies) and Mid Curve Options 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 for the first 8 option (4 serial and 4 quarterly) months will be listed in intervals of 6.25 basis points (0.0625 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. All other options (back 12 quarterlies) 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.
Options on Three-Month SOFR Futures	SR3	JE
Eurodollar One-Year MC Options	GE0	E0	Strike prices will be listed in intervals of 12.5 basis points (0.125 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract.   Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract.	Strike prices for the first 6 option (4 serial and 2 quarterly) months will be listed in intervals of 6.25 basis points (0.0625 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. All other options (back 3 quarterlies) 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.
Eurodollar Two-Year MC Options	GE2	E2
One-Year Mid-Curve Options on Three-Month SOFR Futures	S0	J1
Two-Year Mid-Curve Options on Three-Month SOFR Futures	S2	J2
Eurodollar One-Year Midcurve Weekly Options	E01-E05	E0	Strike prices will be listed in intervals of 12.5 basis points (0.125 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract.	Strike prices will be listed in intervals of 6.25 basis points (0.0625 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract.
Eurodollar Two-Year Midcurve Weekly Options	EE1-EE5	E2
Weekly One-Year Mid-Curve Options on Three-Month SOFR Futures	S01-S05	J1
Weekly Two-Year Mid-Curve Options on Three-Month SOFR Futures	S21-S25	J2

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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Change to Strike Price Listing for Options on Great British Pound/U.S. Dollar (GBP/USD) Futures - January 31

Effective Sunday, January 31 (trade date Monday, February 1), the CME Group will make the following changes to Options on Great British Pound/U.S. Dollar (GBP/USD) futures on CME Globex:

• change the strike price listing rule
• change to the external instrument name format

Change to Strike Price Listing for Options on Great British Pound/U.S. Dollar (GBP/USD) Futures
Product	MDP 3.0: tag 6947-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Strike Price Listing Rule	New Strike Price Listing Rule
Options on Great British Pound/U.S. Dollar (GBP/USD) Futures (front month (Quarterly or Serial)	GBU	YB	+/- 10 strikes at 0.0050 interval plus an additional +/-5 strikes at 0.0100 interval	+/- 8 strikes at 0.0025 interval plus an additional +/-15 strikes at 0.0050 interval
Vol-Quoted Options on Great British Pound/U.S. Dollar (GBP/USD) Futures (front month (Quarterly or Serial)	VXB	B3	+/- 10 strikes at 0.0050 interval plus an additional +/-5 strikes at 0.0100 interval	+/- 8 strikes at 0.0025 interval plus an additional +/-15 strikes at 0.0050 interval
Weekly Options on Great British Pound/U.S. Dollar (GBP/USD) Futures (Monday)	MB1-MB5	YB	+/- 10 strikes at 0.0050 interval plus an additional +/-5 strikes at 0.0100 interval	+/- 8 strikes at 0.0025 interval plus an additional +/-15 strikes at 0.0050 interval
Weekly Options on Great British Pound/U.S. Dollar (GBP/USD) Futures (Wednesday)	WG1-WG5	YB	+/- 10 strikes at 0.0050 interval plus an additional +/-5 strikes at 0.0100 interval	+/- 8 strikes at 0.0025 interval plus an additional +/-15 strikes at 0.0050 interval
Weekly Options on Great British Pound/U.S. Dollar (GBP/USD) Futures (Friday)	1BP-5BP	YB	+/- 10 strikes at 0.0050 interval plus an additional +/-5 strikes at 0.0100 interval	+/- 8 strikes at 0.0025 interval plus an additional +/-15 strikes at 0.0050 interval
Weekly Vol-Quoted Options on Great British Pound/U.S. Dollar (GBP/USD) Futures (Wednesday)	VG1-VG5	B3	+/- 10 strikes at 0.0050 interval plus an additional +/-5 strikes at 0.0100 interval	+/- 8 strikes at 0.0025 interval plus an additional +/-15 strikes at 0.0050 interval
Weekly Vol-Quoted Options on Great British Pound/U.S. Dollar (GBP/USD) Futures (Friday)	VBA-VBE	B3	+/- 10 strikes at 0.0050 interval plus an additional +/-5 strikes at 0.0100 interval	+/- 8 strikes at 0.0025 interval plus an additional +/-15 strikes at 0.0050 interval

The external instrument name format on MDP 3.0 Security Definition (tag 35-MsgType=d) message in tag 55-Symbol and iLink tag 107-SecurityDesc Options on Great British Pound/U.S. Dollar (GBP/USD) futures will be changed. With this change, tag 202-StrikePrice strike price in MDP 3.0 will change to support the external name change.

CURRENT ILINK: TAG 107-SECURITYDESC MDP 3.0: TAG 55-SYMBOL	NEW ILINK: TAG 107-SECURITYDESC MDP 3.0: TAG 55-SYMBOL	CURRENT 202-STRIKEPRICE	NEW 202-STRIKEPRICE
Examples: GBUZ0 C1125 GBUZ0 C1127	Examples: GBUZ0 C11250 GBUZ0 C11275	Examples: 11250.000000000 11300.000000000	Examples: 11275.000000000 11325.000000000

These options 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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NewNew - Changes to Bitcoin Options – Resting Order Eliminations - March 7

Effective Sunday, March 7 (trade date Monday, March 8), CME Group will expand the strike price in the external instrument to display the full strike price for Bitcoin Options.

The external instrument name is provided in MDP 3.0 tag 55-Symbol and iLink tag 107-SecurityDesc. As a reminder, CME Group does not recommend parsing the external instrument name to determine instrument characteristics.

Please Note: tag 202-Strike Price on the MDP 3.0 Security Definition (tag 35-MsgType=d) message will not change.

Please Note: To facilitate this change, customers will be asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for these contracts, including any User- or Exchange-Defined Spreads, by the close on Friday, March 5. After 16:00 CT on Friday, March 5, any remaining GT orders on these markets will be removed by the CME Global Command Center (GCC).

Changes to Bitcoin Options – Resting Order Eliminations
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Strike PRice Example	Current External Instrument Name Format	New External Instrument Name Format
Bitcoin Options	BTC	B2	12700; 105000	BTCZ0 P1270; BTCZ0 P0500	BTCZ0 P12700; BTCZ0 P105000

Example:
BTCZ0 P12700 = Strike Price 12700
BTCZ0 P105000= Strike Price 105000

These changes will be available for customer testing in New Release on Monday February 8.

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

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NewNew - Change to Bursa Malaysia Derivatives (BMD) Crude Palm Kernel Oil Futures Contract (FPKO) - March 7

Effective Sunday, March 7 (trade date Monday, March 8), and pending final regulatory approval, Bursa Malaysia Derivatives (BMD) will make changes to the Crude Palm Kernel Oil Futures Contract (FPKO) as follows:

• Change to Trading Hours
• Change to Final Trading Day
• Change to Daily Price Limits

Changes to Crude Palm Kernel Oil Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Crude Palm Kernel Oil Futures Contract	FPKO	BK
Changes
	Current	New
Trading Hours	Second trading session: 1500 hours to 1805 hours (Malaysia time).	Second trading session: 1430 hours to 1800 hours (Malaysia time).
Final Trading Day	Trading in the delivery month ceases at 1205 hours (Malaysia time) on the Final Trading Day.	Trading in the delivery month ceases at 1200 hours (Malaysia time) on the Final Trading Day.
Daily Price Limits	With the exception of trades in the current delivery month, trades for future delivery of Crude Palm Kernel Oil in any month must not be made, during any 1 Business Day, at prices varying more than RM100.00 per metric ton above or below the settlement prices of the preceding Business Day (“the RM100.00 Limit”) except as provided below:   When the settlement prices for the first 3 quoted months (excluding the current month) at the closing for that day are at the RM100.00 Limit, the price limit will be expanded in the following manner: LIMIT AMOUNT 1st Day     RM100.00 2nd Day    RM150.00 3rd Day     RM200.00 Daily price limits will remain at RM200.00, when the preceding day's prices of all the 3 quoted months immediately following the current delivery month settle at limits of RM200.00. Despite paragraph (1) above, if on any Business Day the settlement prices for the first 3 quoted months (excluding the current month) are not at the specified limits, the price limit on the following Business Day will revert to the basic limit amount of RM100.00.	With the exception of trades in the current delivery month, trades for future delivery of Crude Palm Kernel Oil in any month, must not be made, during any 1 Business Day, at prices varying more than 10% above or below the settlement prices of the preceding Business Day (“the 10% Limit”) except as provided below:   When the 10% Limit is triggered (except for the current month), the Exchange will announce a 10-minute cooling off period (“the Cooling Off Period”) for Contracts of all contract months (except the current delivery month) during which trading may only take place within the 10% Limit. Following the Cooling Off Period, Contracts of all contract months will be specified as reserved for a period of 5 minutes, after which the price limit will be expanded to 15%. The prices traded for Contracts of all contract months (except the current month) must then not vary more than 15% above or below the settlement prices of the preceding Business Day (“the 15% Limit”). If the 10% Limit is triggered less than 30 minutes before the end of the first trading session, the 10% Limit will apply to Contracts of all contract months (except the current month) for the rest of the first trading session and the 15% Limit will apply to Contracts of all contract months (except the current month) during the second trading session. If the 10% Limit is triggered less than 30 minutes before the end of the second trading session, the 10% Limit will apply to Contracts of all contract months (except the current month) for the rest of the Business Day. For the purposes of paragraph 1, the 10% Limit will be considered triggered in the manner the Exchange may prescribe.

These changes will be available for customer testing in New Release on Monday, February 1.

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Events and Announcements

BrokerTec Markets on CME Globex  

BrokerTec EU launched on CME Globex on trade date Monday, January 18, 2021.  BrokerTec US will migrate on Monday, February 1, 2021.

• Please Note: there are two remaining Production Mock Trading Sessions:  Saturday, January 23, 2021 and Saturday, January 30, 2021
• The full release calendar is available on the BrokerTec Support Portal.

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