• CME Globex Notices: February 1, 2021

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20210201
      • Notice Date
      • 04 February 2021

    • 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 - Migrate to iLink 3 Now

      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 ilinkbinary_v6.xml
      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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      CME FX Link Enhancements - March 28

      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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      CME FX Link Enhancements: Drop Copy Impact - March 28

      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 - This Week

      Effective this 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 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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      Variable Quantity Japanese Power Futures  - This Week

      Effective this 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 are currently available for customer testing in New Release.

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

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      Ether Futures - This Week

      Effective this 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 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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      Yen Denominated JCC and JKM Futures - This Week

      Effective this 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 are currently available for customer testing in New Release.

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

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      Methanol CFR China Specific Origins (ICIS) Futures - February 21

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

      Methanol CFR China Specific †Origins (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 Origins (ICIS) Futures CMS JR 386

      The Methanol CFR China Specific Origins (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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      NewNew - CBL Global Emissions Offset Futures - February 28

      Effective Sunday, February 28 (trade date Monday, March 1), pending completion of all regulatory review periods, CBL Global Emissions Offset futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      CBL Global Emissions Offset Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Tag 996-UnitofMeasure Market Data Channel
      CBL Global Emissions Offset Futures GEO VX ENVOFST 380

      Please note, CBL Global Emissions Offset futures will feature a new value for tag 996-UnitofMeasure=ENVOFST (Environmental Offset).

      These CBL Global Emissions Offset futures will be available for customer testing in New Release on Monday, February 22.

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

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      Product Changes

      Change to Strike Price Listing for Options on Great British Pound/U.S. Dollar (GBP/USD) Futures – Resting Order Eliminations - February 21

      Effective Sunday, February 21 (trade date Monday, February 22), the following changes will be implemented 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
      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, February 19. After 16:00 CT on Friday, February 19, any remaining GT orders on these markets will be removed by the CME Global Command Center (GCC).
      Change to Strike Price Listing for Options on Great British Pound/U.S. Dollar (GBP/USD) Futures – Resting Order Eliminations
      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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      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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      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

      GLink Network Infrastructure Upgrade at Aurora Co-Location Facility 

      The GLink network infrastructure at the CME Group Co-Location Facility in Aurora, IL, for futures and options markets will be upgraded over several weekends in Q2 2021. The network upgrade will include the installation of new hardware equipment. As part of this upgrade, no changes are expected for spine and leaf architecture, customer cross-connects, nor for GLink demarcations in customer cabinets.

      A client impact assessment, including more information about customer timelines and details about the upgraded GLink architecture, is now available.

      Please contact your Global Account Manager for additional information.

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Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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