• CME Globex Notices: May 24, 2021

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20210524
      • Notice Date
      • 27 May 2021

    • Topics in this issue include:

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

      Critical System Updates

      CME Globex Performance Enhancements - Starting June 6

      Starting Sunday, June 6, CME Group will implement infrastructure and hardware upgrades to futures and options markets on the CME Globex platform. In internal testing, these enhancements improved performance on CME Globex more than 20% for both iLink 2 and iLink 3 order entry and MDP 3.0.

      MARKET SEGMENT DESCRIPTION MARKET SEGMENT ID PERFORMACE ENHANCEMENT DATE
      CME Globex Commodity Futures 60 June 6
      CBOT Globex Commodity Futures
      MGEX Globex Futures
      CME Globex FX Futures II 52 June 27
      CME Globex FX Options II
      DME Globex Options 56 June 27
      NYMEX Globex Crude & Crude Refined Options
      NYMEX Globex Nat Gas & other Non-Crude Energy Options
      NYMEX Globex Metals, Softs & Alternative Markets Options
      COMEX Globex Options
      CME Globex Equity Futures excluding ES 68 June 27
      CBOT Globex Equity Index Futures
      CME Globex Equity Options excluding ES        72 June 27
      CBOT Globex Equity Index Options
      NYMEX Globex Emissions Futures 78 June 27
      NYMEX Globex Nat Gas & other Non-Crude Energy Futures
      CME Globex Equity Options (ES) 54 July 11
      CME Globex Equity Options - Micro E-mini 
      CME Equity Futures 64 July 11
      CME Globex Commodity Futures 70 July 11
      CBOT Globex Commodity Futures
      MGEX Globex Futures
      CME Globex Interest Rate Futures 82 July 11
      CBOT Interest Rate Futures II 
      CME Globex FX Futures 88 July 11
      CME Globex FX Options
      CBOT Interest Rate Options 58 July 25
      CME Globex Commodity Options 60 July 25
      CBOT Globex Commodity Options
      MGEX Globex Options
      BMD Globex Futures 74 July 25
      BMD Globex Options
      DME Globex Futures 80 July 25
      NYMEX Globex Crude & Crude Refined Futurse
      CBOT Interest Rate Futures 84 July 25

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      Launch of AIR TRF Funding Values on CME Data Insights: Settlements and Valuations - June 6

      Effective Sunday, June 6 (for trade date Monday, June 7), CME Group will launch Adjusted Interest Rate (AIR) TRF Funding Values. The messages will be sent on the Data Insights: Settlements and Valuations channel id 251, via SBE template MDIncrementalRefreshSettle401. The Daily Financing Rate will be denoted as 269-MDEntryType=h and the Accrued Financing Rate will be denoted as 269-MDEntryType=i. The applicable trade date for the Values will be included in tag 5796-TradingReferenceDate.

      Tag FIX Name New Vaild Values Description

      269

      MDEntryType
      • h = Daily Financing Rate
      • i = Accrued Financing Rate

      Market Data Entry Type.

      731

      SettlPriceType
      • 00000000 = Preliminary
      • 00000001 = Final

      A Bitmap indicator which specifies whether these are the final or preliminary air Funding Status values for the specified business date. Bit 0: (least significant bit):0=Preliminary 1=Final

      The Funding Values will be sent according to the following approximate schedule:

      Value Sending Time (Central time) Tag 269-MDEntryType Tag 731-SettlPriceType
      Final Daily Funding Values for British Pound-denominated contracts 0430 h 00000001
      Final Accrued Funding Value for British Pound-denominated contracts 0430 i 00000001

       
      Final Daily Funding Values for USD-denominated contracts 0830 h 00000001
      Final Accrued Funding Value for USD-denominated contracts 0830 i 00000001
      Preliminary Daily Funding Value for GBP-denominated contracts 1045 h 00000000

       
      Preliminary Accrued Funding Value for British Pound-denominated contracts 1045 i 00000000

       
      Preliminary Daily Funding Values for USD-denominated contracts 1600
      1640 (republish)      		 h 00000000

       
      Preliminary Accrued Funding Value for USD-denominated contracts 1600
      1640 (republish)      		 h 00000000

       

      The AIR TRF Funding Values are currently available for customer testing in New Release.

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      Future Spreads Launching on CME Smart Stream on GCP JSON - June 6

      Effective Sunday, June 6 (trade date Monday, June 7), CME Smart Stream on Google Cloud Platform (GCP) JSON will launch support for future spreads trades. To support this change, a new CME MDP attributenamed “securityType” will be added with the values of either FUT_OUTRIGHT or FUT_SPREAD.

      Please Note: This update is for trades only, and will not impact book and statistic messages.

      Future spreads on CME Smart Stream on GCP JSON are currently available for customer testing in New Release.

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      CME FX Link Enhancements: New Zealand Dollar/US Dollar Spot FX Impact - June 27

      Effective Sunday, June 27 (trade date Monday, June 28), to align spreads trading between CME FX Futures and the OTC FX market for the New Zealand Dollar (NZD) Futures, CME Group will update the following features:

      • Change to tag 1151-Security Group
      • Differentiated tag 75-TradeDate and tag 64-SettleDate(Value date) roll schedules between the New Zealand Dollar futures and it’s untradeable OTC Spot FX leg instrument published in the Security Definition (35=d) message.
      CME FX Link Enhancements: New Zealand Dollar/US Dollar Spot FX Impact
      Product MDP 3.0: tag 6937-Asset Current iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 New iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      New Zealand Dollar/US Dollar Spot FX NZDUSD 02 (Zero-2) 10

      Additional information on Trade and Value Date processing is available on Client System Wiki.

      These changes will be available for customer testing in New Release on Monday, May 31.

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      Product Launches

      UpdateUpdate - Adjusted Interest Rate FTSE-100 Total Return Index Futures - June 6

      † Denotes update to the article

      Effective Sunday, June 6 (trade date Monday, June 7), pending completion of all regulatory review periods, Adjusted Interest Rate FTSE-100 Total Return Index futures †and its BTIC will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      The AIR TRF Funding Values for these instruments will be available in the CME Reference Data API and CME Data Insights: Settlements and Valuations.

       

      Adjusted Interest Rate FTSE-100 Total Return 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
      Adjusted Interest Rate FTSE-100 Total Return Index Futures AFR FL 318 N/A
      BTIC on Adjusted Interest Rate FTSE-100 Total Return Index Futures AFT FI 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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      Ethylene Futures - June 6

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

      New Ethylene Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      Mont Belvieu Ethylene EPC (OPIS PCW) Futures MBH ZZ 386
      Mont Belvieu Ethylene EPC (OPIS PCW) BALMO Futures MBJ ZZ 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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      Product Changes

      Renaming External Alias for SOFR 3 Month Strip Spreads  - This Week

      Effective this Sunday, May 30 (trade date Monday, May 31), the external alias for the  SOFR 3 Month Strip Spreads will be changed as follows:

      Renaming External Alias for SOFR 3 Month Strip Spreads
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current External Alias Format New External Alias Format
      SOFR 3 Month Futures SR3:SB  SS SR3:SB 2YH1-2YH3 SR3:SB 2Y H1-H3

      This change will be 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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      Listing Cycle Expansion for Cobalt Metal (Fastmarkets) Futures - June 6

      Effective Sunday, June 6 (trade date Monday, June 7), the listing cycle for the following Cobalt Metal (Fastmarkets) Futures will be expanded on CME Globex.

      Listing Cycle Expansion for Cobalt Metal (Fastmarkets) Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Listing Schedule New Listing Schedule
      Cobalt Metal (Fastmarkets) Futures COB CA Monthly contracts listed for the current year and the next calendar year. Monthly contracts listed for the current year and the next 2 calendar years.

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

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

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      Listing Japanese Power Strips and Spreads - June 6

      Effective Sunday, June 6 (trade date Monday, June 7), the Japanese Power Strips and spreads will be listed for all available contract months on CME Globex.

      Listing Japanese Power Strips and Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Tag 762- SecuritySubType
      Japanese Power (Day-Ahead) Tokyo Peak-Load Futures; JPT PW SP, SA, SB
      Japanese Power (Day-Ahead) Tokyo Base-Load Futures JBT PW SP, SA, SB
      Japanese Power (Day-Ahead) Kansai Peak-Load Futures JPK PW SP, SA, SB
      Japanese Power (Day-Ahead) Kansai Base-Load Futures JBK PW SP, SA, SB

      These spreads 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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      Listing Cycle Expansion for E-mini S&P 500 Futures and Options Products - June 6

      Effective Sunday, June 6 (trade date Monday, June 7), the listing cycle for the following E-mini S&P 500 Futures and Options will be expanded on CME Globex.

      Listing Cycle Expansion for E-mini S&P 500 Futures and Options Products
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Listing Schedule New Listing Schedule
      E-mini Standard and Poor's 500 Stock Price Index Futures ES ES Quarterly contracts (Mar, Jun, Sep, Dec) listed for 5 consecutive quarters Quarterly contracts (Mar, Jun, Sep, Dec) listed for 9 consecutive quarters and 3 additional Dec contracts
      BTIC on E-mini Standard and Poor's 500 Stock Price Index Futures EST SB Quarterly contracts (Mar, Jun, Sep, Dec) listed for 5 consecutive quarters Quarterly contracts (Mar, Jun, Sep, Dec) listed for 9 consecutive quarters and 3 additional Dec
      TACO on E-mini Standard and Poor's 500 Stock Price Index Futures ESQ 3T Quarterly contracts (Mar, Jun, Sep, Dec) listed for 5 consecutive quarters Quarterly contracts (Mar, Jun, Sep, Dec) listed for 9 consecutive quarters and 3 additional Dec contracts
      E-mini Standard and Poor's 500 Stock Price Index Options ES EW Quarterly contracts (Mar, Jun, Sep, Dec) listed for 4 consecutive quarters Quarterly contracts (Mar, Jun, Sep, Dec) listed for 9 consecutive quarters and 3 additional Dec contracts
      Weekly E-mini S&P 500 Stock Price Index Options (Week 3) EW3 EW 3 consecutive Week 3 contracts 9 consecutive Week 3 contracts

      These products 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 E-mini S&P 500 Futures and Options Products - June 6

      Effective Sunday, June 6 (trade date Monday, June 7), the strike price listing rule will be changed for the below E-mini S&P 500 Options products listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Change to Strike Price Listing for E-mini S&P 500 Futures and Options Products
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current New
      E-mini Standard and Poor's 500 Stock Price Index Options ES ES
      • 100 index point integer multiples, when listed:  +30% to -50% of the prior day’s settlement price on the underlying future contract
      • 50 index point integer multiples, when listed:  +20% to -40% of the prior day’s settlement price on the underlying future contract
      • 10 index point integer multiples, when the underlying future is the second closest contract:  +10% to -25% of the prior day’s settlement price on the underlying future contract
      • 5 index point integer multiples, 35 days prior to expiry (or 5 Weeks):  +5% to -15% of the prior day’s settlement price on the underlying future contract
      • 100 index point integer multiples, when listed:  +30% to -50% of the prior day’s settlement price on the underlying future contract
      • 50 index point integer multiples, 366 days prior to expiry:  +20% to -40% of the prior day’s settlement price on the underlying future contract
      • 10 index point integer multiples, 186 days prior to expiry:  +10% to -25% of the prior day’s settlement price on the underlying future contract
      • 5 index point integer multiples, 35 days prior to expiry (or 5 Weeks):  +5% to -15% of the prior day’s settlement price on the underlying future contract
      Weekly E-mini S&P 500 Stock Price Index Options (Week 3) EW3 EW
      • 100 index point integer multiples, when listed:  +30% to -50% of the prior day’s settlement price on the underlying future contract
      • 50 index point integer multiples, when listed:  +20% to -40% of the prior day’s settlement price on the underlying future contract
      • 10 index point integer multiples, when the underlying future is the second closest contract:  +10% to -25% of the prior day’s settlement price on the underlying future contract
      • 5 index point integer multiples, 35 days prior to expiry (or 5 Weeks):  +5% to -15% of the prior day’s settlement price on the underlying future contract
      • 100 index point integer multiples, when listed:  +30% to -50% of the prior day’s settlement price on the underlying future contract
      • 50 index point integer multiples, 366 days prior to expiry:  +20% to -40% of the prior day’s settlement price on the underlying future contract
      • 10 index point integer multiples, 186 days prior to expiry:  +10% to -25% of the prior day’s settlement price on the underlying future contract
      • 5 index point integer multiples, 35 days prior to expiry (or 5 Weeks):  +5% to -15% of the prior day’s settlement price on the underlying future contract
      End-of-Month E-mini S&P 500 Stock Price Index Options EW EW
      • 100 index point integer multiples, when listed:  +30% to -50% of the prior day’s settlement price on the underlying future contract
      • 50 index point integer multiples, when listed:  +20% to -40% of the prior day’s settlement price on the underlying future contract
      • 10 index point integer multiples, when the underlying future is the second closest contract:  +10% to -25% of the prior day’s settlement price on the underlying future contract
      • 5 index point integer multiples, 35 days prior to expiry (or 5 Weeks):  +5% to -15% of the prior day’s settlement price on the underlying future contract
      • 100 index point integer multiples, when listed:  +30% to -50% of the prior day’s settlement price on the underlying future contract
      • 50 index point integer multiples, when listed:  +20% to -40% of the prior day’s settlement price on the underlying future contract
      • 10 index point integer multiples, 186 days prior to expiry:  +10% to -25% of the prior day’s settlement price on the underlying future contract
      • 5 index point integer multiples, 35 days prior to expiry (or 5 Weeks):  +5% to -15% of the prior day’s settlement price on the underlying future contract

      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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      Change to Strike Price Listing for Crude Oil and Brent Crude Oil Weekly Options - June 27

      Effective Sunday, June 27 (trade date Monday, June 28), the strike price listing rule will be changed for Crude Oil and Brent Crude Oil Weekly Options and will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Change to Strike Price Listing for Crude Oil and Brent Crude Oil Weekly Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current New
      Crude Oil Weekly Option LO1-LO5 LO Minimum 20 strikes at $0.50 per barrel strike increment above and below the at-the-money strike then 10 strikes at $2.50 per barrel strike increment above and below the highest and lowest $0.50 per barrel increment strikes plus dynamic strikes at $0.50 per barrel strike increment. Minimum 20 strikes at $0.25 per barrel strike increment above and below the at-the-money strike, then 10 strikes at $0.50 per barrel strike increment on the nearest 0.50 interval above and below the highest and lowest $0.25 per barrel increment strikes, then 10 strikes at $2.50 per barrel strike increment on the nearest 2.50 interval above and below the highest and lowest $0.50 per barrel increment strikes plus dynamic strikes at $0.25 per barrel strike increment.
      Brent Crude Oil Weekly Option BW1-BW5 OT Minimum 20 strikes at $0.50 per barrel strike increment above and below the at-the-money strike then 10 strikes at $2.50 per barrel strike increment above and below the highest and lowest $0.50 per barrel increment strikes plus dynamic strikes at $0.50 per barrel strike increment. Minimum 20 strikes at $0.25 per barrel strike increment above and below the at-the-money strike, then 10 strikes at $0.50 per barrel strike increment on the nearest 0.50 interval above and below the highest and lowest $0.25 per barrel increment strikes, then 10 strikes at $2.50 per barrel strike increment on the nearest 2.50 interval above and below the highest and lowest $0.50 per barrel increment strikes plus dynamic strikes at $0.25 per barrel strike increment.

      These Crude Oil and Brent Crude Oil Weekly Options will be available for customer testing in New Release on Monday, June 21.

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

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      Events and Announcements

      NewNew - CME SPAN 2 Margin Methodology - Q4 2021

      CME Group is targeting the initial launch of SPAN 2 Margin Methodology in Q4 2021, starting with a subset of energy products. Any firm that currently uses the CME SPAN methodology and trades impacted products will need to implement one of the following services for computing CME SPAN 2 margin requirements:

      • CME Core – a CME Group hosted web application for Margin Calculation “CME CORE”
      • Margin API – a CME Group hosted margin calculation API
      • Deployable Margin Software – a CME Group java margin calculation library

      Please Note: A limited number of existing pre-trade execution margin calculation processes may continue to be supported.

      Firms using CME SPAN for pre-trade risk management can contact the Post Trade Services team for more information:

      US UK APAC
      +1 312 580 5353 +44 20 3379 3500 +65 6593 5599

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CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
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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