• CME Globex Notices: August 23, 2021

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20210823
      • Notice Date
      • 26 August 2021

    • Topics in this issue include:

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

      Critical System Updates

      iLink 3 FIXP Messaging Enhancements - September 26

      Effective Sunday, September 26  (trade date Monday, September 27), CME Group will implement enhancements to iLink 3 FIXP messages to be a more consistent customer experience. With this change, any error conditions for Negotiate and Establish with invalid UUID and/or NextSeqNo will lead to the FIXP session being terminated. Currently, we reject FIXP messages in some scenarios and terminate sessions in other scenarios.

      These enhancements will be reflected on the FIXP messages as follows:

      iLink 3 FIXP Messaging Enhancements
      Request from Client System to CME Globex Response from CME Globex to Client System
      FIXP Message Error Conditions Current New
      Negotiate Missing UUID Negotiation Reject Terminate
      UUID is not greater than the UUID used in the last successful Negotiate/Establish message Negotiation Reject Terminate
      Establish Missing UUID Establishment Reject Terminate
      UUID does not match with the UUID used in the previous Negotiate message Establishment Reject Terminate
      Missing NextSeqNo Establishment Reject Terminate

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

      ILINK 3 FIXP MESSAGING ENHANCEMENTS TIMELINE
      MARKET SEGMENT ID MARKET SEGMENT DESCRIPTION PRODUCTION LAUNCH
      76 NYMEX Metals, Softs and Alternative Markets Futures; COMEX Futures Sunday, September 26, 2021
      12
      50
      60
      70
      		 Order Entry Service Gateway
      CME Interest Rate Options
      CME, CBOT and MGEX Commodity Options
      CME, CBOT and MGEX Commodity Futures      		 Sunday, October 3, 2021
      52
      54
      56

      58
      64
      68
      72
      74
      78
      80
      82
      84
      88
      		 CME FX Futures and Options II
      CME Equity Options - S&P Option
      NYMEX Emissions Options; NYMEX Energy, Metals, Softs and Alternative Market Options; COMEX Options; DME Options
      CBOT Interest Rate Options
      CME Equity Futures – E-mini S&P
      CME Equity Futures II; CBOT Equity Futures
      CBOT and CME Equity Options; excluding S&P
      BMD Futures and Options; NYMEX SEF
      NYMEX Emissions and Non-Crude Energy Futures
      DME Futures; NYMEX Crude and Crude Refined Energy Futures
      CME Interest Rate Futures
      CBOT Interest Rate Futures
      CME FX Futures and Options
      		 Sunday, October 17, 2021

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      TACO and BTIC Amended Trading Schedule - September 26

      Effective Sunday, September 26 (trade date Monday, September 27), and pending all relevant CFTC regulatory review periods, the Basis Trade at Cash Open (“TACO”) and Basis Trade at Index Close (“BTIC”) will open for Monday’s trade date on the previous Friday afternoon.

      With this change and for the first time, CME Globex will support trading for a trade date over a weekend. The trade date for these products will not roll over on the weekend. This change will impact iLink 2 and iLink 3 order entry, MDP 3 market data, and CME STP and CME STP FIX.

      Please review the Client Impact Assessment for information on functionality and messaging impacts.

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

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      Bursa Malaysia Derivatives (BMD) Night Trading Session  - December 2021

      In December 2021 and pending final regulatory approval, Bursa Malaysia Derivatives (BMD) will add a night trading session for all active products on CME Globex. Due to the time difference between Malaysian time and Central time, the night trading session activities will begin the business day prior to actual trade date in Malaysian time. The new night trading session will be open for trading Monday - Thursday.

      There will be no Friday night trading session. There is no impact to the current Monday - Friday day trading sessions.

      New Night Trading Session
      Product

      NEW
      Monday - Thursday Night Trading Session
      Night Session Trading Hours 21:00:00 hours to 23:30:00 hours (Malaysia time)

      Example of Monday-Thursday Trading Schedule

      • Trades executed during Monday night trading session will have a Tuesday trade date
      • Trades executed during Tuesday night trading session will have a Wednesday trade date
      • Trades executed during Wednesday night trading session will have a Thursday trade date
      • Trades executed during Thursday night trading session will have a Friday trade date
      • Friday night trading session is not supported

      Example of a Night Trading Session
      This example shows the night trading session market phases using a Monday, August 9, 2021, night trading session, with trades executed for a Tuesday, August 10, 2021, trade date.

      Monday Night Trading Session with a Tuesday Trade Date
      Night Session Trading Market State Malaysian Time (MYT)
      Pre-Open 20:45:00
      No-cancel 20:59:30
      Open 21:00:00
      Pause 23:30:00

       

      Products for Night Trading Session
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Crude Palm Oil Futures FCPO BC
      FTSE Kuala Lumpur Composite Index Futures FKLI BE
      Gold Futures FGLD BG
      USD RBD Palm Olein futures  FPOL BL
      MINI FTSE BURSE MALAYSIA MID 70 IDX FM70 BS
      Crude Palm Oil Options OCPO BP (UDS: BZ)
      FTSE Kuala Lumpur Composite Index Options OKLI BO (UDS: BU)
      FUPO BMD CRUDE PALM OIL FUPO BA
      Option on USD RBD Palm Olein Futures OPOL B8
      CRUDE PALM KERNEL OIL FUTURES FPKO BK
      BMD Tin Futures FTIN BN
      East Malaysia Crude Palm Oil Futures FEPO BR
      3 Month Kuala Lumpur Interbank Offered Rate Futures FKB3 BT

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

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      Product Launches

      NewNew - Petrol Intraday Index on Benchmark Administration Premium - September 27

      Effective Monday, September 27, CME Group will launch Petroleum Intraday Index on Benchmark Administration Premium MDP.  The Intraday Index will be sent every 15 minutes. 

      The messages for this index will be sent on the Benchmark Administration Premium Simple Binary Encoding (SBE) Multicast channel ID 261 via SBE template MDIncrementalRefreshSettle401. The Petroleum Intraday Index will be denoted with 731-SettlPriceType with a bit zero value of 0.

      The Intraday Index will include the following values:

      Petrol Intraday Index on Benchmark Administration Premium
      TAG FIX NAME NEW VALID VALUES DESCRIPTION
      269 MDEntryType 3 = Index Value Indicates the type of price
      37500 ClearingProductCode CVX = Petroleum Index Clearing Product Code
      167 SecurityType INDEX = Index Product Identifies the type of instrument
      731 SettlPriceType 00000000 – Intraday Index Bitmap field of eight Boolean type indicators representing settlement price type: Bit 0: (least significant bit):
         1=Final
         0=I

      Additional product and instrument reference information can be obtained via Reference Data API.

      The Petroleum Index will be available for customer testing in New Release on Wednesday, September 15.

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      Bursa Malaysia Derivatives (BMD) East Malaysia Crude Palm Oil Futures - October 3

      Effective Sunday, October 3 (trade date Monday, October 4), and pending final regulatory approval, Bursa Malaysia Derivatives (BMD)’s East Malaysia Crude Palm Oil futures contract and spreads will be made available for trading on CME Globex.

      Bursa Malaysia Derivatives (BMD) East Malaysia Crude Palm Oil Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      East Malaysia Crude Palm Oil Futures FEPO BR 430

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

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

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      Fixed Price Ratio Inter-Commodity Futures Spread - October 3

      Effective Sunday, October 3 (trade date Monday, October 4), a new exchange-defined Fixed Price Ratio Inter-Commodity futures spreads will be made available for trading on CME Globex. The new spread will utilize a new strategy type (AE).

      The AE spread is the simultaneous purchase(sale) of two energy contracts of different leg quantity ratios where the spread will trade at a fixed price ratio of 1:1. The AE spread will allow customers to trade two energy contracts of varying leg ratios in a single package.

      Please review the client impact assessment for detailed spread construction and pricing examples.

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

      The spread is currently available for customer testing in New Release.

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      South American Soybean/CBOT Soybean Inter-Commodity Futures Spread - October 3

      Effective Sunday, October 3 (trade date Monday, October 4), a new exchange-defined South American Soybean/CBOT Soybean Inter-Commodity futures spread will be made available for trading on CME Globex. This new spread will utilize a new strategy type (BT). 

      The BT spread is the simultaneous purchase (sale) of a South American FOB Santos Soybeans Financially Settled (Platts) futures (SAS) and a CBOT Soybean futures (ZS) contract. The BT strategy type will allow customers to trade between the South American Soybean and benchmark CBOT Soybean contract in a single package.

      Please review the client impact assessment for detailed spread construction and pricing examples.

      The spread is 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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      Product Changes

      Listing Cycle Expansion for Cobalt Metal (Fastmarkets) Futures - September 12

      Effective Sunday, September 12 (trade date Monday, September 13), 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 2 calendar years. Monthly contracts listed for the current year and the next 3 calendar years.

      These changes will be available for customer testing in New Release on Monday, August 30.

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

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      Changes to Monthly and Weeklies Options on Brazilian Real/U.S. Dollar Futures - September 12

      Effective Sunday, September 12 (trade date Monday, September 13), the following changes will be implemented for Options on Brazilian Real/U.S. Dollar (BRL/USD) futures:

      • Reduce minimum price increment tag 969-MinPriceIncrement
      • Reduce strike increment
      Changes to Options on Brazilian Real/U.S. Dollar 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 Strike Increment New Strike Increment
      Monthly and Weeklies Options on Brazilian Real/U.S. Dollar (BRL/USD) Futures BR (Monthly)

      1R-5R (Weeklies)      		 OR 0.500000000 0.100000000 0.00500 0.00100

      These changes will be available for customer testing in New Release on Monday, August 30.

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      NewNew - Amendments to Price Limit Calculation and Trading Halt Procedures for Select Equity Products - September 19

      Effective Sunday, September 19 (trade date Monday, September 20), and pending all relevant CFTC regulatory review periods, the following changes will be implemented for these products:

      • the price limits procedure will be amended from the current quarterly calculation in March, June, September, and December to a daily calculation with the 8%, 12%, and 16% offsets
      • in the event of a trading halt, rounding conventions will be aligned with Japan Exchange Group methodology
      Amendments to Price Limit Calculation and Trading Halt Procedures for Select Equity Products
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Yen Denominated Nikkei Stock Average Futures NKD NK
      USD Denominated Nikkei Stock Average Futures NIY N1
      E-mini Yen Denominated Nikkei Stock Average Index Futures ENY N1
      Yen Denominated TOPIX Index Futures TPY TJ

      For additional information, please refer to Special Executive Report SER-8840.

      These changes will be available for customer testing in New Release on Monday, September 19.

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      Changes to Non-Reviewable Ranges for CBL Global Emissions Offset Futures - September 19

      Effective Sunday, September 19 (trade date Monday, September 20), the Non-Reviewable Ranges will be modified for following products.

      Changes to Non-Reviewable Ranges for CBL Global Emissions Offset Futures Contract
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Non-Reviewable Range New Non-Reviewable Range

      CBL Global Emissions Offset Futures

      		 GEO VX 200 50

      These changes will be available for customer testing in New Release on Monday, September 13.

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

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      Amendment to Minimum Price Increment for EUR/USD Products on FX Link - September 19

      Effective Sunday, September 19 (trade date Monday, September 20), pending completion of all regulatory review periods, the minimum price increment tag 969-MinPriceIncrement for both the Euro/US Dollar Spot FX and Euro/US Dollar Spot FX Basis Spread on FX Link will be amended as follows.

      Amendment to Minimum Price Increment for EUR/USD Products on FX Link
      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
      Euro / US Dollar Spot FX (Non-tradable) EURUSD 6E 0.100000000 0.050000000
      Euro / US Dollar Spot FX Basis Spread

      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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      Amendment to Daily Settlement Tick Size for E-mini and Micro E-mini S&P 500 Futures and Options - September 19

      Effective Sunday, September 19 (trade date Monday, September 20), the daily settlement tick fluctuation will be amended on MDP 3.0 Market Data Incremental Refresh (tag 35-MsgType=X) for the following E-mini and Micro E-mini S&P 500 futures and options.

      Amendment to Daily Settlement Tick Size for E-mini and Micro E-mini S&P 500 Futures and Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current TAG 969 - MINTICKINCREMENT New TAG 969 - MINTICKINCREMENT
      E-mini S&P 500 Futures ES ES 10.000000000 25.000000000
      E-mini S&P 500 Options ES EW
      E-mini S&P 500 EOM Options EW EW
      E-mini S&P 500 Weekly Options EW1-EW4 EW
      E-mini S&P 500 Monday Weekly Options E1A-E5A EW
      E-mini S&P 500 Wednesday Weekly Options E1C-E5C EW
      E-mini S&P 500 Quarterly PM Options EYC CM
      E-mini S&P 500 500 Index Futures MES MS
      Options on Micro E-mini S&P 500 Stock Price Index Futures MES EO (oh)
      Micro E-mini S&P 500 Stock Price EOM Options EX EO (oh)
      Weekly Options on Micro E-mini S&P 500 Stock Price Index Futures EX1-EX4 EO (oh)

      Please Note: This change will not impact reduced tick or Variable Tick Table (VTT) functionality for E-mini S&P 500 options.

      Please see Special Executive Report-8828 and CME Submission No. 21-344 for related changes.

      These changes is 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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      Delisting and Removal of S&P 500 Futures and Options - September 20

      On Monday, September 20, the following S&P 500 futures and options will be delisted, and effective close of business Friday, September 24, these products will be removed from CME Globex.

      Delisting and Removal of S&P 500 Futures and Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      S&P 500 Stock Price Index Futures SP SP
      Options on S&P 500 Stock Price Index Futures SP OS
      Options on S&P 500 Stock Price Index Futures - End-of-Month (European-Style) EV OS
      Weekly Options on S&P 500 Stock Price Index Futures - Week 1-Week 4 (European-Style) EV1-EV4 OS
      Monday Weekly Options on S&P 500 Stock Price Index Futures - Week 1-Week 5 (European-Style) S1A-S5A OS
      Wednesday Weekly Options on S&P 500 Stock Price Index Futures - Week 1-Week 5 (European-Style) S1C-S5C OS
      Options on S&P 500 Stock Price Index Futures - End-of-Month (European-Style) YPC BM

      Please see Special Executive Report-8828 for additional details on position migrations.

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      Events and Announcements

      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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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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