CME Globex Notices: September 27, 2021

Critical System Updates

iLink 3 FIXP Messaging Enhancements - This Week

Effective this Sunday, October 3, 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, October 3, 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 17, 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 31, 2021

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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

Launch of E-mini Russell 2000 Monday and Wednesday Options - This Week

Effective this Sunday, October 3 (trade date Monday, October 4), pending completion of all regulatory review periods, E-mini Russell 2000 Monday and Wednesday Options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Launch of E-mini Russell 2000 Monday and Wednesday Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Monday Weekly Options on E-mini Russell 2000 Index Futures (European-Style)	R1A, R2A, R3A, R4A, R5A	Outright – R4; UDS – R5	319
Wednesday Weekly Options on E-mini Russell 2000 Index Futures (European-Style)	R1C, R2C, R3C, R4C, R5C	Outright – R4; UDS – R5	319

These  options will be available for customer testing in New Release on Monday, September 20.

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

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Bursa Malaysia Derivatives (BMD) East Malaysia Crude Palm Oil Futures - This Week

Effective this 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 - This Week

Effective this 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 - This Week

Effective this 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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UpdateUpdate - BRIXX™ Retail Index Futures - October 17

† Denotes update to the article

†Effective Sunday, October 17 (trade date Monday, October 18), BRIXX™ Retail Index futures and spreads will be listed for trading on CME Globex pending regulatory approval.

BRIXX™ Retail Index Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	FUTURE TAG 762- SECURITYSUBTYPE	Market Data Channel
BRIXX™ Retail Index Futures	BXT	MF	SP (Calendar Spread)	460

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

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

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Product Changes

Change to Strike Price Listing for E-mini Russell 2000 Options - This Week

Effective this Sunday, October 3 (trade date Monday, October 4), the strike price listing rule will be changed for E-mini Russell 2000 Options on CME Globex and for submission for clearing via CME ClearPort.

Change to Strike Price Listing for E-mini Russell 2000 Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Strike Price Listing Schedule	New Strike Price Listing Schedule
Options on E-mini Russell 2000 Index Futures	RTO	R4	At all multiples of 25 index points within ±50% of quarterly Exercise Price Reference, centered on previous day's settlement price of the underlying futures At all multiples of 10 index points within ±20% of quarterly Exercise Price Reference, centered on previous day's settlement price of the underlying futures Once the option's underlying futures contract becomes second nearest to delivery, at all multiples of 5 index points within ±10% of quarterly Exercise Price Reference, centered on previous day's settlement price of the underlying futures	50 index point integer multiples, when listed: +30% to -50% of the prior day's settlement price on the underlying future contract 10 index point integer multiples, 186 days prior to expiry (6-months prior to expiration): +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 Dynamic strikes allowed at 5 index point increments.
Options on E-mini Russell 2000 Index Futures - End-of-Month	RTM	R4	At all multiples of 25 index points within ±50% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures At all multiples of 10 index points within ±20% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures Once the option’s underlying futures contract becomes second nearest to delivery, at all multiples of 5 index points within ±10% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures	50 index point integer multiples, when listed: +30% to -50% of the prior day’s settlement price on the underlying future contract 10 index point integer multiples, 186 days prior to expiry (6-months prior to expiration): +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 Dynamic strikes allowed at 5 index point increments.
Weekly Options on E-mini Russell 2000 Index Futures - Week 1-4	R1E-R4E	R4	R1E, R2E and R4E (Week 1, 2 & 4) 5 index point integer multiples upon listing: +10% to -25% of the prior day’s settlement price on the underlying future contract R3E (Week 3) At all multiples of 25 index points within ±50% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures At all multiples of 10 index points within ±20% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures Once the option’s underlying futures contract becomes second nearest to delivery, at all multiples of 5 index points within ±10% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures	50 index point integer multiples, when listed: +30% to -50% of the prior day’s settlement price on the underlying future contract 10 index point integer multiples, 186 days prior to expiry (6-months prior to expiration): +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 Dynamic strikes allowed at 5 index point increments.

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

For additional information, please refer to Special Executive Report SER-8853.

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

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Changes to Velocity Logic Circuit Breakers for Select Energy Products - This Week

Effective this Sunday, October 3 (trade date Monday, October 4), all energy products leveraging velocity logic circuit breakers will have their settings modified from their current value to a 10% dynamically calculated variant.

Changes to Velocity Logic Circuit Breakers for Select Energy Products
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Dynamically Calculated Variant	New Dynamically Calculated Variant
NY Harbor ULSD Futures	HO	CL	15% of Dynamically Calculated Reference Price	10% of Dynamically Calculated Reference Price
E-mini Heating Oil Futures	QH	CL	15% of Dynamically Calculated Reference Price
RBOB Futures	RB	CL	15% of Dynamically Calculated Reference Price
E-mini RBOB Gasoline Futures	QU	CL	15% of Dynamically Calculated Reference Price
RBOB Gasoline Financial Futures	RT	CL	7% of Dynamically Calculated Reference Price
Henry Hub Natural Gas Futures	NG	NG	15% of Dynamically Calculated Reference Price
Gulf Coast LNG Export Futures	LNG	LN	7% of Dynamically Calculated Reference Price
E-mini Natural Gas Futures	QG	NG	15% of Dynamically Calculated Reference Price
Henry Hub Natural Gas Look-Alike Penultimate Financial Futures	HP	HX	15% of Dynamically Calculated Reference Price
Henry Hub Natural Gas Penultimate Financial Futures	NPG	HX	7% of Dynamically Calculated Reference Price
Henry Hub Natural Gas Look-Alike Last Day Financial Futures	HH	NG	15% of Dynamically Calculated Reference Price
Henry Hub Natural Gas Last Day Financial Futures	NN	NG	15% of Dynamically Calculated Reference Price
Henry Hub Natural Gas Last Day Financial Futures (Daily Units)	NNE	NG	15% of Dynamically Calculated Reference Price
Light Sweet Crude Oil Futures	CL	CL	15% of Dynamically Calculated Reference Price
E-mini Crude Oil Futures	QM	CL	15% of Dynamically Calculated Reference Price
Micro WTI Crude Oil futures	MCL	CL	15% of Dynamically Calculated Reference Price
Crude Oil Financial Futures	WS	CL	15% of Dynamically Calculated Reference Price
WTI Houston Crude Oil Futures	HCL	HC	7% of Dynamically Calculated Reference Price
Brent Last Day Financial Futures	BZ	OP	15% of Dynamically Calculated Reference Price

For additional information, please refer to Special Executive Report SER-8827.

These settings for every CME Globex product are defined in the CME Globex Product Reference.

These changes 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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NewNew - Relisting Eris U.S Dollar Swap Futures - This Week

Effective this Sunday, October 3 (trade date Monday, October 4), the previously suspended Eris U.S Dollar Swap Futures June 2022 contract month will be relisted for trading on CME Globex and submission for clearing via CME ClearPort.

TEMPORARY SUSPENSION OF ERIS U.S. Dollar SWAP FUTURES
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
2-Year USD Eris Swap Futures	LIT	EI
3-Year USD Eris Swap Futures	LIC
5-Year USD Eris Swap Futures	LIW

For additional information, please refer to Special Executive Report SER-8861.

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NewNew - Delisting and Removal of Synthetic Soybean Crush Spread Index - October 17

On Sunday, October 17, the following Synthetic Soybean Crush Spread Index (BCX) will be delisted and removed from ITC market data.

The Soybean Crush Spread and synthetic future (SOM) listed on CME Globex will not be affected by this change.

Delisting and Removal of Synthetic Soybean Crush Spread Index
Index	ITC Ticker	ITC Channel	ITC Channel ID
Synthetic Soybean Crush Spread	BCX	CBOT	100

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Changes to Non-Reviewable Ranges for E-mini and Micro E-mini Nasdaq-100 Futures - October 31

Effective Sunday, October 31 (trade date Monday, November 1), the Non-Reviewable Ranges will be modified for the following products:

Changes to Non-Reviewable Ranges for E-mini and Micro E-mini Nasdaq-100 Futures
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
E-mini Nasdaq-100 Index® Futures	NQ	NQ	12 Index Points	24 Index Points
Micro E-mini Nasdaq-100 Index® Futures	MNQ	NQ	12 Index Points	24 Index Points

These futures will be available for customer testing in New Release on Monday, October 4.

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

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NewNew - Listing Cycle Expansion for Select FX Options - November 7

Effective Sunday, November 7 (trade date Monday, November 8), the listing cycle for the following Options on EURO/British Pound Sterling (EUR/GBP) Futures, Options on Euro/Japanese Yen (EUR/JPY) Futures, Options on Euro/Swiss Franc (EUR/CHF) Futures will be expanded on CME Globex.

Listing Cycle Expansion for Select FX Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Schedule	New Listing Schedule
Options on EURO/British Pound Sterling (EUR/GBP) Futures	RP	8E	2 Quarterlies and 2 Serials	3 Serials and 4 Quarterlies
Options on Euro/Japanese Yen (EUR/JPY) Futures	RY	8H
Options on Euro/Swiss Franc (EUR/CHF) Futures	RF	8C

These options will be available for customer testing in New Release on Monday, October 25.

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

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NewNew - Amendment to Match Algorithm for Select Treasury Note Futures Calendar and Butterfly Spreads - November 7

Effective Sunday, November 7 (trade date Monday, November 8), the CME Globex match algorithm for select Treasury Note Futures calendar and butterfly spreads will be modified so that the leveling component, will be replaced by a FIFO allocation.

Currently, these spreads use the configurable (tag 1142=K) match algorithm for all calendar and butterfly spread months with leveling. The remaining quantity from rounding during the Pro Rata step is distributed to participating orders.

Amendment to Match Algorithm for Select Treasury Note Futures Calendar AND BUTTERFLY Spreads
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	TAG 762-SECURITYSUBTYPE
2-Year T-Note Futures Calendar Spread	ZT-ZT	ZT	SP
2-Year T-Note Futures Butterfly Spread	ZT:BF	ZT	BF
3-Year T-Note Futures Calendar Spread	Z3N-Z3N	Z3	SP
3-Year T-Note Futures Butterfly Spread	Z3N:BF	Z3	BF
5-Year T-Note Futures Calendar Spread	ZF-ZF	ZF	SP
10-Year T-Note Futures Calendar Spread	ZN - ZN	ZN	RT
Ultra 10-Year U.S. Treasury Note Futures Calendar Spread	TN – TN	TN	RT
U.S. Treasury Bond Futures Calendar Spread	ZB - ZB	ZB	RT
Ultra U.S. Treasury Bond Futures Calendar Spread	UB-UB	UBE	RT

The match algorithm applied to each instrument is identified in the Security Definition (tag 35-MsgType=d) message in tag 1142-MatchAlgorithm. Descriptions of each algorithm currently in use on CME Globex are available online.

The match algorithm change for these futures calendar and butterfly spreads will be available for customer testing in New Release on Monday, October 11.

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Events and Announcements

NewNew - CME Group Login Enhancements – This Week

Effective this Saturday, October 2, CME Group Login screens will be enhanced with a new look. These changes impact the display of the CME Group Login registration process, CME Customer Center home page and My Profile functions.

See details about how to create or manage your account in the CME Group Login User Help.

For questions, please contact EASE.

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Disaster Recovery (DR) Testing - October 23

CME Group is committed to the protection of its members, employees and stakeholders and has a long history of successfully managing risk. In keeping with those traditions, CME Group has a comprehensive business continuity program in place. To ensure customer readiness, CME Group will offer CME Globex & Clearing Disaster Recovery (DR) Failover testing, in conjunction with the Futures Industry Association (FIA) test on Saturday, October 23.

The CME Globex & Clearing DR Failover test is designed to ensure customers can successfully failover to the CME Globex & Clearing DR environment, send orders and fallback to the production environment in case of an emergency.

Please Note: There is no pre-test Message Queue (MQ) ping requirement for front-end connections to the CME Group.

To register and access the mock testing script, please complete the registration process at FIA's website.

For inquiries regarding the registration process, please contact Steve Proctor at sproctor@fia.org.

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Messaging Efficiency Program Q4 2021 Benchmarks - Q4 2021

The Q4 2021 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available. No changes were made to Q4 2021 existing Product Group Benchmarks vs. Q3 2021 Product Group Benchmarks.

The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are billed a surcharge for overly high message rates.

CME Globex firms who exceed the benchmark ratios in applicable product groups and are signed-up accordingly, receive email notifications of any potential surcharges. CME Globex firms who have access to the Firm Administrator Dashboard have the ability to view their messaging statistics on a T+1 basis.

Please contact your Global Account Manager with any questions.

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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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