CME Globex Notices: March 28, 2022

Critical System Updates

Good Till Cancel (GTC) Order Eliminations for User-Defined Spreads (UDS)  - This Week

To facilitate internal maintenance, customers are asked to cancel all Good Till Cancel (GTC) orders for User-Defined Spreads (UDS) by close of business on Friday, April 1. All remaining GTC orders for UDS will be eliminated by the Global Command Center after the close on Friday. As a result, all listed UDS will naturally expire that weekend.

Clients can create UDS as usual starting this Sunday, April 3.

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CME Globex Options Launching on CME Smart Stream on GCP JSON - April 10

Effective Sunday, April 10 (trade date Monday, April 11), CME Smart Stream on Google Cloud Platform (GCP) JSON will launch support for options. To support this change, the following new CME MDP attributes will be added top of book, level 2, trade and stats will be added to options messaging:

Key	Attribute	Type	Valid Values	Description
payload.Instrument	PutCallIndicator	INT	1:Call, 0:Put	Indicates whether an option instrument is a put or call.
payload.Instrument	Strike	Price		Strike Price for an option instrument.
payload.Instrument	UnderlyingSymbol	String		Underlying Instrument Symbol (Contract Name) * this value will be the same as that contained in Leg Instrument's Security Definition Tag 55-Symbol.

New options JSON CME Smart Stream on GCP topics will support CME Globex sourced products from the following Designated Contract Markets (DCM):

• CME
• CBOT
• COMEX
• NYMEX
• DME

Please review the Client Systems Wiki for additional information regarding Smart Stream on GCP JSON.

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

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Equity Options Market Data Source IP Update - April 29

Effective close of business Friday, April 29, CME Group will change the MDP MBO recovery source/host IPs for CME Globex Equity Options (311) and CME Globex Equity Options - excludes E-mini S&P 500 (319) as follows:

Channel Name	Channel IDs	Feed Type	Host	Current Source IP Addresses	New Source IP Addresses
CME Globex Equity Options	311 & 319	MBO Recovery	Primary	205.209.222.114 205.209.222.1115	205.209.222.142 205.209.213.70
CME Globex Equity Options - excludes E-mini S&P 500			Backup	205.209.213.67 205.209.214.67	205.209.222.143 205.209.213.71

A new config.xml file will be available for customer download Saturday, April 30. See additional information on  SFTP - MDP Configuration.

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Cryptocurrency Market Data Channel Launch and Market Segment Update - May 1

On Sunday, May 1 to support increased client demand for cryptocurrency futures and options products, CME Group will launch two new dedicated cryptocurrency market data channels on CME Globex. In conjunction with the cryptocurrency channel migration the market segment ID will update for MDP 3.0, MSGW iLink and MSGW Drop Copy. This update will not impact data licensing and entitlement requirements. With the launch, the following cryptocurrency products and associated spreads will be migrated to the new channels:

• Bitcoin Futures
• Ether Futures
• Micro Bitcoin Futures
• Micro Ether Futures
• BTIC on Bitcoin Futures
• BTIC on Ether Futures
• BTIC on Micro Bitcoin Futures
• BTIC on Micro Ether Futures
• Options on Bitcoin Futures

Please review the client impact assessment for additional details.

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

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Three-Month SOFR Futures vs Eurodollar Futures Inter-Commodity Pack Spreads on CME Globex - May 15

Effective Sunday, May 15 (trade date Monday, May 16), the following futures pack spread will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.  This futures pack spread will be traded as a single outright future contract that represents four quarterly Inter-Commodity spreads between the Three-Month SOFR futures vs Eurodollar futures.

Please Note:

• The Three-Month SOFR Futures vs Eurodollar futures Inter-Commodity Pack spreads follow the product definition conventions of the SED spread.
• Implieds will NOT be enabled.

Three-Month SOFR Futures vs Eurodollar Futures Inter-Commodity Pack Spreads on CME Globex
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 167 - SecurityType Tag 167	Tag 969 - Minpriceincrement	MDP 3.0 Channel
Three-Month SOFR Futures (SR3) vs Eurodollar Futures (GE)	SEP	SS	FUT	0.001	312

When buying the SEP future, the trade will be decomposed in Clearing as buying of four Three-Month SOFR futures and sell of four Eurodollar futures.

Security Definition Example: SEPU3

Example:  Buying the Sep 2023 SEP Future
Buy the Sep 2023 SED spread → Buy Sep 2023 SOFR future, sell Sep 2023 ED future
Buy the Dec 2023 SED spread → Buy Dec 2023 SOFR future, sell Dec 2023 ED future
Buy the Mar 2024 SED spread → Buy Mar 2024 SOFR future, sell Mar 2024 ED future
Buy the Jun 2024 SED spread → Buy Jun 2024 SOFR future, sell Jun 2024 ED future

The Three-Month SOFR futures (Clearing product code SR3) vs Eurodollar (Clearing product code ED) futures traded as SEP will be cleared as outright legs and will be priced as follows:

• The ED price will be determined as prior-day settlement.
• The SR3 price will be determined as the prior-day Eurodollar settlement price, plus ISDA (International Swaps and Derivatives Association) spread adjustment rounded to four decimals (0.2616), plus the SEP futures trade price.

For additional information on the SEP outright futures please refer to the Special Executive Report - SER-8948.

Clients can retrieve additional product and instrument information from the Reference Data API.

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

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

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Product Launches

Russell 2000 Annual Dividend Index Futures and Nasdaq-100 Annual Dividend Futures - April 10

Effective Sunday, April 10 (trade date Monday, April 11), pending completion of all regulatory review periods, Russell 2000 Annual Dividend Index futures and Nasdaq-100 Annual Dividend futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Russell 2000 Annual Dividend Index Futures and Nasdaq-100 Annual Dividend Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Russell 2000 Annual Dividend Index Futures	RDA	DR	318
Nasdaq-100 Annual Dividend Index Futures	NDA	DN

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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Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures - April 10

Effective Sunday, April 10 (trade date Monday, April 11), pending completion of all regulatory review periods, Eris Bloomberg Short Term Bank Yield (BSBY) Swap futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Eris BSBY Swap Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
1-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures	KXA	BY	344
2-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures	KXT
3-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures	KXC
4-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures	KXD
5-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures	KXW
7-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures	KXB
10-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures	KXY

These Eris futures 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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NewNew - Listing Additional Treasury Bond Futures Implied Inter-Commodity Ratio Spread - May 1

Effective Sunday, May 1 (trade date Monday, May 2), the following Treasury Bond Futures Implied Inter-Commodity Ratio spread will be listed for trading on CME Globex with a 3:2 ratio.

Listing Additional Treasury Bond Futures Implied Inter-Commodity Ratio Spread
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	TAG 762- SECURITYSUBTYPE	ILINK: TAG 107-SECURITYDESC MDP 3.0 TAG 55-SYMBOL
Treasury Bond vs. Ultra Treasury Bond Futures Implied Inter-Commodity	BIB	IV	IV	BIB 03-02 M2

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

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

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NewNew - North European Hot-Rolled Coil Steel (Argus) Average Price Option - May 1

Effective Sunday, May 1 (trade date Monday, May 2), pending completion of all regulatory review periods, North European Hot-Rolled Coil Steel (Argus) Average Price options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

North European Hot-Rolled Coil Steel (Argus) Average Price Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
North European Hot-Rolled Coil Steel (Argus) Average Price Options	EHO	AD	361

These North European Hot-Rolled Coil Steel (Argus) Average Price options will be available for customer testing in New Release on Monday, April 11.

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

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Three-Month SOFR Futures vs Eurodollar Futures Inter-Commodity Pack Spreads on CME Globex - May 15

Effective Sunday, May 15 (trade date Monday, May 16), the following futures pack spread will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.  This futures pack spread will be traded as a single outright future contract that represents four quarterly Inter-Commodity spreads between the Three-Month SOFR futures vs Eurodollar futures.

Please Note:

• The Three-Month SOFR Futures vs Eurodollar futures Inter-Commodity Pack spreads follow the product definition conventions of the SED spread.
• Implieds will NOT be enabled.

Three-Month SOFR Futures vs Eurodollar Futures Inter-Commodity Pack Spreads on CME Globex
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 167 - SecurityType Tag 167	Tag 969 - Minpriceincrement	MDP 3.0 Channel
Three-Month SOFR Futures (SR3) vs Eurodollar Futures (GE)	SEP	SS	FUT	0.001	312

When buying the SEP future, the trade will be decomposed in Clearing as buying of four Three-Month SOFR futures and sell of four Eurodollar futures.

Security Definition Example: SEPU3

Example:  Buying the Sep 2023 SEP Future
Buy the Sep 2023 SED spread → Buy Sep 2023 SOFR future, sell Sep 2023 ED future
Buy the Dec 2023 SED spread → Buy Dec 2023 SOFR future, sell Dec 2023 ED future
Buy the Mar 2024 SED spread → Buy Mar 2024 SOFR future, sell Mar 2024 ED future
Buy the Jun 2024 SED spread → Buy Jun 2024 SOFR future, sell Jun 2024 ED future

The Three-Month SOFR futures (Clearing product code SR3) vs Eurodollar (Clearing product code ED) futures traded as SEP will be cleared as outright legs and will be priced as follows:

• The ED price will be determined as prior-day settlement,
• The SR3 price will be determined as the prior-day Eurodollar settlement price, plus ISDA (International Swaps and Derivatives Association) spread adjustment rounded to four decimals (0.2616), plus the SEP futures trade price.

For additional information on the SEP outright futures please refer to the Special Executive Report - SER-8948.

Clients can retrieve additional product and instrument information from the Reference Data API.

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

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

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NewNew - Event-Based Contracts

At a launch date to be announced, event-based options contracts will be listed for trading on CME Globex, pending completion of all regulatory review periods. Event-based contracts are daily-expiring, cash settled, European Style, options on futures contracts. Event-based contracts will provide access to some of our most recognized global products, including metals, energy, equities, and foreign currencies. Additionally, non-tradable underlying futures will be listed to support the new event-based options. Event-based contracts will be listed on a new MDP 3.0 channel (329 - Event-Based Contracts).  

Please review the client impact assessment for additional details.

The event-based contracts will be available for customer testing in New Release on Monday, April 4.

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

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Product Changes

NewNew - Delisting and Removal of LNG Freight Route (Baltic) Futures - This Week

On Monday, March 28 the following LNG Freight Route (Baltic) futures were delisted, and effective close of business Friday, April 1 these futures will be removed from CME Globex:

Delisting and Removal of LNG Freight Route (Baltic) Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
LNG Freight Route Australia to Japan RV (BLNG1) (Baltic) Futures	BF1	FT
LNG Freight Route US Gulf to Continent RV (BLNG2) (Baltic) Futures	BF2
LNG Freight Route US Gulf to Japan RV (BLNG3) (Baltic) Futures	BF3

These futures currently have no open interest.

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Changes to Listing Schedule of One-Month Eurodollar Futures - This Week

Effective this Sunday, April 3 (trade date Monday, April 4), the listing cycle for the following One-Month Eurodollar futures will be expanded on CME Globex:

Changes to Listing Schedule of One-Month Eurodollar Futures
Product Name	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Schedule	New Listing Schedule
One-Month Eurodollar Futures	GLB	EM	March 2022 through February 2023	April 2022 through June 2023

This change 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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NewNew - Changes to Minimum Price Increment for Swiss Franc/U.S. Dollar (CHF/USD) Futures - May 1

Effective Sunday, May 1 (trade date Monday, May 2), pending the completion of all regulatory review periods, tag 969-MinimumPriceIncrement for Swiss Franc/U.S. Dollar (CHF/USD) futures will change as follows:

Changes to Minimum Price Increment for Swiss Franc/U.S. Dollar (CHF/USD) 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
Swiss Franc/U.S. Dollar (CHF/USD) Futures	6S	6S	1.000000000	0.500000000

These changes will be available for customer testing in New Release on Monday, April 25.

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

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NewNew - Listing Cycle Expansion for BTIC on Adjusted Interest Rate S&P 500 Total Return Index Futures - May 1

Effective Sunday, May 1 (trade date Monday, May 2), the listing cycle for the following BTIC on Adjusted Interest Rate S&P 500 Total Return Index Futures will be expanded on CME Globex. With this change, CME Globex will support a 2-byte year for maturities listed beyond the first four December quarterly contracts in the external instrument name, tag 55-Symbol in MDP 3.0. The 2-byte year will remain through the life cycle of the contract.

Listing Cycle Expansion for BTIC on Adjusted Interest Rate S&P 500 Total Return Index 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
BTIC on Adjusted Interest Rate S&P 500 Total Return Index Futures	AST	BV	Quarterly contracts (Mar, Jun, Sep, Dec) listed for 13 consecutive quarters and 4 additional Dec quarterly contracts	Quarterly contracts (Mar, Jun, Sep, Dec) listed for 13 consecutive quarters, 1 nearest January contract, and 7 additional Dec quarterly contracts

These changes will be available for customer testing in New Release on Monday, April 11.

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

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Changes to Lead Month Roll Procedure for E-mini S&P 500 and Micro E-mini S&P 500 Futures - June 12

Effective Sunday, June 12 (trade date Monday, June 13), the lead month roll procedure for E-mini S&P 500 and Micro E-mini S&P 500 futures will be amended on CME Globex as follows:

Changes to Lead Month Roll Procedure for E-mini S&P 500 and Micro E-mini S&P 500 Futures
Product Name	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Lead Month Roll Procedure	New Lead Month Roll Procedure
E-mini Standard & Poor’s 500 Stock Price Index Futures	ES	ES	Lead month rolls quarterly effective on the Thursday one week prior to expiration	Lead month rolls quarterly effective on the Monday of the week of expiration
Micro E-mini Standard & Poor’s 500 Stock Price Index Futures	MES	EO

Please Note: This change will be implemented for the June 2022 roll, making the March 2022 contracts the final roll using the existing procedure.

For example, the June 2022 quarterly contracts expire on Friday, June 17, 2022. Prior to the June quarterly contract expiration, the lead month will switch from the June contract to the September contract on Sunday, June 12, 2022, for trade date Monday, June 13, 2022, as opposed to Thursday, June 9, 2022 under the existing procedure.

This change will reflect the current observed trading patterns around roll dates and align the lead month roll for the contracts with the balance of the Exchange’s U.S. Equity Products.

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Events and Announcements

Messaging Efficiency Program Q2 2022 Benchmarks

The Q2 2022 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available. No changes were made to Q2 2022 existing Product Group Benchmarks vs. Q1 2022 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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Messaging Efficiency Program Micro Ether Notification - This Week

Beginning Thursday evening, March 31 (trade date April 1), Micro Ether futures & spreads will be subject to EMT thresholds.

CME Group recommends market participants make any necessary technical adjustments to EZ Product Group messaging in order to refrain from exceeding EMT Thresholds at either the Globex Firm ID or iLink Session ID levels. And to be mindful that Product Group EZ includes both the standard sized and Micro Ether Contracts.

As a reminder, the Excessive Messaging Threshold (EMT) is separate from the regular Messaging Program and thresholds are as follows:

• Any Globex Firm ID which exceeds a Raw Message Count of 10 million for a Globex trade date and a Volume Ratio > 500:1 in a specific product group may be subject to a $10,000 surcharge as well as other escalations.
• Any iLink Session ID which exceeds a Raw Message Count of 1 million for a Globex trade date and a Volume Ratio > 500:1 in a specific product group may be subject to a $10,000 surcharge as well as other escalations.

Please refer to the CME Globex Messaging Efficiency Program or contact the following with any questions:

• Global Command Center (GCC) at 1.800.438.8616.
• Global Account Management

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NewNew - LMAX Joins CME CF Cryptocurrency Indices - May 3

On Tuesday, May 3, at 11:00 am London time (5:00 am Chicago time), LMAX Digital market data will be included in the CME CF Reference Rates and Real Time Indices for both Bitcoin and Ether. The CME CF Reference Rates are used to settle CME cryptocurrency futures. CF Benchmarks, the leading cryptocurrency index provider, is the Administrator for the CME CF Cryptocurrency Indices.

For more information, please visit the CME CF Cryptocurrency Indices webpage.

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