CME Globex Notices: May 2, 2022

Critical System Updates

Three-Month SOFR Futures vs Eurodollar Futures Inter-Commodity Pack Spreads on CME Globex - May 22

Effective Sunday, May 22 (trade date Monday, May 23), 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.

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

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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Derived Block Support on Streamlined Market Data for Block Trades - May 22

Effective Sunday, May 22 (trade date Monday, May 23), Streamlined Market Data for Block Trades will publish derived blocks for CME E-mini S&P select sector futures and CBOT Dow Jones US Real Estate Index futures.  The derived blocks will allow block liquidity providers to privately negotiate a basis with their client, agree on the hedge execution algorithm, execute the hedge and submit the derived block for clearing once the actual price is determined based on the hedges. To support derived blocks new value, 102 = Derived Price, will be added to tag 423-PriceType on the incremental message (tag 35-MsgType=X).  This update will not impact the Streamlined Simple Binary Encoding (SBE) schema.

Tag	Name	Type	Valid Values	Description
423	→PriceType	Int	2 = Contract Units 102 = Derived Price	Valid price types for intraday trade.

The derived blocks support on Streamlined Market Data for Block Trades is currently available for testing in New Release.

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Exchange-Recognized Eurodollar Options vs Three-Month SOFR Options UDS: Resting Order Eliminations  - June 5

Effective Sunday, June 5 (trade date Monday, June 6), a new exchange-recognized Eurodollar options vs Three-Month SOFR options User Defined Spread (UDS) will be available for trading on CME Globex. The new spread type will utilize a new strategy type code (LS) and trade at a reduced tick. The new spread will utilize a new strategy type (LS).

The LS spread is the simultaneous purchase(sale) of a Eurodollar options and a Three-Month SOFR options contract. 

To facilitate this change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders on UDS in the U$ group after the close on Friday, June 3. After 16:00 CT on Friday, June 3, all remaining orders for UDS in the U$ group will be cancelled or deleted by the CME Global Command Center (GCC).

Please review the Client Impact Assessment for detailed spread construction and pricing examples.

These spreads 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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CME Benchmark Administration Premium SBE Schema Update - July

In July, CME Group will launch a new Simple Binary Encoding (SBE) schema on CME Benchmark Administration Premium channel ID 261. The new SBE incremental schema will be sent on:

• CME Benchmark Administration Premium - SBE UDP Multicast
• CME Benchmark Administration Premium - GCP SBE  

Please review the Client Impact Assessment for additional details.

The new SBE schema is currently available for customer testing in New Release.

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CVOL Live Streaming Launch and SBE Template Migration - July

In July, CME Group will launch CME Group Volatility Index (CVOL™), Live Streaming and migrate all current CVOL messaging to a new Simple Binary Encoding (SBE) template.

The CVOL indicator market data messages will be sent on:

• CME Benchmark Administration Premium - SBE UDP Multicast 
• CME Benchmark Administration Premium - GCP SBE 

Please review the Client Impact Assessment for additional details.

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

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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 are currently available for customer testing in New Release.

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

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Product Launches

Three-Month SOFR Futures vs Eurodollar Futures Inter-Commodity Pack Spreads on CME Globex - May 22

Effective Sunday, May 22 (trade date Monday, May 23), 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.

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

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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Aluminum Options - May 22

Effective Sunday, May 22 (trade date Monday, May 23), pending completion of all regulatory review periods, Aluminum options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Aluminum Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Aluminum Options	AX	A7 (UDS A8)	361

These Aluminum options is 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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NewNew - Micro WTI Crude Oil Options - June 5

Effective Sunday, June 5 (trade date Monday, June 6), pending completion of all regulatory review periods, Micro WTI Crude Oil options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Micro WTI Crude Oil Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Micro WTI Crude Oil Options	MCO	M8 (UDS: M9)	383
Micro WTI Crude Oil Weekly Option	MW1-MW5	M8 (UDS: M9)	383

These Micro WTI Crude Oil options will be available for customer testing in New Release on Monday, May 9.

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

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Eris BSBY Swaps Inter-Commodity Spreads - June 5

Effective Sunday, June 5 (trade date Monday, June 6), the following Eris BSBY Swaps Inter-commodity spreads will be listed on CME Globex.

Eris BSBY Swaps Inter-commodity Spreads
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 762- SecuritySubType	Spread Ratio
1-Year Eris BSBY Swap Futures vs 2-Year Eris BSBY Swap Futures Intercommodity Ratio Spread	KXA-KXT	BY	IV	1:1
1-Year Eris BSBY Swap Futures vs 3-Year Eris BSBY Swap Futures Intercommodity Ratio Spread	KXA-KXC	BY	IV	1:1
2-Year Eris BSBY Swap Futures vs 3-Year Eris BSBY Swap Futures Intercommodity Ratio Spread	KXT-KXC	BY	IV	1:1
2-Year Eris BSBY Swap Futures vs 5-Year Eris BSBY Swap Futures Intercommodity Ratio Spread	KXT-KXW	BY	IV	5:2
3-Year Eris BSBY Swap Futures vs 4-Year Eris BSBY Swap Futures Intercommodity Ratio Spread	KXC-KXD	BY	IV	1:1
3-Year Eris BSBY Swap Futures vs 5-Year Eris BSBY Swap Futures Intercommodity Ratio Spread	KXC-KXW	BY	IV	5:3
4-Year Eris BSBY Swap Futures vs 5-Year Eris BSBY Swap Futures Intercommodity Ratio Spread	KXD-KXW	BY	IV	1:1
5-Year Eris BSBY Swap Futures vs 10-Year Eris BSBY Swap Futures Intercommodity Ratio Spread	KXW-KXY	BY	IV	2:1
1-Year Eris BSBY Swap Futures vs 1-Year Eris SOFR Swap Futures Intercommodity Ratio Spread	KXA-YIA	BY	IS	1:1
2-Year Eris BSBY Swap Futures vs 2-Year Eris SOFR Swap Futures Intercommodity Ratio Spread	KXT-YIT	BY	IS	1:1
3-Year Eris BSBY Swap Futures vs 3-Year Eris SOFR Swap Futures Intercommodity Ratio Spread	KXC-YIC	BY	IV	1:1
4-Year Eris BSBY Swap Futures vs 4-Year Eris SOFR Swap Futures Intercommodity Ratio Spread	KXD-YID	BY	IS	1:1
5-Year Eris BSBY Swap Futures vs 5-Year Eris SOFR Swap Futures Intercommodity Ratio Spread	KXW-YIW	BY	IS	1:1
7-Year Eris BSBY Swap Futures vs 7-Year Eris SOFR Swap Futures Intercommodity Ratio Spread	KXB-YIB	BY	IS	1:1
10-Year Eris BSBY Swap Futures vs 10-Year Eris SOFR Swap Futures Intercommodity Ratio Spread	KXY-YIY	BY	IS	1:1
4-Year Eris BSBY Swap Futures vs 4-Year Eris US Dollar Swap Futures Intercommodity Ratio Spread	KXD-LID	BY	IS	1:1
5-Year Eris BSBY Swap Futures vs 5-Year Eris US Dollar Swap Futures Intercommodity Ratio Spread	KXW-LIW	BY	IS	1:1
7-Year Eris BSBY Swap Futures vs 7-Year Eris US Dollar Swap Futures Intercommodity Ratio Spread	KXB-LIB	BY	IS	1:1
10-Year Eris BSBY Swap Futures vs 10-Year Eris US Dollar Swap Futures Intercommodity Ratio Spread	KXY-LIY	BY	IS	1:1

These spreads will be available for customer testing in New Release on Monday, May 23.

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

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Exchange-Recognized Eurodollar Options vs Three-Month SOFR Options UDS: Resting Order Eliminations - June 5

Effective Sunday, June 5 (trade date Monday, June 6), a new exchange-recognized Eurodollar options vs Three-Month SOFR options User Defined Spread (UDS) will be available for trading on CME Globex. The new spread type will utilize a new strategy type code (LS) and trade at a reduced tick. The new spread will utilize a new strategy type (LS).

The LS spread is the simultaneous purchase(sale) of a Eurodollar options and a Three-Month SOFR options contract. 

To facilitate this change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders on UDS in the U$ group after the close on Friday, June 3. After 16:00 CT on Friday, June 3, all remaining orders for UDS in the U$ group will be cancelled or deleted by the CME Global Command Center (GCC).

Please review the Client Impact Assessment for detailed spread construction and pricing examples.

These spreads 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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NewNew - Canadian Western Red Spring Wheat FOB Vancouver Financially Settled (Platts) Futures - June 12

Effective Sunday, June 12 (trade date Monday, June 13), and pending completion of all regulatory review periods, Canadian Western Red Spring Wheat FOB Vancouver Financially Settled (Platts) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Canadian Western Red Spring Wheat FOB Vancouver Financially Settled (Platts) Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Canadian Western Red Spring Wheat FOB Vancouver Financially Settled (Platts) Futures	CWR	CR	340

These Canadian Western Red Spring Wheat FOB Vancouver Financially Settled (Platts) futures will be available for customer testing in New Release on Monday, June 6.

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

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Bursa Malaysia Derivatives (BMD) Crude Palm Oil vs East Malaysia Crude Palm Oil Inter-Commodity Futures Spreads - July 24

Effective Sunday, July 24 (trade date Monday, July 25), and pending final regulatory approval, inter-commodity spreads between Bursa Malaysia Derivatives (BMD)’s Crude Palm Oil vs BMD East Malaysia Crude Palm Oil futures will be made available for trading on CME Globex.

BURSA MALAYSIA DERIVATIVES (BMD) CRUDE PALM OIL VS EAST MALAYSIA CRUDE PALM OIL INTER-COMMODITY FUTURES SPREADS
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	TAG 762-SECURITYSUBTYPE	Market Data Channel
Crude Palm Oil vs East Malaysia Crude Palm Oil Futures	FCPO-FEPO	BC	IS	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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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 are currently available for customer testing in New Release.

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 - Change to 20-Year US Treasury Bond Futures - This Week

Effective this Sunday, May 8 (trade date Monday, May 9), the terms of maturity for deliverable basket for the 20-Year Bond futures September 2022 and December 2022 contract months will be modified to include the 19 years 2 months to less than 19 years 11 months basket from the current 19 years 2 months to 20 years basket. This change will expand the basket to include aging original issue 30-year U.S. Treasury bonds.

To enable this change, the 20-Year U.S. Treasury Bond futures September 2022 and December 2022 contract months will remain suspended until Sunday, May 8.

Note that the June 2022 will be unaffected.

Change to 20-Year US Treasury Bond Futures
Product	MDP 3.0: tag 6937-Asset	ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP
20-Year U.S. Treasury Bond Futures	TWE	ZY

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Increase of Maximum Order Quantity for Select Micro Cryptocurrency Futures and Options - This Week

Effective this Sunday, May 8 (trade date Monday, May 9), the maximum order quantity, tag 1140-MaxTradeVol, in the Security Definition (tag 35=d) message for select Micro Cryptocurrency futures and options will be increased as follows:

Increase of Maximum Order Quantity for Select Micro Cryptocurrency Futures and Options
Product	MDP 3.0: tag 6937-Asset	TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP	CURRENT TAG 1140-MAXTRADEVOL	NEW TAG 1140-MAXTRADEVOL
Monday Weekly Options on Micro Bitcoin Futures Weeks 1-5	W1A-W5A	B1 (Outrights) B5 (UDS)	100	500
Wednesday Weekly Options on Micro Bitcoin Futures Weeks 1-5	W1C-W5C	B1 (Outrights) B5 (UDS)	100	500
Friday Weekly Options on Micro Bitcoin Futures Weeks 1-4	W1E-W4E	B1 (Outrights) B5 (UDS)	100	500
Monthly Options on Micro Bitcoin Futures	WM	B1 (Outrights) B5 (UDS)	100	500
Monday Weekly Options on Micro Ether Futures Weeks 1-5	V1A-V5A	T5 (Outrights) T6 (UDS)	100	1000
Wednesday Weekly Options on Micro Ether Futures Weeks 1-5	V1C-V5C	T5 (Outrights) T6 (UDS)	100	1000
Friday Weekly Options on Micro Ether Futures Weeks 1-4	V1E-V4E	T5 (Outrights) T6 (UDS)	100	1000
Monthly Options on Micro Ether Futures	VM	T5 (Outrights) T6 (UDS)	100	1000
Micro Ether Futures	MET	EZ	500	1000

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

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Listing Cycle Expansion for E-mini Nasdaq-100 Products - May 22

Effective Sunday, May 22 (trade date Monday, May 23), the listing cycle for the following E-mini Nasdaq-100 products will be expanded on CME Globex.

Listing Cycle Expansion for E-mini Nasdaq-100 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 Nasdaq 100 Index Futures	NQ	NQ	5 quarterly months	5 quarterly months and 4 additional December contract months
Options on E-mini Nasdaq 100 Index Futures	NQ	QZ	4 quarterly months	5 quarterly months and 4 additional December contract months
BTIC on E-mini Nasdaq 100 Index Futures	NQT	NB	5 quarterly months	5 quarterly months and 4 additional December contract months
TACO on E-mini Nasdaq 100 Index Futures	NQQ	NT	5 quarterly months	5 quarterly months and 4 additional December contract months

These products will be available for customer testing in New Release on Monday, May 9.

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

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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