CME Globex Notices: October 10, 2022

Critical Updates

iLink 3 Order Cancel and Cancel/Replace Requests by ClOrdID - October 23

On Sunday, October 23 (trade date Monday, October 24), CME Group will continue the launch of  a new risk management feature that allows clients to cancel and modify resting orders using FIX tag 11-ClOrdID, without providing tag 37-OrderID. This feature will be enabled for all CME Group futures and options on futures on CME Globex. It is only available on iLink 3 sessions using the v8 schema. However, iLink 2 sessions are also impacted by this launch.

Prior to each launch weekend, clients must ensure all resting Good Till Cancel (GTC) and Good Till Date (GTD) orders have a unique tag 11-ClOrdID value per SenderComp and market segment. On each launch weekend, any resting GTC/GTD orders will be evaluated for duplicative ClOrdID values per SenderComp and market segment. Orders with duplicate values will be eliminated prior to the open.

Please review the Client Impact Assessment for full technical details and launch schedule.

Certification in AutoCert+ is required to utilize the new Order Cancel and Cancel/Replace Requests by ClOrdID functionality. This change and the new AutoCert+ test suite are currently available in New Release for customer testing and certification.

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CME Globex Performance Change for E-mini S&P 500 Futures - October 30

Effective Sunday, October 30 (trade date Monday, October 31), CME Globex will implement internal changes to the lead month future contracts in E-mini S&P markets that will result in additional processing on a small subset of match events. These changes will have no functional or messaging impacts to client gateways. In internal testing, these changes increased latency slightly and had no impact on market dynamics. There is no plan to apply these changes to other markets at this time.

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CME FX Instrument Migration and Market Data Channel Consolidation - Resting Order Eliminations - October 30

On Sunday, October 30 (trade date Monday, October 31), to streamline the dissemination of CME FX market data offerings, CME FX futures and options instruments will be migrated onto distinct existing market segments and their MDP 3.0 market data channels consolidated on CME Globex as follows:

• Migrate all CME FX futures and FX Link instruments to a single market segment (MDP 3.0: Tag 1300-MarketSegmentID=88) from the current two market segments.
• Migrate all CME FX options instruments to a single existing market segment (MDP 3.0: Tag 1300-MarketSegmentID=52) from the current two market segments.
• Consolidate the CME FX futures market data channels to a single market data channel (MDP 3.0: TAG ApplID-1180=314) from the current two market data channels
• Consolidate the CME FX Options market data channels to a single market data channel (MDP 3.0: TAG ApplID-1180=321) from the current two market data channels

With this update the IP configuration for MSGW iLink and Drop Copy sessions will be updated. iLink and Drop Copy Convenience Gateway (CGW) network configurations will not be impacted.

Source IP information for configured firewall or network devices will not be impacted by these changes. These changes will not impact data licensing and entitlement requirements. The updated MDP 3.0 channel config file will reflect the new CME FX futures and options product mapping.

To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for UDS on options, market segment (MDP 3.0: Tag 1300-MarketSegmentID=88) after the close on Friday, October 28. After 4:00 p.m. CT on Friday, October 28, all remaining GT orders for UDS on options will be cancelled or deleted by the CME Global Command Center (GCC).      

In internal testing, the instrument migration reduced CME Globex latency for the futures less than 10% at the median and up to 90% at the 99th percentile. CME FX options’ latency remained unchanged.

Please review the client impact assessment for additional details.

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

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iLink 3 SBE Schema Update - November 18

On Sunday, October 2, CME Group completed the launch of iLink 3 SBE Schema version 8 on all futures and options on futures market segments. The new version 8 schema will support Template Extension for iLink 3 messages sent from Client systems to CME Globex until the end of day Friday, November 18. Client systems can send iLink 3 messages using version 7 or 8; however CME Globex will only send messages using the version 8.  

Effective Sunday, November 20, version 8 schema will be the only version supported in production. Client systems can only send version 8 messages.

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Product Launches

LNG North West Europe Marker (Platts) Futures - October 23

Effective Sunday, October 23 (trade date Monday, October 24), pending completion of all regulatory review periods, LNG North West Europe Marker (Platts) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

LNG North West Europe Marker (Platts) Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
LNG North West Europe Marker (Platts) Futures	NWM	GU	386

These LNG North West Europe Marker (Platts) 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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Additional CVOL Indices on Benchmark Administration Premium - October 23

Effective Sunday, October 23 (trade date Monday, October 24), the following CME Group Volatility Index (CVOL) products will be listed on Benchmark Administration Premium UDP Multicast and GCP SBE.

Additional CVOL Indices on Benchmark Administration Premium
Product Name	Tag 55 - Symbol	TAG 37500 - ClearingProductCode	TENOR SELECTION	Multicast channel & GCP SBE Channel Number
SR3 1-YEAR MIDCURVE 90-DAY (S1VL)	SKEW:S1VL	S1VL	Tenor Selection 7 (90 DTE)	261
	DNVAR:S1VL
	ATMVOL:S1VL
	CVOL:S1VL
	CONVEX:S1VL
	UPVAR:S1VL
SR3 2-YEAR MIDCURVE 90-DAY (S2VL)	UPVAR:S2VL	S2VL
	SKEW:S2VL
	DNVAR:S2VL
	CONVEX:S2VL
	CVOL:S2VL
	ATMVOL:S2VL
SOFR-SR3 90-DAY(SRVL)	DNVAR:SRVL	SRVL
	ATMVOL:SRVL
	UPVAR:SRVL
	CVOL:SRVL
	CONVEX:SRVL
	SKEW:SRVL

Additional product and instrument information are defined in Reference Data API.

The CVOL Indexes are currently available for customer testing in New Release.

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Listing Euro Short-Term Rate (ESTR) Futures - October 30

Effective Sunday, October 30 (trade date Monday, October 31), pending completion of all regulatory review periods, the following Euro Short-Term Rate (ESTR) futures will be listed on CME Globex and for submission for clearing via CME ClearPort.

Listing Euro Short-Term Rate (ESTR) Futures
PRODUCT	MDP 3.0: TAG 6937-ASSET	ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP	MARKET DATA CHANNEL
Euro Short-Term Rate (ESTR) Futures	ESR	EY	312
Euro Short-Term Rate (ESTR) Three-Month Single Contract Basis Spread Futures	EUS	SP	312

For additional information, please refer to Special Executive Report SER-9059.

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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Additional CME CF Cryptocurrency Pricing Data - October 31

Starting Monday, October 31, shortly after 10 a.m. London time, pending completion of all regulatory review periods, CME Group and CF Benchmarks will launch additional cryptocurrency pricing products designed to provide clients with transparent, robust, reliable reference rates and real-time pricing.

The pricing data will be disseminated via the streamlined CME CF Cryptocurrency Pricing Market Data feed on channel 213 and through CME DataMine.

The feed will publish the following:

• Standardized reference rates (in U.S. dollars), published shortly after 4 p.m. London time each day, including weekends and bank holidays
• Real-time index pricing data (in U.S. dollars), published daily approximately once every second

CRYPTOCURRENCY REFERENCE RATE AND REAL-TIME INDEX	TICKER
CME CF Avalanche–Dollar Reference Rate	AVAXUSD_RR
CME CF Avalanche–Dollar Real-Time Index	AVAXUSD_RTI
CME CF Filecoin–Dollar Reference Rate	FILUSD_RR
CME CF Filecoin–Dollar Real-Time Index	FILUSD_RTI
CME CF Tezos–Dollar Reference Rate	XTZUSD_RR
CME CF Tezos–Dollar Real-Time Index	XTZUSD_RTI

The additional cryptocurrency pricing data will be available for testing in New Release on Monday, October 17.

Certification is not required.

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30-Year Uniform Mortgage-Backed Securities (UMBS) To-Be-Announced (TBA) Futures - Postponed

The previously announced launch of 30-Year Uniform Mortgage-Backed Securities (UMBS) To-Be-Announced (TBA) futures has been postponed. The new production launch date will be announced in future CME Globex notices in Q4 2022.

Please see Special Executive Report-9012R for additional details.

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

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Product Changes

Amendments to CBL Nature-Based Global Emissions Offsets Futures - October 23

Effective Sunday, October 23 (trade date Monday, October 24), the CBL Nature-Based Global Emissions Offsets futures will be amended to expand the outright monthly contracts for the current year and the next five calendar years.

Currently monthly contracts are listed for the current year and the next three calendar years.

AMENDMENTS TO CBL NATURE-BASED GLOBAL EMISSIONS OFFSETS 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
CBL Nature-Based Global Emissions Offsets Futures	NGO	VX	Monthly contracts listed for the current year and the next three (3) calendar years.	Monthly contracts listed for the current year and the next five (5) calendar years.

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

For additional information, please refer to Special Executive Report SER-9054.

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

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Listing Rule Change for Weekly Energy Options - October 23

Effective Sunday, October 23 (trade date Monday, October 24), listing rule changes will allow the listing of weekly energy option contracts that expire on the same day as the monthly option.

Currently, CME Globex does not allow the listing of weekly Energy option contracts if they would expire on the same day as the corresponding monthly option.

Please note: When the weekly contract expiration coincides with the monthly option contract expiration, the weekly option exercises into or settles against the second listed futures contract month.

LISTING RULE CHANGE FOR WEEKLY ENERGY OPTIONS
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Crude Oil Weekly Option	LO1-LO5	LO
Brent Crude Oil Weekly Option	BW1-BW5	OT
Natural Gas Weekly Financial Option	LN1-LN5	LG
Natural Gas Weekly Option	ON1-ON5	ON
Micro WTI Crude Oil Weekly Option	MW1-MW5	M8

This change is 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 Reduction for SOFR-Based Swap Futures - October 30

Effective Sunday, October 30 (trade date Monday, October 31), the listing cycle for the following MAC SOFR Swap futures, Eris Bloomberg Short Term Bank Yield Swap futures, and Eris SOFR Swap futures will be amended on CME Globex.

Listing Cycle Expansion for SOFR-Based Swap 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
2-Year MAC SOFR Swap Futures	T1S	SJ	Contracts listed for 3 Months in the March Quarterly Cycle (March, June, September, December), on a rolling basis	Contracts listed for 2 Months in the March Quarterly Cycle (March, June, September, December), on a rolling basis
5-Year MAC SOFR Swap Futures	F1S	SF
7-Year MAC SOFR Swap Futures	S1S	S7
10-Year MAC SOFR Swap Futures	N1S	SN
20-Year MAC SOFR Swap Futures	E1S	S2
30-Year MAC SOFR Swap Futures	B1S	SM
1-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures	KXA	BY
2-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures	KXT	BY
3-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures	KXC	BY
4-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures	KXD	BY
5-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures	KXW	BY
7-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures	KXB	BY
10-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures	KXY	BY
1-Year Eris SOFR Swap Futures	YIA	EB
2-Year Eris SOFR Swap Futures	YIT	EB
3-Year Eris SOFR Swap Futures	YIC	EB
4-Year Eris SOFR Swap Futures	YID	EB
5-Year Eris SOFR Swap Futures	YIW	EB
7-Year Eris SOFR Swap Futures	YIB	EJ
10-Year Eris SOFR Swap Futures	YIY	EJ
12-Year Eris SOFR Swap Futures	YII	EJ
15-Year Eris SOFR Swap Futures	YIL	EK
20-Year Eris SOFR Swap Futures	YIO	EK
30-Year Eris SOFR Swap Futures	YIE	EK

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

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

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Changes to SPIKES™ Volatility Index Futures - October 30

Effective Sunday, October 30 (trade date Monday, October 31), the minimum price increment and strategy type for SPIKES™ Volatility Index futures will change on CME Globex as follows:

CHANGES TO SPIKES™ VOLATILITY INDEX 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 TAG 762 - SECURITYSUBTYPE	NEW TAG 762 - SECURITYSUBTYPE
SPIKES™ Volatility Index Futures	SPK	MX	5.000000000	1.000000000	RT (Reduced Tick)	SP (Standard Calendar Spread)

 

Please note: With this change the daily settlement tick will also change from 0.05 to 0.01.

These changes 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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NewNew - Sunsetting LIBOR-Based Swap Futures - October 31

Effective Monday, October 31, LIBOR-based Swap futures will be sunset and no additional contract months will be listed.

Please note: All currently listed expirations will remain listed and continue to trade.

Sunsetting LIBOR-Based Swap Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Rule	Last Month Available for Trading
2-Year Eris Swap Futures	LIT	EI	On-the-Run quarterly contracts (Mar, Jun, Sep, Dec) listed for at least 2 quarters plus Off-the Run contracts until expiry.	June 2023
3-Year Eris Swap Futures	LIC	EI
4-Year Eris Swap Futures	LID	E1
5-Year Eris Swap Futures	LIW	E1
7-Year Eris Swap Futures	LIB	E6
10-Year Eris Swap Futures	LIY	E7
12-Year Eris Swap Futures	LII	E7
15-Year Eris Swap Futures	LIL	E8
20-Year Eris Swap Futures	LIO	E8
30-Year Eris Swap Futures	LIE	EC
2-Year U.S. Dollar Interest Rate Swap Futures	T1U	SJ	2 quarterly months	June 2023
5-Year U.S. Dollar Interest Rate Swap Futures	F1U	SF
7-Year U.S. Dollar Interest Rate Swap Futures	S1U	S7
10-Year U.S. Dollar Interest Rate Swap Futures	N1U	SN
20-Year U.S. Dollar Interest Rate Swap Futures	E1U	S2
30-Year U.S. Dollar Interest Rate Swap Futures	B1U	SM

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

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NewNew - Listing Cycle Amendment for 3-Month Eurodollar Futures - November 20

Effective Sunday, November 20 (trade date Monday, November 21), the listing cycle for the following 3-Month Eurodollar futures will be amended on CME Globex.

Listing Cycle Amendment for 3-Month Eurodollar 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
3-Month Eurodollar Futures	GE	GE	Quarterly contracts (Mar, Jun, Sep, Dec) listed for 40 consecutive quarters and the nearest 4 serial contract months. List a new quarterly contract for trading on the last trading day of the nearby expiry.	Quarterly contracts (Mar, Jun, Sep, Dec) listed for 40 consecutive quarters. List a new quarterly contract for trading on the last trading day of the nearby expiry. (Last listed serial month will be May 2023)

These futures will be available for customer testing in New Release on Monday, November 7.

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

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Changes to BTIC on Yen Denominated TOPIX Futures and Yen Denominated TOPIX Futures - Resting Order Eliminations - November 20

Effective Sunday, November 20 (trade date Monday, November 21), the following changes will be implemented to BTIC on Yen Denominated TOPIX futures and Yen Denominated TOPIX futures as follows:

• The minimum price increment tag 969-MinPriceIncrement will be amended for the BTIC on Yen Denominated TOPIX futures to 25.000000000 from the current value of 10.000000000.
• The decimal price locator tag 9787-DisplayFactor for the Yen Denominated TOPIX futures and BTIC on Yen Denominated TOPIX calendar spreads  will be amended to 0.001000000 from the current value of 0.010000000.

The daily settlement and clearing price increment for the Yen Denominated TOPIX futures published on the Market Data Incremental Refresh (tag 35-MsgType=X) messages will remain unchanged.

To facilitate this change, customers will be asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for existing futures, by the close on Friday, November 18. After 16:00 CT on Friday, November 18, any remaining GT orders on these markets will be removed by the CME Global Command Center (GCC).

CHANGES TO BTIC ON YEN DENOMINATED TOPIX FUTURES AND YEN DENOMINATED TOPIX FUTURES
PRODUCT	MDP 3.0: TAG 6937-ASSET	ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP
BTIC on Yen Denominated TOPIX Futures	TPB	BJ
Yen Denominated TOPIX Futures	TPY	TJ

These changes will be available for customer testing in New Release on Monday, October 24.

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

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Change to Bursa Malaysia Derivatives (BMD) Extended Night Trading Session - December 2022

In December 2022, and pending final regulatory approval, Bursa Malaysia Derivatives (BMD) will extend its night trading session for selected products on CME Globex. Due to the time difference between Malaysian Time and Central Time, the extended night trading session activities will begin the business day prior to actual trade date in Malaysian time. The new extended 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 Extended Night Trading Session
Current Monday - Thursday Night Trading Session	New Monday - Thursday Night Trading Session
21:00:00 hours to 23:30:00 hours (Malaysia time)	21:00:00 hours to 02:30:00 hours (Malaysia time)

 

Selected Products for Extended Night Trading Session
PRODUCT	MDP 3.0: TAG 6937-ASSET	ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP
FTSE  Kuala Lumpur Composite Index Futures	FKLI	BE
Gold Futures	FGLD	BG
MINI FTSE BURSE MALAYSIA MID 70 IDX	FM70	BS
FTSE Kuala Lumpur Composite Index Options	OKLI	BO (UDS: BU)
BMD Tin Futures	FTIN	BN
3 Month Kuala Lumpur Interbank Offered Rate Futures	FKB3	BT

This change is now 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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Events and Announcements

CME Group DR Datacenter Migration Test Postponed - March 2023

The mock disaster recovery test previously scheduled for September 10 has been postponed to early March 2023. Additional details, test scripts, and registration information will be announced in future CME Globex Notices. In the interim, we look forward to our customers joining us for the FIA Disaster Recovery Test on October 15, 2022.

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Cessation of Eurodollar CVOL Indices - March 6

On Monday, March 6, 2023, the calculation and publication of the following three Eurodollar CVOL benchmarks and associated derivative indicators, which use Eurodollar futures and options as input data, will permanently cease as approved by the CVOL Oversight Committee.

• Eurodollar 90-day CVOL
• Eurodollar 1-year Mid-curve 90-day CVOL
• Eurodollar 2-year Mid-curve 90-day CVOL

Additional information on this change is available on the CVOL webpage.

Any comments or queries regarding the cessation of the three Eurodollar CVOLs should be sent to benchmark@cmegroup.com.

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