CME Globex Notices: December 5, 2022

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

Critical Updates

Update to Request for Quote Functionality (RFQ)  - January 22

Starting Sunday, January 22 (trade date Monday, January 23), CME Globex will update the RFQ tag formats for MDP3.0 tag 131-QuoteReqID, and iLink 2 and iLink 3 tag 9770-ExchangeQuoteRefId, to contain only numeric string values. The data types for these tags will not change. This notice is informational only. Clients should not parse these tags for reference information.

New Release and Production release dates are outlined below.

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iLink 3 Cancel On Behalf Functionality - February 12

Starting Sunday, February 12, 2023 (trade date Monday, February 13), CME Group will launch a new Cancel On Behalf functionality that allows iLink 3 sessions to cancel orders and quotes from different iLink 3 sessions under the same CME Globex Firm ID (GFID). This functionality 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 schema version 8. Cancel On Behalf is not allowed on iLink2 orders and quotes.

In addition to the new Cancel On Behalf functionality, CME Group will allow client systems to block future mass quotes submissions from a different iLink 3 session under the same GFID via Quote Cancel (tag 35-MsgType=Z) message using a new tag 9182-QuoteEntryOpen = 0.  The original session will have the ability to remove this block by submitting a Mass Quote (tag 35-MsgType=i) message with tag 9182-QuoteEntryOpen = 1.

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

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

Certification in AutoCert+ is required to utilize the new Cancel On Behalf functionality. The new AutoCert+ test suite is currently available for customer certification.

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Product Launches

Bursa Malaysia Derivatives (BMD)’s FTSE4Good Bursa Malaysia Index Futures Contract - This Week

Effective this Sunday, December 11 (trade date Monday, December 12), subject to receipt of regulatory approval prior to such date, Bursa Malaysia Derivatives (BMD)’s FTSE4Good Bursa Malaysia Index futures contract and spreads will be made available for trading on CME Globex.

These futures and spreads are 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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Listing LNG North West Europe Marker Strips and Spreads - This Week

Effective this Sunday, December 11 (trade date Monday, December 12), the following spreads will be listed for 24 months for the LNG North West Europe Marker futures on CME Globex.

Implied eligible instruments, are identified in the MDP 3.0 Security Definition (tag 35-MsgType=d), in repeating group tag 871-InstAttribType:

• tag 872-InstAttribValue= 19: Implied Matching Eligibility

These spreads 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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Listing New 30-Year Uniform Mortgage-Backed Security (UMBS) To-Be-Announced (TBA) Futures Coupons - This Week

Effective this Sunday, December 11 (trade date Monday, December 12), pending completion of all regulatory review periods, 5.5% and 6.0% 30-Year Uniform Mortgage-Backed Security (UMBS) To-Be-Announced (TBA) futures coupons will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These 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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Additional CME CF Benchmark Products – Decentralized Finance (DeFi) Pricing Data - December 19

Starting Monday, December 19, shortly after 10 a.m. London Time, pending completion of all regulatory review periods, CME Group and CF Benchmarks will launch additional cryptocurrency benchmarks designed to provide clients with transparent, robust, reliable reference rates and real-time pricing in the growing Decentralized Finance (DeFi) space.

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 US dollars), published shortly after 4 p.m. London Time each day, including weekends and bank holidays
• Real-time index pricing data (in US dollars), published approximately once every second

The additional cryptocurrency pricing data is currently available for testing in New Release.

Certification is not required.

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UpdateUpdate - BTIC and BTIC+ on EUR/USD Futures - February 5

† Denotes update to the article

Effective Sunday, February 5, 2023 (trade date Monday, February 6), pending completion of all regulatory review periods BTIC and BTIC+ on EUR/USD futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

† The price format on the MDP 3.0 Security Definition (tag 35-MsgType=d) for the underlying EUR/USD futures will remain unchanged on CME Globex and CME Clearport.

For additional information, please refer to Special Executive Report SER-9096.

These products will be available for customer testing in New Release on Monday, December 19.

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

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Product Changes

Change to Minimum Price Increment for Select FX Futures - This Week

Effective this Sunday, December 11 (trade date Monday, December 12), pending the completion of all regulatory review periods, tag 969-MinimumPriceIncrement for consecutive Calendar Month CME FX futures will change for the following spreads.

These changes 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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Enable and Expand Implied Functionality for Argus Crude Futures - This Week

Effective this Sunday, December 11 (trade date Monday, December 12), the implied functionality for the following Crude Oil futures and spreads will be enabled with the following contract listing rule.

The implication listing schedule will be expanded for Japan Crude Cocktail (Detailed) futures as follows:

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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UpdateUpdate - Changes to SOFR Futures and Options - January 8

† Denotes update to the article

Effective Sunday, January 8, 2023 (trade date Monday, January 9), the following changes will be made to SOFR futures and options:

• † Enable a maximum display tag 210-MaxShow for the Three-Month SOFR futures (tag 6937-Asset=SR3) to a maximum display ratio of 1:60. Currently these futures have no maximum display ratio.
• Disable Displayed Quantity functionality in tag 210-MaxShow(iLink 2) or tag 1138-DisplayQty(iLink 3) of the New Order or Cancel/Replace Request (tag 35-MsgType=G)  messages for SOFR options.

These changes will be made available for customer testing in New Release on Monday, December 12.

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

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Enable Implied Functionality for CME FX Futures - January 22

Effective Sunday, January 22, 2023 (trade date Monday, January 23, 2023), pending completion of all regulatory review periods, implied functionality for the following CME FX futures will be enabled for all outright contracts and calendar spread combinations for the first twelve consecutive contract months on CME Globex.

Implied eligible instruments, are identified in the MDP 3.0 Security Definition (tag 35-MsgType=d), in repeating group tag 871-InstAttribType:

• tag 872-InstAttribValue= 19: Implied Matching Eligibility

This change will be available for customer testing in New Release on Monday, December 19.

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

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Events and Announcements

NewNew - Save the Date: CME Group Backup Datacenter Migration and Test - March 4

CME Group is pleased to announce the move and upgrade of our backup datacenter as part of our commitment to the protection of our customers. Last year, we completed the migration of our backup clearing systems, and we are now focused on CME Globex and supporting systems. To help ensure customer can connect to our new backup datacenter, CME Group will hold mock disaster recovery testing on Saturday, March 4, at 9 a.m. Eastern Time (ET).

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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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