CME Globex Notices: March 20, 2023

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

Critical Updates

User Defined Spread (UDS) Name Update - April 2

Effective Sunday, April 2 (trade date Monday, April 3), CME Globex will update the tag 55-Symbol format for MDP3 and iLink 3 for User Defined Instruments (UDS). Additionally, tag 107-SecDesc will be updated for iLink 2. With this change, the date of UDS request will be removed from the name. The data types for these tags will not change.  Client systems should not parse the UDS name for reference information. 

• Tag-55 Symbol Current Format –  UD:U$: GN 0808123456
• Tag-55 Symbol New Format – UD:U$: GN 123456
• Tag 107-SecDesc Current Format –  UD:U$: GN 0808123456
• Tag 107-SecDesc New Format –  UD:U$: GN 123456

The updated UDS name format is currently available for customer testing in New Release.

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CME Settlements and Valuations SBE Schema and Final Settlement Update - April 2

Effective Sunday, April 2 (trade date Monday, April 3), CME Group will launch a new Simple Binary Encoding (SBE) schema on all CME Settlements and Valuations channels. Additionally, the new SBE incremental schema will be sent on Google Cloud: 

• CME Settlements and Valuations - SBE UDP Multicast
• Settlements and Valuations - GCP SBE  

Additionally, CME Settlements and Valuations will begin sending “final final” settlements with this update. The “final final” Settlement is the settlement sent after expiration of trade. 

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

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Enhancements to Public Settlement “stl” Files on CME FTP - April 16

Effective Sunday, April 16, CME Group will provide new, enhanced Public Settlement "stl" files on the CME FTP site. The legacy file formats will be decommissioned by Friday, April 14. 

Please review the Clearing Advisory for full technical details and decommission of legacy file schedule. 

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

Effective Sunday, April 30 (trade date Monday, May 1), CME Globex will extend the E-mini S&P 500 futures performance change to apply to all outright E-mini S&P 500 futures. Currently, this feature is only applied to the lead month future.

This change 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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Instrument Capacity for Futures and Options - May 14

Starting on Sunday, May 14 (trade date, Monday May 15), CME Group will increase the capacity for futures and options instruments listed. Currently, CME Globex only lists up to 1 million instruments. With this change, the full existing capacity will be unlocked, supporting the entire range of 2,147,483,646.

There is no expectation at this time of a significant increase to the number of instruments listed.

Due to recent volatility and global events, the need to list additional futures and options instruments has significantly increased and consequently, CME Group will update the SecurityID capacity. There is no change to the SecurityID field length and there will be no change to SBE message schemas or templates; but the possible values of the SecurityID field will expand to a maximum of 10 digits and a max value of 2,147,483,646.

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

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Derived Data Enhancement for BrokerTec U.S. Treasury Channel 215 - May 21

Effective Sunday, May 21, CME Group will support implied prices for RV Curve instruments and a new Simple Binary Encoding (SBE) schema on the derived data channel 215 - BrokerTec U.S. Treasuries. This launch will not impact the BrokerTec on CME Globex market data channels. 
The schema update will impact all client systems connecting to channel 215. The impacted services are as follows:

• BrokerTec U.S. Treasury Market Data - Multicast
• BrokerTec U.S. Treasury Market Data - GCP

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

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Product Launches

Test products for Three-Month SOFR Futures and Options - April 2

On Sunday April 2 (trade date Monday, April 3), the following Three-Month SOFR futures and options test products will be listed on CME Globex.

These products will be available for customer testing in New Release on Monday, March 20.

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USD/CNH Monthly and Weekly Friday Options - April 2

Effective Sunday, April 2 (trade date Monday, April 3), pending completion of all regulatory review periods, USD/CNH Monthly and Weekly Friday options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

The variable minimum tick increment for USD/CNH Monthly and Weekly Friday options will be as follows:

The Variable Tick Table (VTT) values are defined in the instrument’s Security Definition Message (tag 35-MsgType=d) in tag 6350-TickRule tick table value as described online.

These options 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 - Listing Cobalt Metal (Fastmarkets) Futures Spreads - April 23

Effective Sunday, April 23 (trade date Monday, April 24), the following Cobalt Metal (Fastmarkets) futures spreads will be made available for trading on CME Globex.

These spreads will be available for customer testing in New Release on Monday, April 3.

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

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Product Changes

NewNew - Listing Cycle Expansion for Molybdenum Oxide (Platts) Futures - April 2

Effective Sunday, April 2 (trade date Monday, April 3), the listing cycle for the following Molybdenum Oxide (Platts) futures will be expanded on CME Globex.

These futures will be available for customer testing in New Release on Monday, March 27.

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

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Enable Implied Functionality for CME FX Futures - April 2

Effective Sunday, April 2 (trade date Monday, April 3), 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 12 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

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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Delisting and Removal of Eurodollar-SOFR Futures and Options Spreads - April 16

On Sunday, April 16 (trade date Monday, April 17), the following Eurodollar-SOFR futures and options spreads will be delisted, and effective close of business Friday, April 21 these futures spreads will be removed from CME Globex.

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Events and Announcements

SPAN 2 Approximation Files Available Now

As previously announced, the SPAN 2 framework will be rolled out for specific product groupings in a phased multi-year approach after extensive testing, starting with major NYMEX energy futures and options on futures. 

To help clients prepare for this launch, CME Group is offering the following services:

• Tools for replicating SPAN 2 margin requirements through software and API solutions for post-trade processes.
• New SPAN 2 approximation file to help firms estimate SPAN 2 margins in low latency margin calculation scenarios for pre-trade margin approximation processes.

Please contact PostTradeServices@cmegroup.com now to get ready for this critical migration.

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NewNew - Messaging Efficiency Program Q2 2023 Benchmarks  - Now Available

The Q2 2023 CME Globex futures and options on futures Messaging Efficiency Program product group benchmarks are now available.

The following changes will be made in Q2 2023 product group benchmarks versus Q1 2023 product group benchmarks:

• (GE) Eurodollar futures, (ZE) Eurodollar options and (E0, E2, E3, E4 & E5) Eurodollar Midcurve options will be removed starting April 3
• (SS) Three-Month SOFR futures and (JE) options on Three-Month SOFR futures will be added starting May 1

CME Group is also currently reviewing its Messaging Efficiency Program and anticipates implementing changes in the second half of 2023. Detailed information will be released one quarter ahead of the planned implementation.

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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NewNew - Save the Date: CME Group Backup Datacenter Migration and Test - May 6

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 customers can connect to our new backup datacenter, CME Group will hold mock disaster recovery testing on Saturday, May 6, at 9 a.m. Eastern Time (ET).

To participate in the disaster recovery exercise, register here.

View the mock script.

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Delisting of Morningstar Indexes - March 31

As previously announced by Morningstar, at close of business Friday, March 31, Morningstar Indexes on CME S&P Streamlined Market Data for Equity Indices (channel ID 210) will be delisted.

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