20230410 - CME Group

CME Globex Notices: April 10, 2023

- To
- CME Globex and Market Data Customers
- From
- Global Market Solutions & Services (GMSS)
- #
- 20230410
- Notice Date
- 13 April 2023
Topics in this issue include:

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

Critical Updates

GLink Network Infrastructure Upgrade in Aurora - Q3 2023

In 2023, CME Group is upgrading its GLink network infrastructure at the CME Co-Location Facility in Aurora, IL. This network upgrade consists of:

Replacement of the existing end of life (EOL) Juniper switches with new Arista switches which will utilize new customer ports and new CME IPs
Introduction of a new GLink Demarc Cable providing customers with equidistant connectivity to any rack unit (RU) in their cabinet

The new GLink switches will also expand capacity to support future growth while the new GLink Demarc Cable will allow customers to optimize their CME Co-location Licensed Space. The new GLink infrastructure is anticipated to be ready in Q3 2023 with customer testing and cutover to the new network taking place during Q3/Q4 2023. Further details will be communicated during Q2 2023.

Please see the Client System Impact for details and FAQ.

Any immediate questions can be directed to Global Account Management.

Enhancements to Public Settlement “stl” Files on CME FTP - This Week

Effective this 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.

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.

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.

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:

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

Product Launches

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.

Listing Cobalt Metal (Fastmarkets) Futures Spreads
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 762- SecuritySubType
Cobalt Metal (Fastmarkets) futures	COB	CA	SP - Standard Calendar Spread SA - Strip SB - Balanced Strip Spread

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

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

Product Changes

Delisting and Removal of Eurodollar-SOFR Futures and Options Spreads - This Week

This 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.

Delisting and Removal of Eurodollar-SOFR Futures and Options Spreads
PRODUCT	MDP 3.0: TAG 6937-ASSET	ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP
Three-Month SOFR futures (SR3) vs Eurodollar futures (GE)	SED	SS
Three-Month SOFR futures (SR3) vs Eurodollar Futures (GE) Inter-Commodity Pack Spreads	SEP	SS
Exchange-Recognized Eurodollar options vs Three-Month SOFR options UDS	UD:U$: LS	U$

Please note: Along with this delisting, the LS strategy type Reduced Tick Eurodollar Options vs 3-Month SOFR Options Spread will be removed.

Changes to Implied Functionality and Reduced Tick Schedule for Short Term Interest Rate Futures - April 23

Effective Sunday, April 23 (trade date, Monday April 24), pending regulatory review, implied functionality will be enabled for certain Short-Term Interest Rate (STIR) Futures intercommodity spreads (tag 762-SecuritySubType=IS). For select intracommodity and intercommodity spreads on certain STIR futures, implied functionality will only be available when both legs have the same minimum tick.

ESR-SR3
RFI-ESR
RFI-SR3
RFD-ESR
RFD-SR3
RFD-RFI
BSB-GE
SR3-BSB
SR3-GE

Please note: Implied functionality in these intercommodity spreads will be disabled when any leg versus the 3-Month SOFR futures converts to 1/8 basis point tick increments. To support this enhancement, the minimum tick rules for Euro Short-Term (€STR) (ESR), RepoFunds Rate Italy (RFI) and RepoFunds Rate Germany (RFD) will be changed to better align with the rules for 3-Month SOFR futures as detailed below.

Changes to the following futures contracts minimum tick schedule will impact certain Short-Term Interest Rate Futures intercommodity and intracommodity spreads.

Changes to Reduced Tick Schedule for Interest Rate Futures
PRODUCT	MDP 3.0: TAG 6937-ASSET	ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP	Current Minimum Tick Rule	New Minimum Tick Rule
3-Month SOFR futures	SR3	SS	All contract months with four months or less until last day of trading: 0.0025 IMM Index points (¼ basis point per annum) = $6.25 All other contract months: 0.005 IMM Index points (½ basis point per annum) = $12.50
Euro Short-Term Rate (€STR) futures	ESR	EY	All contracts: 0.005 IMM Index points (½ basis point per annum) = €12.50 Contracts with two months or less until termination: 0.0025 IMM Index points (¼ basis point per annum) = €6.25 Contracts with one month or less until termination: 0.00125 IMM Index points (1/8 basis point per annum) = €3.125	All contracts: 0.005 IMM Index points (½ basis point per annum) = €12.50 Contracts with four months or less until termination: 0.0025 IMM Index points (¼ basis point per annum) = €6.25 Contracts with one month or less until termination: 0.00125 IMM Index points (1/8 basis point per annum) = €3.125
RepoFunds Rate (Italy) futures	RFI	I1	All contract months with one month or less until last day of trading (as defined in Rulebook section 48202.C): 0.00125 IMM Index points (1/8 basis point per annum) = €3.125 All contract months with two months or less until last day of trading (as defined in Rulebook section 48202.C): 0.0025 IMM Index points (¼ basis point per annum) = €6.25 All other contract months: 0.005 IMM Index points (½ basis point per annum) = €12.50	All contract months with one month or less until last day of trading (as defined in Rulebook section 48202.C): 0.00125 IMM Index points (1/8 basis point per annum) = €3.125 All contract months with four months or less until last day of trading (as defined in Rulebook section 48202.C): 0.0025 IMM Index points (¼ basis point per annum) = €6.25 All other contract months: 0.005 IMM Index points (½ basis point per annum) = €12.50
RepoFunds Rate (Germany) futures	RFD	G1	All contract months with one month or less until last day of trading (as defined in Rulebook section 48202.C): 0.00125 IMM Index points (1/8 basis point per annum) = €3.125 All contract months with two months or less until last day of trading (as defined in Rulebook section 48202.C): 0.0025 IMM Index points (¼ basis point per annum) = €6.25 All other contract months: 0.005 IMM Index points (½ basis point per annum) = €12.50	All contract months with one month or less until last day of trading (as defined in Rulebook section 48202.C): 0.00125 IMM Index points (1/8 basis point per annum) = €3.125 All contract months with four months or less until last day of trading (as defined in Rulebook section 48202.C): 0.0025 IMM Index points (¼ basis point per annum) = €6.25 All other contract months: 0.005 IMM Index points (½ basis point per annum) = €12.50

The new tick rules and implied functionality will be available for customer testing in New Release on Monday, April 17.

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

Listing Cycle Reduction for Three-Month SOFR Futures - April 23

Effective Sunday, April 23 (trade date Monday, April 24), the listing cycle for the Three-Month SOFR futures will be reduced on CME Globex.

Listing Cycle Reduction for Three-Month SOFR Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Schedule (change beginning 4/23/23)	New Listing Schedule as of 12/20/23
Three-Month SOFR futures	SR3	SS	41 quarterly contract months	39 quarterly contract months

Please note: To support this change, no new quarterly contract months will be generated following the expiration of the March 2023 and June 2023 contract months. Quarterly contract month listings will resume following the expiration of the September 2023 contract month, scheduled for December 20, 2023.

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

Change to Strike Price Listing for Short Dated New Crop Options - April 30

Effective Sunday, April 30 (trade date Monday, May 1), the strike price listing rule for Short Dated New Crop options will be updated as follows on CME Globex.

CHANGE TO STRIKE PRICE LISTING FOR SHORT DATED NEW CROP OPTIONS
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	CURRENT STRIKE PRICE LISTING RULE	NEW STRIKE PRICE LISTING RULE
Short Dated Options on New Crop Corn futures	OCD	OC	Strikes listed for 25% of the underlying Dec settlement price above and below the at-the-money strike at $0.05 per bushel increment plus dynamic strikes at $0.05 per bushel increment above and below the highest and lowest pre-listed strikes.	Strikes listed for 25% of the underlying Dec settlement price above and below the at-the-money strike at $0.10 per bushel increment plus dynamic strikes at $0.05 per bushel increment above and below the highest and lowest pre-listed strikes. Additional strikes listed for 25% of the underlying settlement price above and below the at-the-money strike at $0.05 per bushel increment for the first three contracts.
Short Dated Options on New Crop KC HRW Wheat futures	KWE	OK	Strikes listed for 25% of the underlying Jul settlement price above and below the at-the-money strike at $0.05 per bushel increment plus dynamic strikes at $0.05 per bushel increment above and below the highest and lowest pre-listed strikes.	Strikes listed for 25% of the underlying Jul settlement price above and below the at-the-money strike at $0.10 per bushel increment plus dynamic strikes at $0.05 per bushel increment above and below the highest and lowest pre-listed strikes. Additional strikes listed for 25% of the underlying settlement price above and below the at-the-money strike at $0.05 per bushel increment for the first three contracts.
Short-Dated Options on New Crop Soybean Oil futures	OLD	0O	Strikes listed for 50% of the underlying Dec settlement price above and below the at-the-money strike at $0.005 per pound increment plus dynamic strikes at $0.005 per pound increment above and below the highest and lowest pre-listed strikes.	Strikes listed for 25% of the underlying Dec settlement price above and below the at-the-money strike at $0.005 per pound increment plus dynamic strikes at $0.005 per pound increment above and below the highest and lowest pre-listed strikes.
Short Dated Options on New Crop Soybean Meal futures	OMD	ML	Strikes listed for 50% of the underlying Dec settlement price above and below the at-the-money strike at $5.00 per ton increment plus dynamic strikes at $10.00 per ton increment above and below the highest and lowest pre-listed strikes.	Strikes listed for 25% of the underlying Dec settlement price above and below the at-the-money strike at $5.00 per ton increment for strikes below $200.00, and $10.00 per ton increment for strikes equal to or above $200.00, plus dynamic strikes at $5.00 per ton increment above and below the highest and lowest pre-listed strikes. Additional strikes listed for 25% of the underlying settlement price above and below the at-the-money strike at $5.00 per ton increment for the first three contracts.
Short-Dated Options on New Crop Soybean futures	OSD	SQ	Strikes listed for 25% of the underlying Nov settlement price above and below the at-the-money strike at $0.10 per bushel strike increment plus dynamic strikes at $0.10 per bushel strike increment above and below the highest and lowest pre-listed strikes.	Strikes listed for 25% of the underlying Nov settlement price above and below the at-the-money strike at $0.20 per bushel strike increment plus dynamic strikes at $0.10 per bushel strike increment above and below the highest and lowest pre-listed strikes. Additional strikes listed for 25% of the underlying settlement price above and below the at-the-money strike at $0.10 per bushel increment for the nearest three contracts
Short-Dated Options on New Crop Wheat futures	OWD	OW	Strikes listed for 25% of the underlying Jul settlement price above and below the at-the-money strike at $0.05 per bushel increment plus dynamic strikes at $0.05 per bushel increment above and below the highest and lowest pre-listed strikes.	Strikes listed for 25% of the underlying Jul settlement price above and below the at-the-money strike at $0.10 per bushel increment plus dynamic strikes at $0.05 per bushel increment above and below the highest and lowest pre-listed strikes. Additional strikes listed for 25% of the underlying settlement price above and below the at-the-money strike at $0.05 per bushel increment for the nearest three contracts.

These options will be available for customer testing in New Release on Monday, April 17.

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

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.

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).

Please note: Customers do not need to test from Disaster Recovery – please plan to stay in your production environment.

To participate in the disaster recovery exercise, register here.

View the mock script.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs).
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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CME Globex Notices: April 10, 2023