CME STP Notices: December 2, 2021

CME STP

Three-Month SOFR Futures vs Eurodollar Futures on CME STP - January 9

Effective Sunday, January 9, 2022 (trade date Monday, January 10, 2022), an outright future (CME Globex product code - SED) between the Three-Month SOFR Futures vs Eurodollar Futures contracts will be available for trading on CME Globex. In CME STP, trades on this new outright futures will be decomposed into individual Trade Capture Reports for Three-Month SOFR futures (Clearing product code - SR3) and Eurodollar futures (Clearing product code - ED). These trades will be represented as /TrdCaptRpt/@TrdSubTyp=43 (TAM - Traded at marker).

The attribute TrdCaptRpt/DiffPx will carry the differential trade price with attribute TrdCaptRpt/DiffPxTyp=0 (Differential from Settlement)

There will be no Trade Capture Report for the SED outright future.

For reconciliation of Trade Capture Reports resulting from a SED trade, the individual Trade Capture Reports will reflect

• The attribute TrdCaptRpt/Instrmt/AID/@AltID=SED
• The attribute TrdCaptRpt/Instrmt/AID/AltIDSrc=112 (TAM Marker Price Symbol)
• The attribute TrdCaptRpt/@ExecID will be common to the ED and SR3 trades and unique for the SED trade.

This outright futures contract is currently available for customer testing in New Release.

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CME STP FIX

Three-Month SOFR Futures vs Eurodollar Futures on CME STP FIX - January 9

Effective Sunday, January 9, 2022 (trade date Monday, January 10, 2022), an outright future (CME Globex product code SED) between the Three-Month SOFR Futures vs Eurodollar Futures contracts will be available for trading on CME Globex. In CME STP, trades on this new outright futures will be decomposed into individual Trade Capture Reports (tag 35-MsgType=AE) for Three-Month SOFR futures (Clearing product code SR3) and Eurodollar futures (Clearing product code ED). These trades will be represented as tag 829-TradeSubType=43 (TAM - Traded at marker)

Tag 10033-DifferentialPrice in Trade Capture Reports (tag 35-MsgType=AE) will carry the differential trade price with tag 10024-DifferentialPriceType=0 (Differential from Settlement)

There will be no Trade Capture Report for the SED outright future.

For reconciliation of Trade Capture Reports resulting from a SED trade, the individual Trade Capture Reports will reflect

• tag 455-AlternateIdentifier=SED
• tag 456-AlternateIdentifierSource=112 (TAM Marker Price Symbol)
• tag 17-ExecID will be common to the ED and SR3 trades and unique for the SED trade.

This outright futures contract is currently available for customer testing in New Release.

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Contacts

Please contact the following support teams for:

• New Release Environment Support:
  Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593.
• Production Environment Support:
  CME Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010.

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