CME STP Notices: April 7, 2022

CME STP

Three-Month SOFR Futures vs Eurodollar Futures Inter-Commodity Pack Spreads on CME STP - May 15

Effective Sunday, May 15 (trade date Monday, May 16), a futures pack spread (CME Globex product code - SEP) between the Three-Month SOFR Futures vs Eurodollar Futures contracts will be listed for trading on CME Globex and submission for clearing via CME ClearPort. In CME STP, trades on this new futures pack spread 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 SEP futures pack spread.

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

• The attribute TrdCaptRpt/Instrmt/AID/@AltID = SEP.
• 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 SEP trade.

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

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NewNew - Exchange Recognized Eurodollar Options vs Three-Month SOFR Options UDS Inter-Commodity Spread on CME STP - June 5

Effective Sunday, June 5 (trade date Monday, June 6), a new exchange recognized Eurodollar options vs Three-Month SOFR options UDS will be available for trading on CME Globex and submission for clearing via CME ClearPort. CME STP will support Trade Capture Reports for these UDS spreads under MlegRptTyp = "2" and MlegRptTyp="3", with a new security sub type "LS" (/TrdCaptRpt/Instrmt/@SubTyp="LS").

These spreads will be available for customer testing in New Release on Monday, April 18.

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CME STP FIX

Three-Month SOFR Futures vs Eurodollar Futures Inter-Commodity Pack Spreads on CME STP FIX - May 15

Effective Sunday, May 15 (trade date Monday, May 16), a futures pack spread (CME Globex product code SEP) between the Three-Month SOFR Futures vs Eurodollar Futures contracts will be listed for trading on CME Globex and submission for clearing via CME ClearPort. In CME STP, trades on this new futures pack spread 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 SEP outright future.

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

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

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

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NewNew - Exchange Recognized Eurodollar Options vs Three-Month SOFR Options UDS Inter-Commodity Spread on CME STP FIX - June 5

Effective Sunday, June 5 (trade date Monday, June 6), a new exchange recognized Eurodollar options vs Three-Month SOFR options UDS will be made available for trading on CME Globex and submission for clearing via CME ClearPort. CME STP FIX will support Trade Capture Reports for these spreads under tag 442-MultilegReportingType=”2” and tag 442-MultilegReportingType ="3", with a new security sub type "LS" (tag 762-SecuritySubTyp=LS).

These spreads will be available for customer testing in New Release on Monday, April 18.

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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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