CME STP Notices: April 28, 2022

CME STP

UpdateUpdate - Three-Month SOFR Futures vs Eurodollar Futures Inter-Commodity Pack Spreads on CME STP - May 22

† Denotes update to the article

Effective † Sunday, May 22 (trade date Monday, May 23), 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:

• attribute TrdCaptRpt/Instrmt/AID/@AltID = SEP
• attribute TrdCaptRpt/Instrmt/AID/AltIDSrc = 112 (TAM Marker Price Symbol)
• 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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Derived Block Support in CME STP for Block Trades - May 22

Effective Sunday, May 22 (trade date Monday, May 23), a new price type TrdCaptRpt/@PxTyp=102 (Derive Price), will be introduced in CME STP Trade Capture Report(/TrdCaptRpt/) to support derived blocks trades.

The derived blocks, applicable for CME E-mini S&P select sector futures and CBOT Dow Jones US Real Estate Index futures, will allow block liquidity providers to privately negotiate a basis with their client, agree on the hedge execution algorithm, execute the hedge, and submit the derived block for clearing once the actual price is determined based on the hedges.

CME STP Trade Capture Report (/TrdCaptRpt/) will be published with actual price.

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

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Exchange-Recognized Eurodollar Options vs Three-Month SOFR Options UDS 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 are currently available for customer testing in New Release.

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CME STP FIX

UpdateUpdate - Three-Month SOFR Futures vs Eurodollar Futures Inter-Commodity Pack Spreads on CME STP FIX - May 22

† Denotes update to the article

Effective † Sunday, May 22 (trade date Monday, May 23), 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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Derived Block Support in CME STP FIX for Block Trades - May 22

Effective Sunday, May 22 (trade date Monday, May 23), a new price type tag 423-PriceType=102 (Derive Price), will be introduced in CME STP FIX Trade Capture Report (tag 35-MsgType=AE) to support Derived blocks trades.

The Derived blocks, applicable for CME E-mini S&P select sector futures and CBOT Dow Jones US Real Estate Index futures, will allow block liquidity providers to privately negotiate a basis with their client, agree on the hedge execution algorithm, execute the hedge, and submit the derived block for clearing once the actual price is determined based on the hedges.
CME STP FIX Trade Capture Report (tag 35-MsgType=AE) will be published with actual price.

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

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Exchange-Recognized Eurodollar Options vs Three-Month SOFR Options UDS 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 are currently available for customer testing in New Release.

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CME STP TRADE VIEW

Derived Block Support in CME STP Trade View for Block Trades - May 22

Effective Sunday, May 22 (trade date Monday, May 23), for trades using derived blocks, CME STP Trade View will display DERIVE_PRICE_BLOCK as Price Type in Trade Search results grid.

The derived blocks, applicable for CME E-mini S&P select sector futures and CBOT Dow Jones US Real Estate Index futures, will allow block liquidity providers to privately negotiate a basis with their client, agree on the hedge execution algorithm, execute the hedge, and submit the derived block for clearing once the actual price is determined based on the hedges.

This enhancement 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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