• CME Globex Notices: April 23, 2018

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20180423
      • Notice Date
      • 26 April 2018

    • Topics in this issue include:

    • Critical System Updates

      CME FX Link Security Definition Update - This Week

      This Sunday, April 29 (for trade date Monday, April 30), CME Group will update the CME FX Link spot leg Security Definition messages (tag 35-MsgType=d) with tag 872-InstAttrbValue bit 10- Negative Price Eligibility and bit 14- Zero Price Eligible with the value of 1 to provide customers additional instrument information.

      Product Name MDP 3.0 tag 6937-Asset iLink tag 55-Symbol
      MDP3.0 tag 1151-SecurityGroup
      Euro / US Dollar Spot FX EURUSD 02 (Zero-2)
      US Dollar / Canadian Dollar Spot FX USDCAD 02 (Zero-2)
      British Pound / US Dollar Spot FX GBPUSD 01 (Zero-1)
      Australian Dollar / US Dollar Spot FX AUDUSD 01 (Zero-1)
      US Dollar / Japanese Yen Spot FX USDJPY 01 (Zero-1)
      US Dollar / Mexican Peso Spot FX USDMXN 02 (Zero-2)

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

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      MDP 3.0 Performance Enhancements - May 6

      Effective Sunday, May 6 (trade date Monday, May 7), CME Group will continue performance improvements on the following CME Globex MDP 3.0 channels. In internal testing, these enhancements improved MDP 3.0 performance up to 60%.

      These enhancements will not impact iLink order routing or market structure dynamics.

      MDP 3.0 Performance Enhancements
      Launch Date Impacted MDP 3.0 Channels
      May 6 CME Globex Interest Rate Futures – 312
      CBOT Globex Interest Rate Futures II – 348
      May 20 CME Globex FX Futures II – 320
      CME Globex FX Options II – 321
      NYMEX Globex Crude & Crude Refined Futures – 382
      DME Globex Futures - 440

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      Price Precision Extension - 2018

      CME Group is implementing end-to-end technology changes to support increased price granularity. Currently, CME Group systems support a maximum of 7 decimals. With this initiative, products with up to 9 decimals may be listed and traded. In Q4 2018, pending regulatory approval, the 2 Year Treasury Note futures and spreads will move from 7 decimals to 8 to support trading at 1/8 of 1/32.

      Customers are encouraged to move to support 9 decimals now; but there are no plans to list a product that uses the 9th decimal at this time.

      Starting Sunday, August 12, the price precision extension rollout will begin with MDP 3.0.

      Price Precision Timeline:

       

      For complete updated rollout information and dates, refer to Key Events and Dates in the Client Impact Assessment.

      The Client Impact Assessment includes additional information on the following:

      • CME Globex iLink
      • CME Globex MDP3
      • Streamlined MDP
      • ITC
      • CME Globex Drop Copy
      • Referential Data

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

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      CME Globex API Secure Logon – iLink and Drop Copy

      CME Group is committed to our customers’ information security. To ensure the highest levels of security, CME Group has launched the CME Globex API Secure Logon in Q1 2018 to harden iLink and Drop Copy 4.0 session authentication.

      The new Secure Logon is in production and will be supported in parallel with the current model without surcharges until Friday, April 27. Customers are strongly encouraged to make the change before the end of April to ensure no business interruption. Any iLink or Drop Copy Target sessions that connect using plain text password after April 27 will be subject to surcharges as follows:

      • Sunday April 29 – Friday June 1: $100/session/month
      • Sunday June 3 – Friday June 29: $500/session/month

      Only Secure Logons will be supported starting Sunday, July 1.

      The Client Impact Assessment provides more detailed process and messaging information.

      A new iLink and Drop Copy certification suite is currently available in AutoCert+. iLink and Drop Copy 4.0 customer systems must complete this mandatory certification.

      The CME Globex API Secure Logon is now available for customer testing in New Release.

      Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

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      New Functionality

      CME SOFR Futures and Spreads  - May 6

      Effective Sunday, May 6 (trade date Monday, May 7), the following CME SOFR futures and standard intra-commodity spreads will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.   

      SOFR Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 MDP 3.0 Market Data Channel New Release
      3-Month SOFR Futures SR3 SS 312 Available
      1-Month SOFR Futures SR1 SS 312 Available

      Spread type FS will be not be listed in production for the 1-Month SOFR futures and has been removed from New Release.

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

      Customers should note the named month (e.g., SR3K8) in the external name in MDP 3.0 tag 55-Symbol and iLink tag 107-SecurityDesc does not reflect the last trade date. The instrument last trade date can be found by leveraging FIX tags 865=7 (Last eligible trade date) and 1145-EventTime in the Security Definition (tag 35-MsgType=d) message. As a reminder, CME Group does not recommend parsing the external instrument name to determine instrument characteristics.

      The following inter-exchange and inter-commodity spreads will also be listed for trading on CME Globex.

      SOFR Inter-Commodity Futures Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Future Tag 762-SecuritySubType MDP 3.0 Market Data Channel New Release
      3-Month SOFR vs. Eurodollar Inter-Commodity Spread SR3 SS IS 312 Available
      1-Month SOFR vs. 30-Day Fed Funds future Inter-Exchange Spread SR1 SY IS 312 Available
      1-Month SOFR vs. 3-Month SOFR future Reduced Tick Inter-Commodity Ratio Spread SR1 SS EF 312 Available
      30-Day Fed Funds futures vs. 3-Month SOFR Reduced Tick Inter-Exchange Ratio Spread ZQ SY EF 348 Available

      Strategy type IS and EF supports inter- and intra-exchanges and products.

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      Implied Functionality on Eurodollar Serial Months - May 6

      Effective Sunday, May 6 (trade date Monday, May 7), implied functionality will be enabled for all serial Eurodollar futures and calendar spreads on CME Globex.

      This change is 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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      Globex MDP3 SBE Schema Update - August 12

      Starting Sunday, August 12, in conjunction with the price precision initiative, CME Group will update the schema for all Globex MDP3 SBE market data channels.  Please view the rollout schedule.   This release will not support template extension, however the order of the fields will be preserved in the new templates.  Please review an overview of changes. 

      The new version 9 schema is currently available on the New Release public FTP.   Customers can begin testing schema version 9 in New Release on Sunday, May 20. 

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      Streamlined MDP SBE Schema Update - August 26

      Starting Sunday, August 26, in conjunction with the price precision initiative, CME Group will update the schema for streamlined SBE market data channels to support schema version 9 to ensure consistency between market data channels.  Please view the rollout schedule.  This release will not support template extension; however, the order of the fields will be preserved in the new templates. Please review an overview of changes. 

      The new version 9 schema is currently available on the New Release public FTP.   Customers can begin testing schema version 9 in New Release on Sunday, May 20. 

      Please Note: The schema update timeline for Streamlined Equity Indices, Eris Exchange and Bitcoin channels will be announced at a later date.

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      Product Launches

      UpdateUpdate - TACO on E-Mini S&P 500 Futures - May 13

      † Denotes update to the article

      Effective Sunday, May 13 (trade date Monday, May 14) and pending all relevant CFTC regulatory review periods, CME will permit Basis Trade at Cash Open (TACO) transactions on E-Mini S&P 500 futures for trading on CME Globex and for submission for clearing via CME ClearPort.  A TACO transaction on the E-Mini S&P 500 futures is an outright future trading the differential between the equity future and underlying cash index's marking at the publication of the Special Opening Quotation (SOQ).  The TACO instrument is similar to the BTIC (Trade at Cash Close) instrument but uses the cash market open and will trade Sunday – Friday following a unique trading schedule. 

      TACO on E-Mini S&P 500 Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      TACO on E-Mini S&P 500 Futures ESQ 3T 318

      TACO Trading Hours for E-mini S&P Contract:
      Sunday – Friday as follows:

      • †Sunday Pre-Open 4:00 pm Central Time (CT)
      • †Trading starts on Sunday at 5:00 pm (CT) and stops on Monday at 8:30 am (CT)
      • Monday – Friday trading stops and market close at 8:30 am (CT), ALL day orders eliminated
      • †Monday – Thursday Pre-Open 9:30 am (CT)
      • Monday – Thursday trades from 10:00 am (CT) – 4:00 pm (CT)
      • Monday – Thursday Market Halt occurs at 4:00 pm – 5:00 pm (CT) - Globex Maintenance Period NO day orders eliminated
      • †Monday – Thursday Pre-Open 4:45 pm (CT)
      • Monday – Thursday trades from 5:00 pm (CT) –  8:30 am (CT) next business day
      • No trading allowed after 8:30 am (CT) on Friday, ALL day orders eliminated

      Please Note: Preliminary and final settlements will be published externally; these prices are not used for Clearing end of day mark to market, the Special Opening Quote (SOQ) for the TACO will be used by Clearing for mark to market purposes.
      The settlement price in Market Data Incremental Refresh (tag 35-MsgType=X, 269=6) message is the price of the last traded differential of the trading session and is used for the following:

      • internal Price Banding
      • display of reference price of the last traded differential on customer systems

      TACO on E-Mini S&P 500 futures are currently available for customer testing in New Release.

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      Product Changes

      NewNew - Delisting and Removal of Platts Natural Gas - April 23

      On Monday, April 23, the following Platts Natural Gas products were delisted, and on Friday, April 27, these futures will be removed from CME Globex at close of business.

      Delisting and Removal of Platts Natural Gas
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Algonquin City-Gates Natural Gas (Platts IFERC) Basis Futures B4N FD
      Tennessee Zone 0 Natural Gas (Platts IFERC) Basis Futures NQN FD
      CIG Rockies Natural Gas (Platts IFERC) Fixed Price Futures XIC FD

      These futures currently have no open interest.

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      NewNew - Delisting and Removal of Apple Juice Concentrate Futures and Options - April 25

      On Wednesday, April 25, the following Apple Juice Concentrate futures and options were delisted, and on Friday, April 27, these futures and options will be removed from CME Globex at close of business.

      Delisting and Removal of Apple Juice Concentrate Futures and Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Apple Juice Concentrate Futures AJC AJ
      Apple Juice Concentrate Options AJC A0

      These futures and options currently have no open interest.

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      NewNew - Strike Price Increment for Brent Crude Oil Last Day Financial Calendar Spread Option - 1 Month - May 20

      Effective Sunday, May 20 (trade date Monday, May 21), the strike price listing rules for Brent Crude Oil Last Day Financial Calendar Spread options - 1 Month will be modified on CME Globex.

      Strike Price Increment for Brent Crude Oil Last Day Financial Calendar Spread Option - 1 Month
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Strike Listing Rule New Strike Listing Rule
      Brent Crude Oil Last Day Financial Calendar Spread Option - 1 Month 9C OT Dynamic strikes only at $0.05 per barrel strike increment. Minimum 20 strikes at $0.05 per barrel strike increment above and below the at-the-money strike then 10 strikes at $0.25 per barrel strike increment above and below the highest and lowest $0.05 per barrel increment strikes then 4 strikes at $0.50 per barrel strike increment above and below the highest and lowest $0.25 per barrel increment strikes plus dynamic strikes at $0.05 per barrel strike increment for the nearest 36 months.
      Dynamic strikes only for months 37+ at $0.05 per barrel strike increment.

      This option will be available for customer testing in New Release on Monday, May 7.

      This contract is listed with, and subject to, the rules and regulations of NYMEX.

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      Change to Minimum Price Increment for Palladium Futures and Options - May 6

      Effective Sunday, May 6 (trade date Monday, May 7), the minimum price increment tag 969-MinPriceIncrement will be changed for the following.

      Palladium Futures and Option
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current tag 969 - MinPriceIncrement New tag 969 - MinPriceIncrement
      Palladium Futures PA PD 0.05 0.10
      Palladium Option PAO P3 0.01 0.10

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

      To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders after the close on Friday, May 4. After 16:00 CT on Friday, May 4 all remaining GT orders for this future will be cancelled or deleted by the CME Global Command Center (GCC).

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

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      Listing Cycle Changes and Delisting of E-mini Nifty 50 Index Futures - June 28

      On Monday, February 26, the E-mini Nifty 50 Index futures September 2018 and December 2018 contract months were removed from CME Globex.  With this change, the June 2018 contract will be the last available contract month listed for trading. Following the expiration of the June 2018 contract month, on Thursday, June 28, E-mini Nifty 50 Index futures will be delisted and removed from CME Globex at the close of business.

      Listing Cycle Changes and Delisting of E-mini Nifty 50 Index Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Listing Schedule New Listing Schedule
      E-mini Nifty 50 Index Futures MNF FN Four months in the March Quarterly Cycle and two nearest serial months Monthly contracts listed up to and including June 2018

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

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