CME Globex Notices: January 4, 2021

Critical System Updates

New Resource for Critical Configuration Files

CME Group is committed to our customers’ information security. To deliver the best security and customer experience, all folders and files currently published on ftp.cmegroup.com are now also available on https://www.cmegroup.com/ftp. This includes all configuration information for MDP 3 channels.

Clients can continue to use the legacy ftp site, or move to the secure https site.

A CME Group Login ID is required for access to the new https resource. Learn more about CME Group Login, and create your basic account today.

Please note: the secure FTP site sftp.cmegroup.com is not impacted by this change.

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iLink 3 Configuration File Enhancement - This Week

Effective Sunday, January 10 (trade date Monday, January 11), the production config.xml file for iLink 3 will be enhanced to better support clients through the iLink 3 migration to schema v6.

As previously announced in the Client Impact Assessment, the v6 schema for iLink 3 sessions will be implemented on all Futures and Options on Futures market segments starting Sunday, January 24. Clients can send messages to CME Globex in either v5 or v6 encoding until close of business Friday, March 28. After March 28, only v6 messages will be accepted on all futures and options segments. BrokerTec on CME Globex will launch with schema v5 only.

Two new attributes will be added to the config.xml file on sftp.cmegroup.com to identify which schema is implemented on each gateway:

• <ToCMESchemaVersion>6,5</ToCMESchemaVersion> - this attribute defines which schemas are supported on messages sent from the client to CME Globex.
• <FromCMESchemaVersion>6</FromCMESchemaVersion> - this attribute defines which schema is supported on messages sent from CME Globex to the client.

With this change, the <fixpenabled> attribute will also be removed.

The New Release config.xml file is currently available with these changes for client testing.

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iLink 2 on MSGW Decommission - February 26

To accommodate client requests, iLink 2 on MSGW deprecation has been extended to the end of day Friday, February 26. Effective Sunday, February 28, 2021, all MSGW sessions still using iLink 2.x will be charged $1,000 per iLink session per week.

Effective Sunday, March 28, iLink 2 on MSGW will be decommissioned and all MSGW sessions will support iLink 3 only.

Please contact your Global Account Manager for additional information.

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Update on Order Routing and Front-End Audit Trail Requirements for iLink 3

As noted in the CME Globex Notice on January 30, 2020, the required audit trail specifications in the Client Systems Wiki were amended in connection with the implementation of iLink 3.

All customer systems must be certified for Audit Trail for iLink 3 prior to going to the production environment.

For additional information, please review the Market Regulation Advisory Notice on order routing and front-end audit trail regulatory requirements.

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iLink 3 SBE Schema Update - January 24

Starting Sunday, January 24 CME Group will update the schema for iLink 3 to support the upcoming CME FX Link Enhancements and EBS initiatives on CME Globex.  The overview of iLink 3 schema updates is now available.

In order to ease customer development efforts, the new SBE schema files will support Template Extension for iLink 3 massages sent from Client systems to CME Globex until the end of day Friday, March 26.  Client systems can send iLink 3 messages using the preceding version of a schema; however CME Globex will only send messages using the latest version of a schema.

Effective Sunday, March 28, 2021, version 6 schema will be the only supported in production.  Client systems can only send version 6 messages.

The new version 6 schema is currently available New Release for customer testing.

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Phase 1 CME FX Link Enhancements - February 21

Effective Sunday, February 21 (for trade date Monday, February 22), CME Group will launch the Phase 1 CME FX Link enhancements. CME FX Link is a spot FX basis spread on CME Globex, which provides unique new capital, margin and operational benefits for the FX marketplace by efficiently linking trading activity in FX Futures and OTC Spot FX via a single spread trade.

With these enhancements, CME Globex will provide the actual OTC Spot FX leg fill price, notional value for base and counter currency on the iLink fills for the OTC Spot FX leg instruments. Currently, these transaction details are not available via CME Globex and can only be obtained via CME Straight Through Processing (STP).

CME FX Link enhancements will apply to both iLink 2.x and iLink 3 customers. For iLink 3, these enhancements will be launched in production using the schema version 6. Additional information on the new FIX tags and messaging impacts for CME FX Link enhancements are available in the Client Impact Assessment.

The CME FX Link enhancements are currently available for customer testing in New Release.

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Phase 1 CME FX Link Enhancements: Drop Copy Impact - February 21

Effective Sunday, February 21 (for trade date Monday, February 22), CME Group will launch the Phase 1 CME FX Link enhancements.  CME FX Link is a spot FX basis spread on CME Globex, which provides unique new capital, margin and operational benefits for the FX marketplace by efficiently linking trading activity in FX Futures and OTC Spot FX via a single spread trade.

With these enhancements, the CME Drop Copy Service message payload will reflect the actual OTC Spot FX leg fill price, notional value for base and counter currency on the iLink fills for the OTC Spot FX leg instruments in the encapsulated XML Non-Fix (tag 35-MsgType=n) Message. Currently, these transaction details are not reflected in  the CME Drop Copy message payload and can only be obtained via CME Straight Through Processing (STP).

To support the implementation FX Link, the acknowledgments and execution reports on the encoded payload messages sent on Drop Copy will reflect the following new tags and enumerations:

• Tag 381 - GrossTradeAmt
• Tag 1056 - CalcCcyLastQty

Please note: Certification of client systems already leveraging Drop Copy Convenience Gateway (CGW) and Market Segment Gateway (MSGW) is not required.

Additional information on the new FIX tags and messaging impacts for the CME Drop Copy payload message for CME FX Link enhancements are available in the Client Impact Assessment.

The CME FX Link enhancements is currently available for customer testing in New Release.

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Product Launches

Listing Block Cheese vs. Cash Settled Cheese Strip Spread  - January 10

Effective Sunday, January 10 (trade date Monday, January 11),  Block Cheese vs. Cash Settled Cheese Strip Inter-Commodity spreads will be listed for trading on CME Globex.

These spreads are 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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California Carbon Allowance Vintage Specific Futures - January 10

Effective Sunday, January 10 (trade date Monday, January 11), pending completion of all regulatory review periods, California Carbon Allowance Vintage Specific futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These California Carbon Allowance Vintage Specific futures are currently available for customer testing in New Release.

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

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Listing 10-Yr Treasury Note vs. Ultra 10-Yr U.S. Treasury Note Inter-Commodity Spread - February 7

Effective Sunday, February 7 (trade date Monday, February 8), 10-Yr Treasury Note vs. Ultra 10-Yr U.S. Treasury Note Implied Inter-Commodity (3:2) ratio spread will be listed for trading on CME Globex.

These spreads will be available for customer testing in New Release on Monday, January 25.

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

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NewNew - Variable Quantity Japanese Japanese Power Futures  - February 7

Effective Sunday, February 7 (trade date Monday, February 8), pending completion of all regulatory review periods, four new Variable Quantity Japanese Power futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These futures will be available for customer testing in New Release on Monday, January 25.

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

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Product Changes

Implied Functionality Enabled for North European Hot-Rolled Coil Steel (Argus) Futures - This Week

Effective this Sunday, January 10 (trade date Monday, January 11), implied functionality for North European Hot-Rolled Coil Steel (Argus) futures will be enabled for all outright contracts and calendar spread combinations for all twelve listed contract months on CME Globex.

Implied eligible instruments, are identified in the MDP 3.0 Security Definition (tag 35-MsgType=d), in repeating group tag 871-InstAttribType:

• tag 872-InstAttribValue= 19: Implied Matching Eligibility

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

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

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Listing Cycle Expansion for EUR/USD Long-Dated Options and JPY/USD Long-Dated Options - This Week

Effective this Sunday, January 10 (trade date Monday, January 11), the listing cycle for the following EUR/USD Long-Dated options and JPY/USD Long-Dated options will be expanded on CME Globex and Trading Floor.

These options are 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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UpdateUpdate - Changes to Minimum Price Increment for SONIA Futures - January 24

† Denotes update to the article

Effective Sunday, January 24 (trade date Monday, January 25), pending completion of all regulatory review periods, CME Group will change tag 969-MinimumPriceIncrement for SONIA futures as follows.

With this change all outright futures and spread contracts will trade in minimum price increments of 0.250000000 only.

These changes will be available for customer testing in New Release on Monday, January 11.

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

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Change to Strike Price Listing for Options on Great British Pound/U.S. Dollar (GBP/USD) Futures - January 31

Effective Sunday, January 31 (trade date Monday, February 1), the CME Group will make the following changes to Options on Great British Pound/U.S. Dollar (GBP/USD) futures on CME Globex:

• change the strike price listing rule
• change to the external instrument name format

The external instrument name format on MDP 3.0 Security Definition (tag 35-MsgType=d) message in tag 55-Symbol and iLink tag 107-SecurityDesc Options on Great British Pound/U.S. Dollar (GBP/USD) futures will be changed. With this change, tag 202-StrikePrice strike price in MDP 3.0 will change to support the external name change.

These options are 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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Events and Announcements

CME Group Expanding GLink Network Infrastructure at Aurora Co-Location Facility - This Saturday

CME Group is expanding its network infrastructure to support future demand for 10G GLink connectivity at the CME Co-Location Facility in Aurora, IL. This network expansion is scheduled to occur this Saturday, January 9 from 6 a.m. – 1 p.m. Central Standard Time (CST) /1100 – 1800 Greenwich Mean Time (GMT). GLink customers may experience a brief interruption to service during this time. CME Group recommends all GLink customers confirm connectivity after the maintenance window closes. Please review the GLink Network Expansion Frequently Asked Questions (FAQ) for additional information.

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BrokerTec Markets on CME Globex  

To allow additional time for client readiness in the current environment, CME Group is moving the migration dates of BrokerTec to CME Globex.

• BrokerTec Europe will migrate on Monday, January 18, 2021
• BrokerTec US will migrate on Monday, February 1, 2021

For comprehensive information on the BrokerTec migration, please contact your Global Account Manager.

All APIs for BrokerTec on CME Globex are now available in New Release for client testing. More information about the APIs, onboarding and connectivity options is available on the BrokerTec Support Portal.

• To access the BrokerTec Support Portal you must be an existing customer or vendor with a signed Non-Disclosure Agreement (NDA) in place with BrokerTec.

Client systems must certify for all applicable APIs before prior to participating in any mock trading session. The AutoCert+ test suites are now available for client system certification.

BrokerTec Integration Timeline

• January 9, 2021 – January 30, 2021: Production Mock Trading Sessions
• January 18, 2021 – BrokerTec EU Launch
• February 1, 2021 – BrokerTec US Launch

The full release calendar is available on the BrokerTec Support Portal.

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