• CME Globex Notices: January 11, 2021

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20210111
      • Notice Date
      • 14 January 2021

    • Topics in this issue include:

    • For the latest roadmap of CME Group technology initiatives:
      See the Development Launch Schedule.

      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 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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      UpdateUpdate - iLink 3 SBE Schema Update - March 7

      † Denotes update to the article

      †To address recent changes to third-party SBE decoders, the previously announced iLink 3 SBE Schema Update to version 6 has been cancelled. The iLink 3 SBE schema will be updated to version 7 starting Sunday, March 7. CME FX Link Enhancements and EBS Market on CME Globex will launch in production on schema version 7. The overview of iLink 3 schema updates is now available.

      †Version 7 will include all enhancements from version 6 PLUS:

      • Change the data type of OrdType enum from uInt8 to uInt8NULL
        • Remove “Null” enum value(0)
      • Change the data type of TimeInForce enum from char to charNULL
        • Remove “Null” enum value(255)

      †Futures and Options on Futures - Production Rollout

      Date Messages from Client Messages from CME Globex
      Currently

      V5

      		 V5
      March 7 through March 28: Phased launch V5 and V7 V7
      Sunday, May 16 V7 only V7

      †Please Note: BrokerTec on CME Globex will remain on iLink v5.

      †The new version 7 schema will be available New Release for customer testing on Thursday, February 4.

      †To support the new iLink 3 schema rollout the CME SFTP site will be updated as follows:

      New Release: /MSGW/NRCert/Templates
      Schema Version Current State February 4
      V5

      ilinkbinaryPrev.xml

      		 ilinkbinary_v5.xml
      V6 ilinkbinary.xml N/A
      V7   ilinkbinary.xml
      Production: /MSGW/Production/Templates
      Schema Version Current State March 7
      V5

      ilinkbinary.xml

      		 iLinkbinary_v5.xml  
      V7   ilinkbinary.xml

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      UpdateUpdate - CME FX Link Enhancements - March 28

      † Denotes update to the article

      †As a result of the new dates of iLink 3 schema update, the previously announced launch of the Phase 1 CME FX Link enhancements have been postponed to Sunday, March 28 (for trade date Monday, March 29).

      †With these enhancements, CME Group will provide the following transaction details on the iLink fills for the OTC Spot FX leg instruments:

      CME FX Link Enhancements Transaction Details New Release Launch Production Launch
      Phase 1
      • Actual OTC Spot FX leg fill price
      • Notional value for base currency
      • Notional value for counter currency
      		 Thursday, February 4 Sunday, March 28
      Phase 2 Value Date Monday, March 29 Sunday, May 2

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

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      UpdateUpdate - CME FX Link Enhancements: Drop Copy Impact - March 28

      † Denotes update to the article

      †As a result of the new dates of iLink 3 schema update, the previously announced launch of the Phase 1 CME FX Link enhancements for the Drop Copy service has been postponed to Sunday, March 28 (for trade date Monday, March 29).

      †With these enhancements, the CME Drop Copy message payload will reflect the following transaction details on the iLink fills for the OTC Spot FX leg instruments in the encapsulated XML Non-Fix (tag 35-MsgType=n) Message.

      CME FX Link Enhancements Transaction Details New Release Launch Production Launch
      Phase 1
      • Actual OTC Spot FX leg fill price
      • Notional value for base currency
      • Notional value for counter currency
      		 Thursday, February 4 Sunday, March 28
      Phase 2 Value Date Monday, March 29 Sunday, May 2

      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).

      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.

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      Product Launches

      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.

      Listing 10-Yr Treasury Note vs. Ultra 10-Yr U.S. Treasury Note Inter-Commodity Spread
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 TAG 762-SECURITYSUBTYPE Market Data Channel
      10-Yr Treasury Note vs. Ultra 10-Yr U.S. Treasury Note (3:2) TOX IV IV
      (Implied Inter-Commodity Spread)

       

      		 344

      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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      Variable Quantity 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.

      Japanese Power Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      Japanese Power (Day-Ahead) Tokyo Base-Load Futures

      JBT

      PW

      		 386
      Japanese Power (Day-Ahead) Tokyo Peak-Load Futures

      JPT

      PW

      		 386
      Japanese Power (Day-Ahead) Kansai Base-Load Futures

      JBK

      PW

      		 386
      Japanese Power (Day-Ahead) Kansai Peak-Load Futures

      JPK

      PW

      		 386

      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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      NewNew - Ether Futures - February 7

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

      Ether Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel ITC Code
      Ether Futures ETH EZ 318 N/A

      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 CME.

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      NewNew - Yen Denominated JCC and JKM Futures - February 7

      Effective Sunday, February 7 (trade date Monday, February 8), pending completion of all regulatory review periods, the Japan Crude Cocktail (Detailed) Yen Denominated futures and the LNG Japan/Korea Marker (Platts) Yen Denominated futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Yen Denominated JCC and JKM Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      Japan Crude Cocktail (Detailed) Yen Denominated Futures

      JCY

      GU

      		 386
      LNG Japan/Korea Marker (Platts) Yen Denominated Futures

      JKY

      GU

      		 386

      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

      NewNew - Delisting and Removal of NY 3.0% Fuel Oil Futures - January 11

      On Monday, January 11, the following NY 3.0% Fuel Oil Futures were delisted, and effective close of business Friday, January 15, these futures will be removed from CME Globex.

      Delisting and Removal of NY 3.0% Fuel Oil Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      NY 3.0% Fuel Oil (Platts) Futures AH1 RF
      NY 3.0% Fuel Oil (Platts) vs. Gulf Coast HSFO (Platts) Futures FOC RF
      NY 3.0% Fuel Oil (Platts) BALMO Futures NYT CP

      These products currently have no open interest.

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      NewNew - Delisting and Removal of California Carbon Allowance Futures - January 11

      On Monday, January 11, the following California Carbon Allowance futures were delisted, and effective close of business Friday, January 15, these futures will be removed from CME Globex.

      Delisting and Removal of California Carbon Allowance futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      CBL California Carbon Allowance Vintage-Specific 2017 Futures C7C VX
      CBL California Carbon Allowance Vintage-Specific 2018 Futures C8C VX
      CBL California Carbon Allowance Vintage-Specific 2019 Futures C9C VX
      CBL California Carbon Allowance Vintage-Specific 2020 Futures CC0 VX

      These products currently have no open interest.

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      NewNew - Delisting and Removal of Platts Coal Products - January 11

      On Monday, January 11, the following Platts Coal products were delisted, and effective close of business Friday, January 15, these futures and options will be removed from CME Globex.

      Delisting and Removal of Platts Coal Products
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Powder River Basin Coal (Platts OTC Broker Index) Futures QP CO
      Powder River Basin Coal (Platts OTC Broker Index) Option on Quarterly Futures Strip RPF EF
      PRB Coal (Platts OTC Broker Index) Option on Quarterly Futures Strip Combo RPM 08
      CSX Coal (Platts OTC Broker Index) Futures QXB CO
      CSX Coal (Platts OTC Broker Index) Option on Quarterly Futures Strip CPF P5
      CSX Coal Option on Quarterly Futures Strip Combo CPM 08

      These products currently have no open interest.

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      Changes to Minimum Price Increment for SONIA Futures - January 24

      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.

      Changes to Minimum Price Increment for SONIA Futures
      Product MDP 3.0: tag 6947-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 CURRENT TAG 969-MINPRICEINCREMENT NEW TAG 969-MINPRICEINCREMENT
      Quarterly IMM SONIA Futures SON S8 0.250000000 for front month
      0.500000000 for subsequent months      		 0.250000000
      All months
      MPC SONIA Futures MPC S9 0.250000000 for front month
      0.500000000 for subsequent months      		 0.250000000
      All months

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

      These changes 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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      NewNew - Change to Strike Price Listing for Eurodollar Options and 3-Month SOFR Options - January 24

      Effective Sunday, January 24 (trade date Monday, January 25), the strike price listing rule will be changed for the Eurodollar options and 3-Month SOFR options complex, listed for trading on CME Globex, the CME trading floor, and for submission for clearing via CME ClearPort.

      Change to Strike Price Listing for Eurodollar Options and 3-Month SOFR Options
      Product MDP 3.0: tag 6947-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Strike Price New Strike Price
      Eurodollar Options GE ZE Strike prices for the first 6 option (4 serial and 2 quarterly) months will be listed in intervals of 6.25 basis points (0.0625 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. All other options (back 14 quarterlies) and Mid Curve Options will be listed in intervals of 12.5 basis points (0.125) in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 25 basis points (0.25) in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices for the first 8 option (4 serial and 4 quarterly) months will be listed in intervals of 6.25 basis points (0.0625 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract.

      All other options (back 12 quarterlies) will be listed in intervals of 12.5 basis points (0.125) in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 25 basis points (0.25) in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price.
      Options on Three-Month SOFR Futures SR3 JE
      Eurodollar One-Year MC Options GE0 E0 Strike prices will be listed in intervals of 12.5 basis points (0.125 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract.
      Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract.      		 Strike prices for the first 6 option (4 serial and 2 quarterly) months will be listed in intervals of 6.25 basis points (0.0625 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract.

      All other options (back 3 quarterlies) will be listed in intervals of 12.5 basis points (0.125) in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 25 basis points (0.25) in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price.
      Eurodollar Two-Year MC Options GE2 E2
      One-Year Mid-Curve Options on Three-Month SOFR Futures S0 J1
      Two-Year Mid-Curve Options on Three-Month SOFR Futures S2 J2
      Eurodollar One-Year Midcurve Weekly Options E01-E05 E0 Strike prices will be listed in intervals of 12.5 basis points (0.125 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 6.25 basis points (0.0625 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract.
      Eurodollar Two-Year Midcurve Weekly Options EE1-EE5 E2
      Weekly One-Year Mid-Curve Options on Three-Month SOFR Futures S01-S05 J1
      Weekly Two-Year Mid-Curve Options on Three-Month SOFR Futures S21-S25 J2

      These changes will be available for customer testing in New Release on Monday, January 18.

      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
      Change to Strike Price Listing for Options on Great British Pound/U.S. Dollar (GBP/USD) Futures
      Product MDP 3.0: tag 6947-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current
      Strike Price Listing Rule      		 New
      Strike Price Listing Rule

      Options on Great British Pound/U.S. Dollar (GBP/USD) Futures (front month (Quarterly or Serial)

      GBU

      		 YB +/- 10 strikes at 0.0050 interval plus an additional +/-5 strikes at 0.0100 interval  +/- 8 strikes at 0.0025 interval plus an additional +/-15 strikes at 0.0050 interval 

      Vol-Quoted Options on Great British Pound/U.S. Dollar (GBP/USD) Futures (front month (Quarterly or Serial)

      		 VXB B3 +/- 10 strikes at 0.0050 interval plus an additional +/-5 strikes at 0.0100 interval  +/- 8 strikes at 0.0025 interval plus an additional +/-15 strikes at 0.0050 interval 

      Weekly Options on Great British Pound/U.S. Dollar (GBP/USD) Futures (Monday)

      		 MB1-MB5 YB +/- 10 strikes at 0.0050 interval plus an additional +/-5 strikes at 0.0100 interval  +/- 8 strikes at 0.0025 interval plus an additional +/-15 strikes at 0.0050 interval 
      Weekly Options on Great British Pound/U.S. Dollar (GBP/USD) Futures (Wednesday) WG1-WG5 YB +/- 10 strikes at 0.0050 interval plus an additional +/-5 strikes at 0.0100 interval +/- 8 strikes at 0.0025 interval plus an additional +/-15 strikes at 0.0050 interval 

      Weekly Options on Great British Pound/U.S. Dollar (GBP/USD) Futures (Friday)

      		 1BP-5BP YB +/- 10 strikes at 0.0050 interval plus an additional +/-5 strikes at 0.0100 interval  +/- 8 strikes at 0.0025 interval plus an additional +/-15 strikes at 0.0050 interval 

      Weekly Vol-Quoted Options on Great British Pound/U.S. Dollar (GBP/USD) Futures (Wednesday)

      		 VG1-VG5 B3 +/- 10 strikes at 0.0050 interval plus an additional +/-5 strikes at 0.0100 interval  +/- 8 strikes at 0.0025 interval plus an additional +/-15 strikes at 0.0050 interval 

      Weekly Vol-Quoted Options on Great British Pound/U.S. Dollar (GBP/USD) Futures (Friday)

      		 VBA-VBE B3 +/- 10 strikes at 0.0050 interval plus an additional +/-5 strikes at 0.0100 interval  +/- 8 strikes at 0.0025 interval plus an additional +/-15 strikes at 0.0050 interval 

      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.

      CURRENT ILINK: TAG 107-SECURITYDESC MDP 3.0: TAG 55-SYMBOL NEW ILINK: TAG 107-SECURITYDESC MDP 3.0: TAG 55-SYMBOL CURRENT
      202-STRIKEPRICE      		 NEW
      202-STRIKEPRICE

      Examples:
      GBUZ0 C1125
      GBUZ0 C1127

      		 Examples:
      GBUZ0 C11250
      GBUZ0 C11275      		 Examples:
      11250.000000000
      11300.000000000      		 Examples:
      11275.000000000
      11325.000000000

      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

      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

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

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CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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