CME Globex Notices: July 12, 2021

Critical System Updates

CME Globex Performance Enhancements - July 25

The CME Globex Performance Enhancements will continue Sunday, July 25. Below are the updated timelines.  CME Group is implementing infrastructure and hardware upgrades to futures and options markets on the CME Globex platform. In internal testing, these enhancements improved performance on CME Globex more than 20% for both iLink 2 and iLink 3 order entry and MDP 3.0.

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Petrol Index on Benchmark Administration Premium - July 25

Effective Sunday, July 25 (trade date Monday, July 26), CME Group will launch Petroleum Index on Benchmark Administration Premium MDP. The Petroleum Index is end-of-day index that represents a single price for a basket of underlying Energy futures listed on NYMEX. The index is listed in points and based on a starting value of 100 on launch date, with the value changing daily relative to the movement on the underlying components.

The messages for this index will be sent on the Benchmark Administration Premium Simple Binary Encoding (SBE) Multicast channel ID 261 via SBE template MDIncrementalRefreshSettle401. The Petroleum Index will include the following new tag values:

Additional product and instrument reference information can be obtained via Reference Data API.

The Petroleum Index will be available for customer testing in New Release on Monday, July 19.

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CVOL Index on Benchmark Administration Premium - July 25

Effective Sunday, July 25 (trade date Monday, July 26), CME Group will launch the CME Group Volatility Index (CVOL) on Benchmark Administration Premium MDP. Calculated daily, the CME Group Volatility Index (CVOL) delivers cross-asset class family of implied volatility indexes based on simple variance.

The market data messages will be sent on the Benchmark Administration Premium Simple Binary Encoding (SBE) Multicast channel ID 261 via SBE template MDIncrementalRefreshSettle401. The CVOL Index will include the following new values:

Additional product and instrument information are defined in Reference Data API.

The CVOL Indexes will be available for customer testing in New Release on Monday, July 19.

Clearing Product Code Mapping

Foreign Exchange

Interest Rates

Metals

Energies

Agriculture

Cross-Asset

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NewNew - iLink 3 FIXP Messaging Enhancements - September 26

Effective Sunday, September 26 (trade date Monday, September 27), CME Group will implement enhancements to iLink 3 FIXP messages to be more consistent customer experience. With this change, any error conditions for Negotiate and Establish with invalid UUID and/or NextSeqNo are considered a protocol violation and will lead to the FIXP session being terminated.

These enhancements will be reflected on the FIXP messages as follows:

These changes will be available in New Release for customer testing on Wednesday, July 28.

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Product Launches

Listing Dutch TTF Natural Gas Calendar Month Futures Spreads - July 25

Effective Sunday, July 25 (trade date Monday, July 26), Dutch TTF Natural Gas Calendar Month futures intercommodity 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 NYMEX.

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UpdateUpdate - Adjusted Interest Rate Total Return Futures - July 25

† Denotes update to the article

Effective Sunday, July 25 (trade date Monday, July 26), pending completion of all regulatory review periods, the following products will be listed on CME Globex:

• Adjusted Interest Rate Total Return futures BTICs will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.
• † Adjusted Interest Rate Total Return futures will support Exchange of Futures for Related Positions (EFRP) transactions via CME ClearPort.

The AIR TRF Funding Values for these instruments will be available in the CME Reference Data API and CME Data Insights: Settlements and Valuations.

† For additional information, please review the Special Executive Report (SER).

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

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

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CBL Nature-Based Global Emissions Offset Futures - August 1

Effective Sunday, August 1 (trade date Monday, August 2), pending completion of all regulatory review periods, CBL Nature-Based Global Emissions Offset futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

The CBL Nature-Based Global Emissions Offset futures will be available for customer testing in New Release on Monday, July 26.

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

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Micro Treasury Yield Futures - August 15

Effective Sunday, August 15 (trade date Monday, August 16), pending completion of all regulatory review periods, Micro Treasury Yield 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, July 19.

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

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NewNew - Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) Futures - August 22

Effective Sunday, August 22 (trade date Monday, August 23), pending completion of all regulatory review periods, Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) Futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) Futures will be available for customer testing in New Release on Monday, August 2.

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

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Product Changes

Listing Cycle Expansion for TACO on E-mini Nasdaq-100 Futures and TACO on E-mini Russell 2000 Futures - This Week

Effective this Sunday, July 18 (trade date Monday, July 19), the listing cycle for the following TACO on E-mini Nasdaq-100 futures and TACO on E-mini Russell 2000 futures will be expanded on CME Globex.

These futures 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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Amendment of Circuit Breakers for Short-Term Interest Rate Products - July 25

Effective Sunday, July 25 (trade date Monday, July 26), pending all relevant CFTC regulatory review periods, circuit breaker values will be modified for the following Short-Term Interest Rate (STIR) products:

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 and CBOT.

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Extending Implied Functionality for Emissions Futures - August 1

Effective this Sunday, August 1 (trade date Monday, August 2), the implied functionality for the following Emissions futures and spreads will be expanded as follows:

This change will be available for customer testing in New Release on Monday, July 26.

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

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NewNew - IP Address Change for CME CF Rates and Indexes MDP  - August 14

Effective close of business Friday, August 14, CME Group will change source IPs for CME CF Rates and Indexes MDP as follows:

A new Streamlined config.xml file will be available for customer download  Saturday, August 15. See additional information on  SFTP - MDP Configuration.

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Changes to Minimum Price Increment for New Zealand Dollar/U.S. Dollar (NZD/USD) Futures - August 15

Effective Sunday, August 15 (trade date August 16), pending the completion of all regulatory review periods, tag 969-MinimumPriceIncrement for New Zealand Dollar/U.S. Dollar (NZD/USD) futures will change as follows:

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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Listing Cycle Expansion for Dutch TTF Natural Gas Calendar Month Futures - August 15

Effective Sunday, August 15 (trade date Monday, August 16), the listing cycle for the following Dutch TTF Natural Gas Calendar Month futures will be expanded on CME Globex.

These futures will be available for customer testing in New Release on Monday, August 2.

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

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Change to E-mini NASDAQ Biotechnology Futures - August 15

Effective Sunday, August 15 (trade date Monday, August 16), minimum price increment (tag 969-MinPriceIncrement) and unit of measure quantity (1147-UnitOfMeasureQty) for E-mini NASDAQ Biotechnology futures will change as follows:

This change will be available for customer testing in New Release on Monday, August 2.

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

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Change to E-mini FTSE 100 and Developed European Index Futures Strategy Type - August 22

Effective Sunday, August 22 (trade date Monday, August 23), the CME Group will change the tag 762-SecuritySubType in the Security Definition (tag 35-MsgType=d) message for the E-mini FTSE 100 and Developed European Index futures from EQ (Calendar Spread) to RT (Reduced Tick) on CME Globex. To support these changes, the existing SP (Calendar Spread) products will be removed on Friday, August 14, 2021.

Please Note: To facilitate this change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders after the close on August 13. After 16:00 CT on August 13, all remaining GT orders for these spreads will be cancelled or deleted by the CME Global Command Center (GCC).

This change will be available for customer testing in New Release on Monday, July 26.

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

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TACO and BTIC Amended Trading Schedule - September 26

Effective Sunday, September 26 (trade date Monday, September 27), and pending all relevant CFTC regulatory review periods, the Basis Trade at Cash Open (“TACO”) and Basis Trade at Index Close (“BTIC”) will open for Monday’s trade date on the previous Friday afternoon.

With this change and for the first time, CME Globex will support trading for a trade date over a weekend. The trade date for these products will not roll over on the weekend. This change will impact iLink 2 and iLink 3 order entry, MDP 3 market data, and CME STP and CME STP FIX.

Please review the Client Impact Assessment for information on functionality and messaging impacts.

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

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Events and Announcements

Messaging Efficiency Program Q3 2021 Benchmarks  - Now Available

The Q3 2021 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available. No changes were made to Q3 2021 existing Product Group Benchmarks vs. Q2 2021 Product Group Benchmarks.

The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are billed a surcharge for overly high message rates.

CME Globex firms who exceed the benchmark ratios in applicable product groups and are signed-up accordingly, receive email notifications of any potential surcharges. CME Globex firms who have access to the Firm Administrator Dashboard have the ability to view their messaging statistics on a T+1 basis.

Please contact your Global Account Manager with any questions.

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CME SPAN 2 Margin Methodology - Q4 2021

CME Group is targeting the initial launch of SPAN 2 Margin Methodology in Q4 2021, starting with a subset of energy products. Any firm that currently uses the CME SPAN methodology and trades impacted products will need to implement one of the following services for computing CME SPAN 2 margin requirements:

• CME Core – a CME Group hosted web application for Margin Calculation “CME CORE”
• Margin API – a CME Group hosted margin calculation API
• Deployable Margin Software – a CME Group java margin calculation library

Please Note: A limited number of existing pre-trade execution margin calculation processes may continue to be supported.

Firms using CME SPAN for pre-trade risk management can contact the Post Trade Services team for more information:

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