• CME Globex Notices: November 29, 2021

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20211129
      • Notice Date
      • 02 December 2021

    • Topics in this issue include:

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

      Critical System Updates

      Bursa Malaysia Derivatives (BMD) Night Trading Session - This Week

      Effective this Sunday, December 5 (trade date Monday, December 6) and pending final regulatory approval, Bursa Malaysia Derivatives (BMD) will add a night trading session for all active products (excluding FMG5) on CME Globex. Due to the time difference between Malaysian time and Central time, the night trading session activities will begin the business day prior to actual trade date in Malaysian time. The new night trading session will be open for trading Monday - Thursday.

      There will be no Friday night trading session. There is no impact to the current Monday - Friday day trading sessions.

      New Night Trading Session
      Product

      NEW
      Monday - Thursday Night Trading Session
      Night Session Trading Hours 21:00:00 hours to 23:30:00 hours (Malaysia time)

      Example of Monday-Thursday Trading Schedule

      • Trades executed during Monday night trading session will have a Tuesday trade date
      • Trades executed during Tuesday night trading session will have a Wednesday trade date
      • Trades executed during Wednesday night trading session will have a Thursday trade date
      • Trades executed during Thursday night trading session will have a Friday trade date
      • Friday night trading session is not supported

      Example of a Night Trading Session
      This example shows the night trading session market phases using a Monday, August 9, 2021, night trading session, with trades executed for a Tuesday, August 10, 2021, trade date.

      Monday Night Trading Session with a Tuesday Trade Date
      Night Session Trading Market State Malaysian Time (MYT)
      Pre-Open 20:45:00
      No-cancel 20:59:30
      Open 21:00:00
      Pause 23:30:00

       

      Products for Night Trading Session
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Crude Palm Oil Futures FCPO BC
      FTSE Kuala Lumpur Composite Index Futures FKLI BE
      Gold Futures FGLD BG
      USD RBD Palm Olein futures  FPOL BL
      MINI FTSE BURSE MALAYSIA MID 70 IDX FM70 BS
      Crude Palm Oil Options OCPO BP (UDS: BZ)
      FTSE Kuala Lumpur Composite Index Options OKLI BO (UDS: BU)
      FUPO BMD CRUDE PALM OIL FUPO BA
      Option on USD RBD Palm Olein Futures OPOL B8(UDS: B9)
      CRUDE PALM KERNEL OIL FUTURES FPKO BK
      BMD Tin Futures FTIN BN
      East Malaysia Crude Palm Oil Futures FEPO BR
      3 Month Kuala Lumpur Interbank Offered Rate Futures FKB3 BT

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

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      Three-Month SOFR Futures vs Eurodollar Futures on CME Globex - January 9

      Effective Sunday, January 9, 2022 (trade date Monday, January 10), an outright futures contract that represents the differential between the Three-Month SOFR futures vs Eurodollar futures contracts will be listed for trading on CME Globex commencing with the September 2023 contract month.

      THREE-MONTH SOFR FUTURES VS EURODOLLAR FUTURES ON CME GLOBEX
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Tag 167 - SecurityType tag 167 TAG 969 - MINPRICEINCREMENT MDP 3.0 CHANNEL
      Three-Month SOFR Futures (SR3) vs Eurodollar Futures (GE) SED SS FUT 0.001 312

      Please Note: implieds will NOT be enabled.

      Trades in the SED future will be decomposed in CME Clearing to trades in the Three-Month SOFR future and Eurodollar futures as described below.

      Buying the SED future will result in Clearing a buy of Three-Month SOFR futures and sell of Eurodollar futures.

      Security Definition Example: SEDU3

      Example: Buying the SED Future

      Buy 1 September 2023 Three-Month SOFR Futures
      Sell 1 September 2023 Eurodollar Futures

      The Three-Month SOFR futures (Clearing product code SR3) vs Eurodollar (Clearing product code ED) futures traded as SED will be cleared as outright trades and will be priced as follows:

      • The ED price will be determined as prior-day settlement,
      • The SR3 price will be determined as the prior-day Eurodollar settlement price, plus ISDA (International Swaps and Derivatives Association) spread adjustment rounded to four decimals (0.2616), plus the SED futures trade price.

      For additional information on the SED outright futures please refer to the Special Executive Report SER-8881.

      Further information on these trades will be published in the Clearing House Notice when available.

      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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      UpdateUpdate - EC Calendar Spread Leg Pricing Methodology Change - January 23

      † Denotes update to the article

      On Sunday, †January 23, 2022 (for trade date Monday, †January 24), to provide a more consistent leg pricing experience, the leg pricing methodology for the SecuritySubType=EC is being modified to use leg1 (the nearest expiration) as the anchor with prior day’s settlement price when the spread trades at zero, positive or negative price.  Currently, when the spread trades at a positive price, the leg2 (the deferred expiration) acts as the anchor leg.

      In addition, a new BTIC on Adjusted Interest Rate FTSE-100 Total Return Index futures calendar spread will be listed for trading on CME Globex.

      Please review the client impact assessment  for additional details.

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

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      Product Launches

      Micro Ether Futures - This Week

      Effective this Sunday, December 5 (trade date Monday, December 6), pending completion of all regulatory review periods, Micro Ether futures and BTIC on Micro Ether futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Micro Ether Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      Micro Ether Futures MET EZ 318
      BTIC on Micro Ether Futures MRB RJ 318

      These products 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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      Capital Gains Tax Futures - This Week

      Effective this Sunday, December 5 (trade date Monday, December 6), Capital Gains Tax futures and calendar spreads will be listed for trading on CME Globex pending regulatory approval. 

      CAPITAL GAINS TAX FUTURES AND SPREADS
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 TAG 762-SECURITYSUBTYPE Market Data Channel
      Capital Gains Tax Futures CGT MD SP
      (Calendar Spread)      		 460

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

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

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      Freight Route TC11 (Baltic) Futures - December 12

      Effective Sunday, December 12 (trade date Monday, December 13), pending completion of all regulatory review periods, the following Freight Route TC11 (Baltic) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Freight Route TC11 (Baltic) Future
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      Freight Route South Korea to Singapore TC11 (Baltic) Futures TC1 FT 386
      Freight Route South Korea to Singapore TC11 (Baltic) BALMO Futures T1B FT 386

      These Freight Route TC11 (Baltic) futures will be available for customer testing in New Release on Monday, December 6.

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

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      Inter-commodity Spread on Shanghai Gold (USD) Futures and Gold Futures - December 12

      Effective Sunday, December 12 (trade date Monday, December 13), the inter-commodity futures spread on Shanghai Gold (USD) futures and Gold futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      With this listing, the following amendments will be made on the Security Definition (tag 35-MsgType=d) message of the Shanghai Gold(USD) futures:

      • The minimum price increment tag 969-MinPriceIncrement will be amended from the current value of 10.000000000 to 1.000000000.
      • The decimal price locator tag 9787-DisplayFactor will be amended from the current value of  0.010000000 to 0.100000000

      The daily settlement and clearing price increment for the Shanghai Gold (USD) futures published on the Market Data Incremental Refresh (tag 35-MsgType=X) messages will remain unchanged.

      INTER-COMMODITY SPREAD ON SHANGHAI GOLD AND GOLD FUTURES SPREAD
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 FUTURE TAG 762- SECURITYSUBTYPE Market Data Channel
      Inter-commodity Spread on Shanghai Gold(USD) Futures and Gold Futures SGU AG AE (Fixed Price Ratio Inter-Commodity Futures Spread) 360

      The new inter-commodity futures spread and changes to the Shanghai Gold (USD) 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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      UpdateUpdate - EC Calendar Spread Leg Pricing Methodology Change - January 23

      † Denotes update to the article

      On Sunday, †January 23, 2022 (for trade date Monday, †January 24), to provide a more consistent leg pricing experience, the leg pricing methodology for the SecuritySubType=EC is being modified to use leg1 (the nearest expiration) as the anchor with prior day’s settlement price when the spread trades at zero, positive or negative price.  Currently, when the spread trades at a positive price, the leg2 (the deferred expiration) acts as the anchor leg.

      In addition, a new BTIC on Adjusted Interest Rate FTSE-100 Total Return Index futures calendar spread will be listed for trading on CME Globex.

      Please review the client impact assessment for additional details.

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

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      NewNew - Japanese Power (Day-Ahead) Tokyo Base-Load Average Price Option - January 23

      Effective Sunday, January 23, 2022 (trade date Monday, January 24), pending completion of all regulatory review periods, Japanese Power (Day-Ahead) Tokyo Base-Load Average Price option will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Japanese Power (Day-Ahead) Tokyo Base-Load Average Price Option
      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 Average Price Option JTO PH (UDS: PG) 386

      This Japanese Power (Day-Ahead) Tokyo Base-Load Average Price option will be available for customer testing in New Release on Monday, January 10, 2022.

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

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      Product Changes

      Trading Hours Change for SPIKES™ Volatility Index Futures - This Week

      Effective this Sunday, December 5 (trade date Monday, December 6), CME Group will eliminate the SPIKES™ Volatility Index futures’ 3:15-3:30pm CT market pause. The pause is currently communicated via the MDP Security Status (tag 35-Msg-Type=f) message where tag 326-SecurityTradingStatus=2 (Trading Halt).

      Trading Hours Change for SPIKES™ Volatility Index Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 CURRENT Trading Hours NEW Trading Hours
      SPIKES™ Volatility Index Futures SPK MX Globex Hours: Sunday 5:00 p.m. - Friday - 4:00 p.m. CT with a daily trading halt from 3:15 - 3:30 p.m. CT and maintenance period from 4:00 p.m. – 5:00 p.m. CT Globex Hours: Sunday 5:00 p.m. - Friday - 4:00 p.m. CT with a daily maintenance period from 4:00 p.m. – 5:00 p.m. CT

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

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      Changes to Bloomberg Commodity Index Futures: Resting Order Eliminations - This Week

      Effective this Sunday, December 5 (trade date Monday, December 6), the Bloomberg Commodity Index futures outrights and spreads will be amended as follows:

      • The display factor tag 9787-DisplayFactor for Bloomberg Commodity Index futures published on the Security Definition (tag 35-MsgType=d) message will change to 0.010000000 from the current value of 0.100000000.
      • The daily settlement methodology will change from leveraging the value of the Bloomberg Commodity Index futures contact Volume Weighted Average Price (VWAP) to leveraging the futures contracts' cash index close.
      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, December 3. After 16:00 CT on Friday, December 3, all remaining GT orders for these futures and spreads will be cancelled or deleted by the CME Global Command Center (GCC).

      Changes to Bloomberg Commodity Index Futures : Resting Order Eliminations
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 CURRENT TAG 9787-DISPLAYFACTOR NEW TAG 9787-DISPLAYFACTOR
      Bloomberg Commodity Index Futures AW AW 0.100000000 0.010000000

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

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

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      Renaming NYMEX Freight Futures and Options - This Week

      Effective this Sunday, December 5 (trade date Monday, December 6), the NYMEX Freight futures and options contracts will be renamed.

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

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      Change to Minimum Price Increment for Ether Futures: Resting Order Eliminations - This Week

      Effective this Sunday, December 5 (trade date Monday, December 6), pending the completion of all regulatory review periods, tag 969-MinimumPriceIncrement for Ether futures will change as follows:

      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 December 3. After 16:00 CT on December 3, all remaining GT orders for these futures and future spreads will be cancelled or deleted by the CME Global Command Center (GCC).

      Change to Minimum Price Increment for Ether Futures: Resting Order Eliminations
      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
      Ether Futures ETH EZ 25.000000000 50.000000000

      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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      NewNew - Delisting the Micro Japanese Yen/U.S. Dollar (JPY/USD) Futures - December 9

      Effective December 9, pending completion of all regulatory review periods, no additional contract months of the Micro Japanese Yen/U.S. Dollar (JPY/USD) futures contract will be listed on CME Globex. The last listed month of the contract will be March 2022.

      The permanent delisting for the Micro JPY/USD futures contract will be Tuesday, March 15, 2022.

      Delisting the Micro Japanese Yen/U.S. Dollar (JPY/USD) Futures
      Futures Name FIX/FAST AND ILINK: TAG 1151-SECURITY GROUP MDP 3.0: TAG 6937-ASSET FIX/FAST AND ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP

      LAST LISTED CONTRACT MONTH
      Micro Japanese Yen/U.S. Dollar (JPY/USD) Futures MJY 6J March 2022

      Please note: The December 2021 and March 2022 contracts will trade till expiry.

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      Events and Announcements

      CME SPAN 2 Margin Methodology - H1 2022

      CME Group is targeting the initial launch of SPAN 2 Margin Methodology in H1 2022, 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:

      US UK APAC
      +1 312 580 5353 +44 20 3379 3500 +65 6593 5599

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      NewNew - CME Globex Messaging Efficiency Program 2022 Holiday Calendar

      As noted in the CME Globex Messaging Efficiency Program (MEP) document, the MEP is not applied on certain dates before/on/after U.S. recognized holidays. To obtain dates as to when CME Globex Messaging Efficiency Program Ratios for all Product Groups included in the MEP will not be enforced, please refer to the CME Globex Messaging Efficiency Program Holiday Calendar.

      Please note the Holiday Calendar does not pertain to the Excessive Messaging Threshold (EMT) which is in effect during all trade dates and hours in which the Globex platform is open.

      If you have any questions, please contact the CME Global Command Center in the U.S. at +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010.

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