CME Globex Notices: December 27, 2021

Critical System Updates

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 is published in the Clearing House Notice.

Clients can retrieve additional product and instrument information from the Reference Data API.

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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EC Calendar Spread Leg Pricing Methodology Change - January 23

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

Argus Portside Iron Ore Futures - January 9

Effective Sunday, January 9, 2022 (trade date Monday, January 10), the following Argus Portside Iron Ore futures will be listed for trading with a new unit of measure on CME Globex and for submission for clearing via CME ClearPort.

ARGUS PORTSIDE IRON ORE FUTURES
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Iron Ore China Portside Fines CNH fot Qingdao (Argus) Futures	PAC	MA	360
Iron Ore China Portside Fines USD Seaborne Equivalent (Argus) Futures	PAU	MA	360

Please Note: With this launch, the Iron Ore China Portside Fines CNH fot Qingdao (Argus) futures will feature a new unit of measure identified in the Security Definition (tag 35-MsgType=d) message in tag 996-UnitOfMeasure= WMT (Wet Metric Ton).

These futures are 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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NewNew - Listing Bitcoin Futures versus Micro Bitcoin Futures Fixed Price Ratio Inter-Commodity Spreads - January 23

Effective Sunday, January 23, 2022 (trade date Monday, January 24), Bitcoin futures vs Micro Bitcoin futures Fixed Price Ratio Inter-Commodity spreads will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Listing Bitcoin Futures versus Micro Bitcoin Futures Fixed Price Ratio Inter-Commodity 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
Bitcoin Futures vs. Micro Bitcoin Futures	BTC	BF	AE	318

Please Note: Implieds will NOT be enabled. 

The spreads are structured as leg1 Bitcoin Futures (BTC) minus leg2 Micro Bitcoin Futures (MBT) with a ratio of 1:50. Additional information on the Fixed Priced Ratio Inter-Commodity spreads can be found on the Spreads and Combinations Available on CME Globex confluence page.

Example: Buying the spreads results in:
Buy 1 January 2022 Bitcoin Futures (BTC)
Sell 50 March 2022 Micro Bitcoin Futures (MBT)

These spreads 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 CME.

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EC Calendar Spread Leg Pricing Methodology Change - January 23

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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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)	387

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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NewNew - Container Freight Futures - February 13

Effective Sunday, February 13, 2022 (trade date Monday, February 14, 2022), pending completion of all regulatory review periods, Container Freight futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Container Freight Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	TAG 996-UNITOFMEASURE	Market Data Channel
Container Freight (China/East Asia to US West Coast) (FBX01) (Baltic) Futures	CS1	FT	FEU (Forty Foot Equivalent Unit)	386
Container Freight (US West Coast to China/East Asia) (FBX02) (Baltic) Futures	CS2
Container Freight (China/East Asia to US East Coast) (FBX03) (Baltic) Futures	CS3
Container Freight (China/East Asia to North Europe) (FBX11) (Baltic) Futures	CS4
Container Freight (North Europe to China/East Asia) (FBX12) (Baltic) Futures	CS5
Container Freight (China/East Asia to Mediterranean) (FBX13) (Baltic) Futures	CS6

Please Note: Container Freight futures will feature a new value for tag 996-UnitofMeasure=FEU (Forty Foot Equivalent Unit).

These futures will be available for customer testing in New Release on Monday, January 31, 2022.

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

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Product Changes

Changes to Nasdaq-100 Volatility Index Futures: Resting Order Eliminations - January 9

Effective Sunday, January 9, 2022 (trade date Monday, January 10), pending completion of all regulatory review periods, Nasdaq-100 Volatility Index futures, spreads and indices will be amended as follows:

• Change to tag 1146-MinPriceIncrementAmount
• Change to tag 1147-UnitOfMeasureQty
• Change to the Non-Reviewable Ranges

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, January 7, 2022. After 16:00 CT on Friday, January 7, all remaining GT orders for these futures and spreads will be cancelled or deleted by the CME Global Command Center (GCC).

Changes to Nasdaq-100 Volatility 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 1146 - MINPRICEINCREMENTamount	NEW TAG 1146 - MINPRICEINCREMENTamount	CURRENT TAG 1147 - unitofmeasurequantity	NEW TAG 1147 - unitofmeasurequantity	CURRENT NON-REVIEWABLE RANGE	NEW NON-REVIEWABLE RANGE
Nasdaq-100 Volatility Index Futures	VLQ	NQ	50.000000000	5.000000000	1000.000000000	100.000000000	1 Index Point	2 Index Points

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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Expansion to Strike Price Listing and Increased Listing Cycle Schedule for Options on E-mini Nasdaq-100 Index Futures - January 23

Effective Sunday, January 23, 2022 (trade date Monday, January 24), the following changes will be made to the E-mini Nasdaq-100 Options on CME Globex:

• Expansion of strike price listing for all E-mini Nasdaq-100 Options
• Increased listing schedule for E-mini Nasdaq-100 Weekly Options (Friday expiries).

For additional information on these changes, please refer to the Special Executive Report SER-8895.

Expansion to Strike Price Listing for Options on E-mini Nasdaq-100 Index Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Strike Price Listing Procedures	New Strike Price Listing Procedures
Options on E-mini Nasdaq-100 Futures	NQ	QZ	100 index point integer multiples upon listing: +30% to -50% of the prior day’s settlement price on the underlying future contract 10 index point integer multiples for the nearest expiration: +10% to -20% of the prior day’s settlement price on the underlying future contract.	500-point increment: -50% to +30% (when listed) 100-point increment: -40% to +20% (‹186 DTE) 50-point increment: -25% to +10% (‹96 DTE) 10-point increment: -10% to +5% (‹35 DTE) Dynamic strikes allowed at 5 index point increments.
Options on E-mini Nasdaq-100 Index Futures - End-of-Month (European-Style)	QNE	NW	100 index point integer multiples upon listing: +30% to -50% of the prior day’s settlement price on the underlying future contract 10 index point integer multiples for the nearest three expirations: +10% to -20% of the prior day’s settlement price on the underlying future contract
Wednesday Weekly Options on E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style) Monday Weekly Options on E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)	Q1A-Q5A & Q1C-Q5C	NW	Strikes listed within +10% to -20% of the prior day’s settlement price of the underlying future contract in 10 index point increments.
Weekly Options on E-mini Nasdaq-100 Index Futures - Week 1-4 (European-Style);	QN1-QN4	NW	Weeks 1, 2 and 4: +10% to -20% of the prior day’s settlement price of the underlying future contract in 10 index point increments Week 3: +30% and -50% of the prior day’s settlement price of the underlying future contract in 100 index point increments and +10% and -20% in 10 index point increments

Increased Listing Cycle Schedule for Weekly Options on E-mini Nasdaq-100 Index Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Cycle	New Listing Cycle
Weekly Options on E-mini Nasdaq-100 Index Futures - Week 1-4 (European-Style);	QN1-QN4	NW	2 weekly contracts of week 3; no listings provided for March, June, Sept, or Dec.	3 consecutive contracts of Week 3, including Mar, Jun, Sep, and Dec. These options will expire into the next named quarterly month (i.e., QN3H2 will expire into positions in the NQM2 Future)

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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Events and Announcements

NewNew - Messaging Efficiency Program Q1 2022 Benchmarks

The Q1 2022 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available online. No changes were made to Q1 2022 existing Product Group Benchmarks vs. Q4 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 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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