CME Globex Notices: March 13, 2023

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

Critical Updates

User Defined Spread (UDS) Name Update - April 2

Effective Sunday, April 2 (trade date Monday, April 3), CME Globex will update the tag 55-Symbol format for MDP3 and iLink 3 for User Defined Instruments (UDS). Additionally, tag 107-SecDesc will be updated for iLink 2. With this change, the date of UDS request will be removed from the name. The data types for these tags will not change.  Client systems should not parse the UDS name for reference information. 

• Tag-55 Symbol Current Format –  UD:U$: GN 0808123456
• Tag-55 Symbol New Format – UD:U$: GN 123456
• Tag 107-SecDesc Current Format –  UD:U$: GN 0808123456
• Tag 107-SecDesc New Format –  UD:U$: GN 123456

The updated UDS name format is currently available for customer testing in New Release.

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CME Settlements and Valuations SBE Schema and Final Settlement Update - April 2

Effective Sunday, April 2 (trade date Monday, April 3), CME Group will launch a new Simple Binary Encoding (SBE) schema on all CME Settlements and Valuations channels. Additionally, the new SBE incremental schema will be sent on Google Cloud: 

• CME Settlements and Valuations - SBE UDP Multicast
• Settlements and Valuations - GCP SBE  

Additionally, CME Settlements and Valuations will begin sending “final final” settlements with this update. The “final final” Settlement is the settlement sent after expiration of trade. 

Please review the Client Impact Assessment for full technical details and launch schedule.

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Enhancements to Public Settlement “stl” Files on CME FTP - April 16

Effective Sunday, April 16, CME Group will provide new, enhanced Public Settlement "stl" files on the CME FTP site. The legacy file formats will be decommissioned by Friday, April 14. 

Please review the Clearing Advisory for full technical details and decommission of legacy file schedule. 

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NewNew - Instrument Capacity for Futures and Options - May 14

Starting on Sunday, May 14 (trade date, Monday May 15), CME Group will increase the capacity for futures and options instruments listed. Currently, CME Globex only lists up to 1 million instruments. With this change, the full existing capacity will be unlocked, supporting the entire range of 2,147,483,646.

There is no expectation at this time of a significant increase to the number of instruments listed.

Due to recent volatility and global events, the need to list additional futures and options instruments has significantly increased and consequently, CME Group will update the SecurityID capacity. There is no change to the SecurityID field length and there will be no change to SBE message schemas or templates; but the possible values of the SecurityID field will expand to a maximum of 10 digits and a max value of 2,147,483,646.

Please review the Client Impact Assessment  for full technical details and launch schedule.

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Derived Data Enhancement for BrokerTec U.S. Treasury Channel 215 - May 21

Effective Sunday, May 21, CME Group will support implied prices for RV Curve instruments and a new Simple Binary Encoding (SBE) schema on the derived data channel 215 - BrokerTec U.S. Treasuries. This launch will not impact the BrokerTec on CME Globex market data channels. 
The schema update will impact all client systems connecting to channel 215. The impacted services are as follows:

• BrokerTec U.S. Treasury Market Data - Multicast
• BrokerTec U.S. Treasury Market Data - GCP

Please review the Client Impact Assessment for full technical details and launch schedule.

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Product Launches

Transatlantic Crude Spread Futures - This Week

Effective this Sunday, March 19 (trade date Monday, March 20), pending completion of all regulatory review periods, Transatlantic Crude Spread futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These 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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Micro E-mini S&P MidCap 400 and SmallCap 600 Futures - This Week

Effective this Sunday, March 19 (trade date Monday, March 20), pending completion of all regulatory review periods, Micro E-mini S&P MidCap 400 and Micro E-mini SmallCap 600 futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

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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NewNew - Test products for Three-Month SOFR Futures and Options - April 2

On Sunday April 2 (trade date Monday, April 3), the following Three-Month SOFR futures and options test products will be listed on CME Globex.

These products will be available for customer testing in New Release on Monday, March 20.

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USD/CNH Monthly and Weekly Friday Options - April 2

Effective Sunday, April 2 (trade date Monday, April 3), pending completion of all regulatory review periods, USD/CNH Monthly and Weekly Friday options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

The variable minimum tick increment for USD/CNH Monthly and Weekly Friday options will be as follows:

The Variable Tick Table (VTT) values are defined in the instrument’s Security Definition Message (tag 35-MsgType=d) in tag 6350-TickRule tick table value as described online.

These options will be available for customer testing in New Release on Monday, March 20.

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

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Product Changes

NewNew - Change to Strike Price Listing for Event Contracts - This Week

Effective Sunday, March 19 (trade date Monday, March 20), the strike price listing schedule will be changed for the below Event Contracts on CME Globex.

These futures will be available for customer testing in New Release on Monday, March 20.

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

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Listing Cycle Change and Suspension of Argus Eurobob Oxy Gasoline Related Futures - This Week

Effective this Sunday, March 19 (trade date Monday, March 20), the listing cycle for the following Argus Eurobob Oxy Gasoline related futures contracts will be amended on CME Globex and for submission for clearing via Clearport.

To support these changes, on Friday, March 3, at the close of business, the following Argus Eurobob Oxy Gasoline related futures contract months beyond December 2024 were temporarily suspended from trading on CME Globex and submission for clearing via CME ClearPort. 

The impacted contract months currently have no open interest.

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

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Change to Maximum Order Quantity for Three-Month SOFR Futures: Resting Order Eliminations - This Week

Effective this Sunday, March 19 (trade date Monday, March 20), the maximum order quantity, tag 1140-MaxTradeVol, in the Security Definition (tag 35=d) message will be changed for the following Three-Month SOFR futures and spreads.

Please note: The maximum order quantity in the Green, Blue, and Gold years will remain the same.

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

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Listing Cycle Expansion for Three-Month SOFR Futures - This Week

Effective this Sunday, March 19 (trade date Monday, March 20), the listing cycle for the Three-Month SOFR 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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Change to External Alias and Strike Price Listing for certain Nasdaq Options; Resting Order Eliminations  - This Week

Effective this Sunday, March 19 (trade date Monday, March 20), strike price listing rule will be changed for the following Nasdaq-100 options on CME Globex and for submission for clearing via CME ClearPort. With this change, the external alias will display the full strike price.

• Example: tag 55-Symbol= NQZ3 P16000, currently the strike price on the external alias truncates a single digit – Example: tag 55-Symbol = NQZ3 P1600

For the options strike price value, customers are advised to leverage tag 202-StrikePrice on the MDP 3.0 Security Definition (tag 35-MsgType=d) message.

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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Enable Implied Functionality for CME FX Futures - April 2

Effective Sunday, April 2 (trade date Monday, April 3), pending completion of all regulatory review periods, implied functionality for the following CME FX futures will be enabled for all outright contracts and calendar spread combinations for the first 12 consecutive 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

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 - Delisting and Removal of Eurodollar-SOFR Futures and Options Spreads - April 17

On Monday, April 17, the following Eurodollar-SOFR futures and options spreads will be delisted, and effective close of business Friday, April 21 these futures spreads will be removed from CME Globex.

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Events and Announcements

SPAN 2 Approximation Files Available Now

As previously announced, the SPAN 2 framework will be rolled out for specific product groupings in a phased multi-year approach after extensive testing, starting with major NYMEX energy futures and options on futures. 

To help clients prepare for this launch, CME Group is offering the following services:

• Tools for replicating SPAN 2 margin requirements through software and API solutions for post-trade processes.
• New SPAN 2 approximation file to help firms estimate SPAN 2 margins in low latency margin calculation scenarios for pre-trade margin approximation processes.

Please contact PostTradeServices@cmegroup.com now to get ready for this critical migration.

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Change to Access Manager Expiration Window Enforcement Time - This Week

Effective this Sunday, March 19 (trade date Monday, March 20), to prevent orders during the pre-open period from unauthorized accounts managed in Access Manager, the expiration window enforcement time will be changed to 4 p.m. Central time (CT) from the current 5 p.m. CT.

There are no changes to API messaging or GUI displays with this enhancement.

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

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Delisting of Morningstar Indexes - March 31

As previously announced by Morningstar, at close of business Friday, March 31, Morningstar Indexes on CME S&P Streamlined Market Data for Equity Indices (channel ID 210) will be delisted.

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