06th March 2023

This is the breaking change impacting all Bloomberg clients.

Monthly IMM tenors are replaced by Quarterly IMM tenors except for currency pairs that include BRL.

Monthly rolling EOM tenors are introduced for BRL Onshore and Offshore currency pairs.

Whisperer Client Impact

These changes to IMM and E0M tenor codes were introduced in API spec 5.0.13 – dated August 18th, 2021 and the change was rolled out directly to Production this week, without any notice.

Tenor change impacts ESP, RFS and Batch workflow from bloomberg_fxgo_maker.

On RFS and Batches BMF tenors can be traded as Onshore and Offshore, but on ESP only Offshore is supported.

IMM Tenors for Non BRL currency pairs

Rolling Quarterly tenors are now replaced by Monthly IMM tenors.

IM1 - The next quarterly IM date.
IM2 - The quarterly IM date following IM1.
IM3 - The quarterly IM date following IM2.
IM4 - The quarterly IM date following IM3.

IMM Tenors clients will no longer receive - IMMF, IMMG, IMMH, IMMJ, IMMK, IMMM, IMMN, IMMQ, IMMV, IMMX, IMMZ

New IMM Tenors clients will now receive - IMM1, IMM2, IMM3, IMM4

E0M Tenors for BRL currency pairs

Rolling Monthly tenors are now introduced for BRL.

E0M0 - First (Onshore)/Second (NDF) business day after the last business day of current (1st) month
E0M1 - First (Onshore)/Second (NDF) business day after the last business day of next (2nd) month.
BMF3 - First (Onshore)/Second (NDF) business day after the last business day of 3rd month.
BMF4 - First (Onshore)/Second (NDF) business day after the last business day of 4th month.

New EOM Tenors introduced for BRL onshoe and Offshore currency pairs - E0M0, E0M1, BMF3, BMF4

BRL Futures Settlement Date

Settlement date for BRL currency pairs is different depending on the MarketType.

BRL Onshore E0Mx tenors represent first business day following the last business day of x month.

BRL Offshore E0Mx tenors represent first spot day following the last business day of x month.

Whisperer currently supports rolling tenors for 4 months, the next schema update will include all 12 months tenors.

Change Overview from Bloomberg

To ensure FXGO adheres more closely to the CORE data, there will be changes to IMM tenors and BMF tenors to take note of:

Special Tenor Settlement Date

Quarterly IMM Tenors

Except for currency pairs that include BRL, the third Wednesday of March, June, September, and December, unless this is a holiday in one of the respected calendars in which case the next non-holiday in all respected calendars. The calendars used are the calendars for each currency, the Fed calendar and the CME calendar “CE”.
For currency pairs that include BRL, effectively the same as for BMF tenors, below.

BMF Tenors

For BRL NDF, the second business day of the month according the “B3” and Fed calendars.
For BRL Onshore, the first business day of the month using only the “B3” calendar.

FIX Sellside API Changes

Tenor Table (Support Non-Deliverable Currency Pairs) updated.

IMM Tenors have been removed
IMx Tenors have been added to all currencies in the list^*
BMF Tenors have been added for BRL^*

Tenor Codes Values (Tags 6215 and 6216) updated

IMM Tenors have been removed
IMx Tenors have been added^*
BMF Tenors have been added^*

* Please refer to FRD<GO> for definition and Dates