Proposed CBOT Migration Timeline

Proposed CBOT Migration Timeline
CME announced today that it intends to migrate e-cbot products to CME Globex in a phased approach beginning Q1 2008, subject to completion of the CME-CBOT merger, which is expected to occur mid-2007, pending approvals by regulators, shareholders of both companies and CBOT members, as well as completion of customary closing conditions. Additionally, CME and CBOT open outcry markets will be migrated onto a single trading floor facility located at CBOT in the second quarter of 2008. For more information on today's announcement, see the press release.

In conjunction with today's announcement, this CME Globex Notice is intended to provide high-level guidance on the following technology topics:

Certification environment timeline;
CME Globex support for fractional prices; and,
Projected client bandwidth requirements.

Certification Environment Timeline
Effective late summer 2007, updated code to support the migration of CBOT products to CME Globex will be made available in the New Release certification environment. Prior to releasing this code to the certification environment, CME will publish a CME Client Impact Document covering the CBOT migration release.

Fractional Prices on CME Globex
The CME Globex platform currently supports fractional pricing although it transmits all prices in decimal format. System providers may translate decimal prices into fractions for GUI display purposes and then back to decimal format to submit to CME Globex.

To accomplish this conversion, system providers can leverage three different fields within the "MO" or Instrument Characteristics RLC market data message:

Position 572-573, the "Tick Display Format" provides a code to identify the fractional format for a given instrument (e.g., 32^nds)
Position 574-575, the "Number of Decimals in Displayed Price" field identifies the number of decimals in the price sent by CME Globex for a given instrument†.
Position 878, the "Display Conversion Factor" (available in April 2007) identifies how that price can be displayed on the GUI (e.g., a fractional price may appear as 104'315)

† The number of decimals can vary per tick display format.

First Example:

CME Globex decimal price: 102.7109375 (for a product with a price of 102 points 22¾ 32^nd)
Apply the Tick Display Format set to "EQ" (implies a denominator of ¼ 32nd)
- 0.7109375 * 32 = 22.75
- Price converts to 102.2275
Apply the Number of Decimals in Displayed Price set to "03"
- Price converts to 102.227
Apply the Display Conversion Factor set to "1"
- Price remains 102.227 (or may be displayed as 102'227)

Second Example:

Product at a price of 95 points 58½ 100^th
CME Globex decimal price: 9558.5
Apply the Tick Display Format set to "02" (implies a denominator of ½)
- Price remains 9558.5
Apply the Number of Decimals in Displayed Price set to "01"
- Price remains 9558.5
Apply the Display Conversion Factor set to "0.01"
- 9558.5 * 0.01 = 95.585
- Price converts to 95.585

Please see the CME Market Data Platform Software Development Kit (SDK), in the Core Functionality volume, section 4.5.3, "Calculating Tick Size Based on the MO Message", for more information. The SDK is available at www.cme.com/mdpsdk.

Projected Bandwidth Recommendations
Based upon CME projections for growth and other new business initiatives, CME estimates 2007 end of year bandwidth requirements for all CME Globex market data will be approximately 35 Mbps. To meet these projections, directly connected futures-only customers will require 20 Mbps circuits and customers using futures and options will require 40 Mbps. By mid-2007, CME will implement a new market data format based upon the new industry standard FIX FAST methodology, which is estimated to save approximately 70 percent in bandwidth utilization. As a result, customers who have implemented the new FIX FAST format will be able to accommodate projected growth in 2008 on the 20 or 40 Mbps lines. However, if customer sites have not completed the upgrade to the new FIX FAST format by the end of 2007, then CME recommends that futures-only circuits be upgraded to 40 Mbps and those with circuits using both futures and options be upgraded to 100 Mbps.

Remember you can view current and past bandwidth statistics on the CME Web site at www.cme.com/bandwidthstats. For information on the new FIX/FAST market data format, please go to www.cme.com/mdformat. New FIX/FAST customer documentation will be published in Q2.

Additional information on certification and migration plans will be communicated as it becomes available. For any questions, please contact CME Globex Account Management or via phone at 312 634-8700 or at +44 20 76 23 25 50 in Europe.