CME Globex Notices: October 20, 2008

CME Globex Performance Enhancements
In Q4 2008, CME Group is implementing an upgrade to futures markets on the CME Globex electronic trading platform that will result in significantly reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce response times by an average of 40-50%, from an average of 10-12 milliseconds currently to approximately 5-7 milliseconds.

Please note: as a result of the reduced message response times, bandwidth utilization in these futures markets is expected to ultimately increase by as much as 20%.

This upgrade is designed to enhance our liquid, efficient and competitive marketplace for participants worldwide. It is scheduled for a phased launch as follows:

Scheduled for Sunday, November 2

• All listed futures and future spreads for:
  • Legacy CME Interest Rates
  • Legacy CBOT Interest Rates
  • Legacy CME Commodities
  • TRAKRS

Scheduled for Sunday, November 9

• All listed futures and future spreads for:
  • MGEX
  • KCBT
  • Legacy CBOT Commodities
  • Legacy CBOT Equities

Scheduled for Sunday, November 16

• All listed futures and future spreads for:
  • NYMEX Energy
  • NYMEX Metals
  • COMEX Metals
  • NYMEX Softs

Scheduled for Sunday, November 23

• All listed futures and future spreads for:
  • Legacy CME Equities

FX futures are scheduled for a number of enhancements in Q1 2009 that will include performance improvements.

 Postponed! Book Depth Change for Equity, Commodity, FX and Energy Options on CME Globex
The market data book depth change for all Equity, Commodity, FX and Energy options on Market Data Platform channels 8, 12, 35, 36, 37, 112 and 114, previously scheduled for Sunday, November 9, has been postponed. The three-deep option markets will remain available in New Release for customer testing. The new production launch date will be communicated in the CME Globex Notices as soon as it is available.

iLink and FIX/FAST Message Enhancements
Effective Sunday, February 1, 2009, CME Group is launching a number of messaging enhancements to both iLink order entry and FIX/FAST market data. These enhancements include new tags to provide additional order information, and changes to existing tags to make inbound and outbound messaging more FIX-compliant and consistent.

Certification is not required for these iLink or Market Data Platform FIX/FAST enhancements. Complete testing in the iLink test suite of AutoCert+ is strongly recommended. Details on the iLink test suite in AutoCert+ are available  online.

Complete information on these messaging enhancements is detailed in the   FIX/FAST and iLink Message Enhancements Client Impact Assessment.

These messaging enhancements will be available for customer testing in New Release starting Thursday, November 6.

 Implied Functionality Enhancements & Implied Treasury Intercommodity Spreads
On Sunday, November 2, 2008 (trade date Monday, November 3), CME Group is scheduled to launch enhancements to the implied functionality on CME Globex. This launch will also include new implied intercommodity spreads for Treasury futures, available for trading Sunday, November 16 (trade date Monday, November 17).

With this launch, Eurodollar Pack Spreads, including Pack Butterflies, will support implied functionality for the first 10 years listed.

The price ratios for the new implied intercommodity spreads for Treasury futures will be updated in New Release this Monday, October 27, to reflect current market prices. The new price ratios are available now in the  Client Impact Assesment, along with detailed information on this launch.

Customers and system providers are not required to certify for these enhancements; however, CME Group encourages all system providers to complete testing with these new instruments and functionality in the New Release environment starting immediately. The new implied intercommodity Treasury spreads are currently available in New Release.

New Options Order Types & Qualifiers
Effective November 9, 2008, for Eurodollar and Euroyen options markets, and November 16, 2008, for all other options markets listed on CME Globex, three new order types and qualifiers will be supported for options markets:

Market with Protection

Market orders use a "Market with Protection" approach. Unlike a conventional Market order, where you are at risk of having your orders filled at extreme prices, Market with Protection orders are filled within a predefined range of prices (the protected range). The protected range is typically the current best bid or offer, plus or minus 50 percent of the product's No Bust Range. If the entire order cannot be filled within the protected range, the unfilled quantity remains on the book as a Limit order at the limit of the protected range.

Minimum Quantity

A Minimum Quantity order is executed only if a certain minimum quantity of that order can be immediately matched. The trader defines the minimum quantity at the time they place the order.

Hidden Quantity, aka Iceberg, Max Show or Display Quantity

A Hidden Quantity order displays only a small portion of the order to the marketplace. When the displayed quantity has been filled, another portion is then displayed.

Currently, these order types are supported for futures markets and they will work in the same way for options. Messaging and functionality information is available in the  iLink SDK and  FIX/FAST SDK.

The Minimum Quantity and Hidden Quantity order qualifiers, and the Market with Protection order type, are currently available for customer testing in all options markets in New Release.

Euro-Denominated S&P 500 Futures
Effective this Sunday, October 26, 2008 (trade date Monday, October 27), Euro-denominated E-mini S&P 500 futures will launch on the CME Globex platform. These products will use the SecurityGroup (FIX tag 1151) EME. Calendar spreads will also be available for trading at launch.

This new product combines the leading U.S large-cap market benchmark with one of the world's most widely used currencies, all in a single electronic trade. The contract, which will be available exclusively on CME Globex, has a contract multiplier of 50 euros and presents many compelling benefits, including:

• Attractive spreading opportunities offered by correlations to:
  • Highly liquid USD-based E-mini S&P 500 futures (which have a $50 USD multiplier)
  • Euro-based trading derivatives
• Reduced currency risk and increased convenience for those who trade primarily in euros

The Euro-denominated E-mini S&P 500 futures and calendar spreads are currently available for customer testing in New Release.

 Options on OIS Futures
Effective Sunday, November 23, 2008 (trade date Monday, November 24), options on the 3-month Overnight Index Swaps (OIS) will launch on the CME Globex platform.

These options will use the SecurityGroup (FIX tag 1151) OSS. Straddles will also be available for trading at launch.

Like their futures counterparts, OIS options on futures track the overnight effective Federal Funds rate, a major benchmark of the U.S. short-term interest rate market, and complement the 30-Day Fed Funds and Eurodollar contracts. Whereas the Fed Funds contract reflects the average of the Fed Funds rate over the course of a calendar month, the OIS contract reflects the compounded Fed Funds rate over a 3-month period that is identical to the interbank deposit tenor for the corresponding 3-Month Eurodollar futures contract. More information is available  online.

These new options and strategy will be available for customer testing in New Release Monday, November 10.

Display Factor Change for SSF Products
Effective Sunday, October 26 (for trade date Monday, October 27), the FIX tag 9787-DisplayFactor in the FIX/FAST Security Definition message (tag 35=d) for all Single Stock Futures (SSF) contracts will be corrected to 1. Currently, the Display Factor for these instruments is 0.01.

The Display Factor provides the multiplier to convert the CME Globex price to the display price.

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

 Soybean Complex Futures Early Listings
In response to customer requests, effective Sunday, November 2, (trade date Monday, November 3), four additional contract months and their corresponding calendar spreads will be listed early for trading on CME Globex and the trading floor: the August 2010, September 2010, January 2011 and March 2011 contracts. These early listings apply to the Soybean, Soybean Meal and Soybean Oil futures. There is no change to the current listings for the options and option strategies.

 Maximum Order Quantity Changes
Effective Sunday, November 2, (trade date Monday, November 3), to facilitate trading on CME Globex, the following maximum order quantity changes will be implemented:

The maximum order quantity for every instrument listed on CME Globex is identified in tag 1140-MaxTradeVol, in the Security Definition (tag 35=d) message.

Implied Functionality for OIS Futures
Effective Sunday, November 9, 2008 (trade date Monday, November 10), implied functionality will be enabled for 3-month Overnight Index Swap (OIS) futures and future spreads.

Implied functionality integrate bids and offers in both spreads and their outright contracts to provide the most liquid possible markets with the best possible prices.

Implied functionality is indicated in the FIX/FAST Security Definition message (tag 35-MsgType=d), in tag 1144-ImpliedMarketIndicator, where 3 indicates Implied In and Out.

Implied functionality for OIS futures and future spreads is available for customer testing in New Release and Certification.

Eurodollar Futures Spreads Extension
Effective Sunday, November 16 (trade date Monday, November 17), the Eurodollar futures Pack Spreads (tag 762-SecuritySubType=PS) and Pack Butterflies (PB) will be extended out the full listing curve, 10 years. These spreads will launch with implied functionality enabled as described in the  Implied Enhancements Client Impact Assessment.

The extended spreads are currently available for customer testing in New Release.

 S&P-GSCI Trading Hours Change
Effective Sunday, November 16, (trade date Monday, November 17), the trading halt in the S&P-GSCI futures markets from 1:40 - 2 p.m. Central time (CT) will be eliminated. With this change, the S&P-GSCI futures trading schedule on CME Globex will match the trading schedule of the other legacy CME Commodities futures. The trading halt from 4 - 5 p.m. CT will continue to be observed.

FIX/FAST Migration Updates
Migration & the Elimination of RLC Format
In light of recent market events and to facilitate the migration for our customers, CME Group is extending the original October FIX/FAST migration deadline to November 14, 2008. As a result, customers must complete their migration to FIX/FAST from the legacy RLC format market data by November 14, 2008.

Please note, those customer that fail to migrate by this date will be surcharged retroactively back to the original deadline of this Friday, October 17, 2008, which was announced in October 2007. These retroactive surcharges will thus amount to a total of $12,000.00 per customer site in the first week after the new deadline, November 14.

The support surcharges schedule remains as previously communicated. Surcharges will accrue beginning the week of October 20, but will be assessed only if the customer has not migrated to FIX/FAST by Sunday, November 16.

• $2,000 per week in October
• $4,000 per week in November
• $6,000 per week in December

The legacy RLC format market data will be eliminated no later than the end of December 2008. Please note that we cannot extend RLC broadcast beyond the December deadline, due to internal system dependencies. The FIX/FAST Software Development Kit, including Market Data Platform channel definitions and reference code, is available  online.

The mandatory certification for FIX/FAST can be completed through AutoCert+ in Certification. More information is available in the  AutoCert+ User Guide. FIX/FAST is currently available for customer testing in the New Release and Certification environments.

Saturday FIX/FAST Testing
Through Saturday, November 22, CME Group will replay production-speed market data in the production environment for FIX/FAST and RLC formats. The replay windows will occur on Saturdays for one hour, from 11:30 a.m. to 12:30 p.m. CT.

There will be no replay window on October 25.

The data disseminated during each Saturday's replay window will be captured during the prior mid-week trading.

CME Group recommends all system providers purge and reload their instrument databases every week. To support testing during these replay windows, the FIX/FAST Security Definition (tag 35=d) and RLC Instrument Creation (MO) messages from the prior week will be available on the instrument definition channels each Saturday morning starting at 10:00 a.m.

Support will be available; customers may call 312.715.6003 with any questions during the replay windows.

The  attached market data channels for FIX/FAST and RLC formats will be available.

Please contact your  CME Globex Account Manager with any questions at 312.634.8700; in Europe at +44.20.7796.7100; or in Asia at +852.3101.7696.

Daylight Saving Time Changes
Pursuant to the Energy Policy Act of 2005, Daylight Saving Time ends effective Sunday, November 2, 2008.

CME Globex will continue to observe Daylight Saving Time and the new schedule. For the week of November 2 only, for RLC-format messages, there is an issue with the timestamp in the Market Data Platform message headers. More information is available  online.

Time-dependent front-end trading applications may be affected by this change. Please contact your front-end system provider for more information before November 2, 2008.