CME Globex Notices: November 17, 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:

This Week

• 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.

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 are currently available for customer testing in New Release.

Implied Treasury & Swaps Intercommodity Spreads
The implied Treasury and Swaps intercommodity spreads, originally scheduled for Sunday, November 16, will launch this Sunday, November 23 (trade date Monday, November 24). The launch was postponed in order to update the Price Ratios (FIX tag 5770-PriceRatio) to better reflect current market activity.

The detailed information on this launch is available now in the  Client Impact Assessment.

The implied intercommodity Treasury and Swaps spreads are currently available in New Release.

REBCO Financial Futures
Effective this Sunday, November 23, 2008 (trade date Monday, November 24), a new Russian Export Blend Crude Oil (REBCO) Financial futures contract will be listed for trading on the CME Globex platform.

These futures will use the SecurityGroup (FIX tag 1151) REB and Symbol (tag 55) CL. They will be listed with a CME Globex MinPriceIncrement (tag 969) of 1 and a price DisplayFactor (tag 9787) of 0.01.

With this launch, calendar spreads and futures strips will also be available for trading as well as three new intercommodity spreads:

• Crude Oil vs. REBCO Financial futures (CLMY-REBMY)
• Brent Crude Oil Last Day vs. REBCO Financial futures (BZMY-REBMY)
• REBCO vs. REBCO Financial futures (REMY-REBMY)

Please note: these new REBCO Financial futures are identical to the existing REBCO physically settled futures except for the settlement type.

These new futures and spreads are currently available for customer testing in New Release.

Natural Gas Penultimate Swap Futures
Effective this Sunday, November 23 (trade date Monday, November 24), the Natural Gas Penultimate Swap futures contracts will be listed for trading on the CME Globex platform.

These futures will use the SecurityGroup (tag 1551) NPG and Symbol (tag 55) NG. They will be listed with a CME Globex MinPriceIncrement (tag 969) of 1 and a price DisplayFactor (tag 9787) of 0.001.

With this launch, calendar spreads and futures strips will also be available for trading.

These new futures and spreads are currently available for customer testing in New Release.

Options on OIS Futures
Effective this 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 are currently available for customer testing in New Release.

Feeder Cattle Options
Effective this Sunday, November 23, 2008 (trade date Monday, November 24), options on Feeder Cattle futures will be listed for trading on the CME Globex platform. These options will use the SecurityGroup (FIX tag 1151) GF and Symbol (tag 55) F0.

Feeder Cattle futures and options provide a way to:

• Engage in price discovery for cattle to be placed in feedyards for fattening
• Participate in a market in which prices are influenced by factors that affect both feedgrain and feeder cattle prices
• Effectively manage the price risk that merchandisers, producers, processors and others have related to the purchase or sale of feeder cattle
• Evaluate or reflect on both the current and future supply and demand situation for feeder cattle, other meats and feedgrains
• Trade to hedge or speculate based on expectations of directional price, spread movement or volatility in feeder cattle

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

 European-style AUD/USD Premium- and Volatility-Quoted Options
Effective Sunday, December 21, 2008 (trade date Monday, December 22), the following European-style AUD/USD premium- and volatility-quoted options and strategies will be listed for trading on the CME Globex electronic trading platform:

These new options and strategies will be available for customer testing in New Release Monday, December 8.

 Coal Futures
Effective Sunday, December 21 (trade date Monday, December 22), Central Appalachian (CAPP) Coal Futures will be available for trading on the CME Globex platform.

Coal is the principal fuel for generating electricity in the United States, accounting for approximately 55% of total electricity output. This coal futures contract is designed to provide both the coal mining and electric power industries with a range of risk management opportunities.

These futures will use the SecurityGroup (FIX tag 1151) QLD and Symbol (tag 55) ST. They will be listed with a CME Globex MinPriceIncrement (tag 969) of 1 and a price DisplayFactor (tag 9787) of 0.01.

With this launch, calendar spreads and futures strips will also be available for trading.

These new futures and spreads will be available for customer testing in New Release Tuesday, December 9.

Ethanol Futures Strips and Options Blocks
Effective this Sunday, November 23 (trade date Monday, November 24), Ethanol futures and options on CME Globex will be enhanced to better meet customers' needs.

Ethanol futures strips will be listed for trading on CME Globex. These strips will be indicated with SecuritySubType FS in FIX tag 762 in the FIX/FAST Security Definition (tag 35=d) message.

Block trading for ethanol options will be supported. Block trading eligibility is detailed in the repeating group where tag 871=24 and tag 872=3 in the FIX/FAST Security Definition (tag 35=d) message.

Both of these changes are available for customer testing in New Release.

RGGI Futures Extension
Effective this Sunday, November 23, 2008 (trade date Monday, November 24), the listing range for Regional Greenhouse Gas Initiative (RGGI) CO2 Allowance futures will be extended to include January 2009 through December 2011 maturities.

The additional contracts are now available for customer testing in New Release.

 Implied Commodity Butterfly Spreads
Effective Sunday, December 14 (trade date Monday, December 15), implied functionality will be turned on for all Commodity butterfly futures spreads (FIX tag 762-SecuritySubType=BF).

Implied functionality for instruments on CME Globex is indicated in the FIX/FAST Security Definition Message (tag 35-MsgType=d, tag 1144-ImpliedMarketIndicator=3).

The implied functionality for Commodity butterfly spreads will be available for testing in New Release on Wednesday, November 26.

 Matching Algorithm Change for Commodity Futures
Effective Sunday, December 21 (trade date Monday, December 22), to better meet market needs, the matching algorithm for the following Commodity futures and future spreads will be changed to K, Split FIFO/Pro-Rata. Currently, these instruments use the matching algorithm T, Lead Market Maker with TOP.

The matching algorithm indicator is sent in the FIX/FAST Security Definition message for each instrument on CME Globex (tag 35-MsgType=d, tag 1142-MatchAlgorithm).

This change will be available for customer testing in New Release on Monday, December 7.

FIX/FAST Migration Updates
Migration & the Elimination of RLC Format
The FIX/FAST migration deadline of November 14, 2008, has now been passed.

Customers that have failed to migrate off RLC-format market data will be surcharged this week, retroactive to the original deadline of October 17, amounting to a total of $12,000.00 per customer site. Subsequent surcharges will be assessed per week, per site† for customers who continue to pull RLC-format market data as follows:

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

The legacy RLC-format market data will be eliminated in production on December 26, 2008. RLC-format market data will be retired on Wednesday, December 3, at 5 p.m. Central time in Certification and at close of business on Friday, December 13, in New Release.

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.

†A site is defined as a primary and backup network connection pulling market data directly from CME Globex.

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

• November 22
• December 13
• December 20

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.

 NYMEX & COMEX Floor Market Data via ITC
Effective November 22, NYMEX and COMEX floor market data will be disseminated via the Market Data Platform in the NYMEX flavor of ITC format. NYMEX floor data will be disseminated on channel 44 and COMEX floor data broadcast over channel 45.

All data on both of these channels will use Eastern time zone timestamps. Prior to this migration, CME Group only disseminated market data with Central time zone timestamps.

The NYMEX and COMEX floors market data will also continue to be sent in parallel over the NYMEX ITC 2.1 Multicast Feed via Radianz.