CME Globex Notices: January 31, 2011

New Mandatory iLink Tags
The new mandatory FIX tags are currently accepted in production on inbound iLink messages to enhance customer support and assist in market oversight. Customers may begin populating these tags now; the final deadline is June 5, 2011. The five new tags will be used to identify:

• Front-end system
  • Should reflect the gateway application logging into the iLink session id
• Automated trading indicator flag
  • Does not have to dynamically change on a per-order basis from manual to automated
• Country of origin
  • Should reflect trader’s primary location; does not have to dynamically change based on trader's current location
  • For automated systems, the tag should denote the location of the system operator, not the trading system

To ensure customer readiness CME Group recommends the following action items must be completed prior to the June 5, deadline:

• System Providers
  April 2011
• Trading customers
  • Ensure customer country/state information is gathered in preparation of populating the tags. This should be completed prior to an updated trading system being deployed.
  • Implement any proprietary or third-party software that enables populating the new mandatory tags.
  • Populate the new prior to June 5.

These tags are available in New Release for customer testing. There are no impacts to FIX/FAST market data with this launch. Please contact your   Global Account Manager with any questions.

Please see the updated   Client Impact Document for a more detailed description of technical and data requirements.

3-month and 1-month FXVolContracts Futures and Spreads
Effective this Sunday, February 6 (trade date Monday, February 7), only the 1- and 3-month EUR/USD FXVolContracts (realized volatility futures and spreads) will be listed for trading on CME Globex. The 1- and 3-month GBP/USD, JPY/USD, CHF/USD, CAD/USD and AUD/USD Realized Volatility futures and calendar spreads have been postponed. Further information will be available in the CME Globex Notices.

These FX Realized Volatility products are defined as follows:

These are the first futures contracts that offer direct trading of FX volatility. FX VolContracts allow participants to buy or sell FX volatility without the complexity of managing standard options positions, and without the necessity of forming a strong directional view on the underlying.

The contracts are valued at $1,000 times the computed realized volatility for the specific time period. They are quoted as an annualized standard deviation in minimum increments of 0.01% (i.e., one may quote the contract as 12.52; 12.53; 12.54, 12.55, 12.56, etc.).

The calendar spreads will use the value SP in tag 762-SecuritySubType.

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

Pine Prairie Energy Center Natural Gas Futures
Effective this Sunday, February 6 (trade date Monday, February 7), the following new   Pine Prairie Energy Center Natural Gas futures will be listed for trading on CME Globex:

• Pine Prairie Energy Center (PPEC) Physically Delivered Natural Gas Daily/Weekend Futures (tag 1151-SecurityGroup=PPD, tag 55-Symbol=NJ)
• Pine Prairie Energy Center (PPEC) Physically Delivered Natural Gas BALMO Futures (tag 1151-SecurityGroup=PPB, tag 55-Symbol=NJ)
• Pine Prairie Energy Center (PPEC) Physically Delivered Natural Gas Monthly Futures (tag 1151-SecurityGroup=PPM, tag 55-Symbol=NJ)

These are normal fixed quantity contracts, however the contract size varies according to maturity. The quantity will be defined as:

• Lot Type Repeating Group
  • Tag 1093-LotType=2(minimum order entry quantity for an instrument)
  • Tag 1231-MinLotSize=1
• Tag 1439-FlowScheduleType=2(calendar days per month)
• Tag 996-UnitofMeasure=MMBtu
• Tag 5849-OriginalContractSize=varies per instrument
• Tag 1435-ContractMultiplierUnit=2(multiplied by day)

Details on the original contract size are available    online.

The Daily/Weekend (PPD) and BALMO (PPB) futures are daily contracts (tags 871=24, 872=19 in the Security Definition message).

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

 Custom Index Futures
Effective this Sunday, February 6 (trade date, Monday, February 7) Custom Index futures will be listed for trading on CME Globex.

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

Green Exchange CERplus Futures and Intercommodity Spreads
Effective Sunday, February 27 (trade date Monday, February 28), the Green Exchange CERplus^SM futures and intercommodity spreads will be listed for trading on CME Globex.

The CERplus^SM products are defined as follows:

The CERplus^SM Futures contract will be an additional contract offering to the existing Green Exchange IDM CER Futures contracts. Existing IDM CER contracts with Open Interest for 2011 and 2012 maturities will not be affected by the introduction of the CERplus^SM. The CERplus^SM Futures contract will initially be listed for delivery in December 2013 maturity.

The intercommodity spreads will use the value IS in tag 762-SecuritySubType.

These products will be available for customer testing in New Release Monday, February 14.

CERplus is a trademark of Green Exchange LLC, used under license.

Butterfly Spreads on Crude Oil Futures
Effective Sunday, February 27 (trade date Monday, February 28), butterfly spreads will be listed on CME Globex for Crude Oil futures (tag 1151-SecurityGroup=CL).

Twelve one-month and two six-month butterfly spreads will be available upon launch.

Butterfly spreads consists of three instruments within the same product and with equally distributed maturity months (e.g., M2-U2-Z2). Further details are available in the   Electronic Trading Concepts. Butterfly spreads are identified with BF in tag 762-SecuritySubType in the Security Definition (tag 35-MsgType=d) message. Crude Oil butterfly spreads will not support implied functionality.

Crude Oil butterfly spreads is currently available for customer testing in New Release.

iLink Session ID Auto-Deletion Process
Effective this Monday, January 31, CME Group will implement the quarterly iLink session ID auto-delete process.

Details on the process are available  online. An e-mail notification will be distributed to Class A clearing firms on Monday, January 31. Class A clearing firms will have 30 days to review their idle session IDs. All idle session IDs will be deleted at end of day March 4.