CME Globex Notices: February 7, 2011

 FIX/FAST Settlement Enhancements
Effective Sunday, April 3, FIX/FAST settlement enhancements will launch on CME Globex.These enhancements will enable customer systems to uniquely identify the daily settlement price type:

• Actual Preliminary
• Rounded Preliminary
• Final
• Theoretical Final

This launch will impact the settlement data blocks on Market Data Incremental Refresh (tag 35-MsgType=X) and Security Definition (tag 35-MsgType=d) messages. Details on the enhancements are available in the   Client Impact Assessment.

In addition, the following tag values will no longer be sent in the Market Data Incremental Refresh (tag 35-MsgType=X). As of this release, customer system must not rely on these values:

• tag 269-MDEntryType=M (Prior)
• tag 286-OpenCloseSettleFlag=4 (Price entry from previous day)

Certification is not required and there are no new templates. Customers and system providers are encouraged to test the enhancements thoroughly in New Release starting Monday, February 21.

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
  All customer order routing systems must support these new tags and complete the mandatory certification via AutoCert+; CME recommends this be completed by early April 2011 to allow customers sufficient time to download the software and populate the tags prior to June 5th.
• 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.

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.

 New Serial Maturities for RUB/USD Futures and Options
Effective Sunday, February 27 (trade date Monday, February 28), CME Group will add the serial contract months for RUB/USD futures and options (tag 1151-SecurityGroup=6R) for trading on CME Globex. The listing rules are as follows:

 Fed Funds Futures Listing Extension
Effective Sunday, February 27 (trade date Monday, February 28), CME Group will expand the listing cycle of 30-Day Federal Funds futures (tag 1151-SecurityGroup=ZQ) by adding a third year of monthly maturities. With this change, the listing cycle in Fed Funds futures will be 36 consecutive maturities.In addition, all possible calendar, butterfly, condor, and strip spreads will be listed for the new maturities. Implied functionality will be supported for the calendars and butterflies.

 9 Month Eurodollar Double Butterfly Listing
Effective, Sunday, March 13 (trade date Monday, March 14), CME Group will add 9 month double butterfly spreads for the Eurodollar. (tag 1151-Security Group GE).

Double Butterfly consists of 4 instruments within the same product group and equally distributed maturity months (e.g., Z7-H8-M8-U8). Further details are available in the   Electronic Trading Concepts. Double Butterfly spreads are identified with DF in tag 762-SecuritySubType in the Security Definition (tag 35-MsgType=d) message.

 FIX/FAST Preliminary Settlement Prices in New Release
Preliminary settlement prices via FIX/FAST Market Data Incremental Refresh (35-MsgType=X) messages are now available in New Release. Preliminary settlement data blocks will contain tag 286-OpenCloseSettlFlag=100 or 101 to accurately identify the preliminary settlement price as described in the   CME Globex Software Development Kit.

If you have any questions or concerns, please contact   Certification Support for Electronic Trading (CSET) at 312.930.2322.

iLink Session ID Auto-Deletion Process
Effective 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.