CME Globex Notices: March 14, 2011

CME Globex Performance Enhancements for Equity, FX and Agriculture Futures
CME Group is implementing an upgrade to the following 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, in internal testing environments this upgrade reduced iLink and FIX/FAST response times by an average of 10%.

• Sunday, March 20
  • CME Equity futures and future spreads
  • CBOT Equity futures and future spreads
• Sunday, March 27
  • FX futures and future spreads
• Sunday, April 3
  • CME Agriculture futures and future spreads
  • CBOT Agriculture futures and future spreads

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 10%. There will be no changes to functionality or messaging format with these performance improvements. Good 'Till Cancelled and Good 'Till Date (GTC/GTD) orders will not be impacted. This upgrade is designed to enhance our liquid, efficient and competitive marketplace for participants worldwide.

FIX/FAST Settlement Enhancements
Effective Sunday, April 3, FIX/FAST settlement enhancements will launch on CME Globex.

• 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 on Monday, February 21.

New Mandatory iLink Tags
The new mandatory FIX tags which will enhance customer support and assist in market oversight are currently accepted in production on inbound iLink messages. 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 complete the mandatory certification via AutoCert+ and support the population of the new tags; 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 tags 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.

 New Energy Crack Spreads
Effective Sunday, March 27 (trade date Monday, March 28), the following new energy 1:1 crack spreads will be listed on CME Globex:

• Heating Oil vs. Brent Crude Oil Last Day Financial
• RBOB Gasoline vs. Brent Crude Oil Last Day Financial

Crack spreads track the refining process of cracking crude oil into different fuel products and are composed of contract combinations that represent same-month crude oil and refined energy products. 1:1 Crack spreads (two-legged Cracks) are intercommodity spreads in which the trader buys the distilled contract (gasoline or heating oil) and sells the crude oil contract.

These crack spreads are identified with C1 in tag 762-SecuritySubType and have implied functionality.

The new crack spreads will be available for customer testing in New Release this Monday, March 21.

Weekly Russian Ruble Options
Effective Sunday, April 10 (trade date Monday, April 11), Weekly Russian Ruble options will be listed for trading on CME Globex.

These products will be available for customer testing in New Release Monday, March 28.

 August vs. November Soybean Calendar Spread Option (CSO)
Effective Sunday, April 10 (trade date Monday April 11), options on the August vs November Soybean futures calendar spread will be listed for trading on the CME Globex platform.

In addition a new synthetic future will be launched for the options on August vs. November Soybean future calendar spread.

The new future will have tag 1151-SecurityGroup=QC4 and tag 55-Symbol=08. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

The options (tag 1151=SZ4) will identify QC4 as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

The August vs. November Soybean calendar spread option and synthetic future will be available for customer testing in New Release on Monday, March 28, 2011.

 Delisting of In Delivery Month European Union Allowance Futures March 2011 Maturity
The March 2011 maturity of In Delivery Month European Union Allowance futures (tag 1151-SecurityGroup=EAF) was delisted effective Thursday, March 10. No other maturities are being delisted.

9 Month Eurodollar Double Butterfly Listing
Effective this 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.

The 9 month double butterfly spreads are currently available for customer testing in New Release.

S&P 500 Technology SPCTR and S&P 500 Financial SPCTR Futures Delisting
Effective close of business this Friday, March 18, the following products will be delisted:

• S&P 500 Technology SPCTR Futures (tag 1151-SecurityGroup=TEC)
• S&P 500 Financial SPCTR futures (tag 1151-SecurityGroup=FIN)

Exchange Traded Funds on Futures Delisting
Effective close of business this Friday, March 18, the following futures on Exchange Traded Funds (ETF’s) will be delisted:

• Powershares QQQ Futures (tag 1151-SecurityGroup=QQQ)
• ishares Russell 2000 Index (tag 1151-SecurityGroup=IVM)
• Standard & Poor’s Depository Receipts (tag 1151-SecurityGroup=SPY)

E-Mini Copper Futures Expanded Listing Rules
Effective this Sunday, March 20 (trade date Monday, March 21), CME Group will expand the listing rules for the E-Mini Copper futures contact (tag 1151-SecurityGroup=QC) for trading on CME Globex. The listing rules are as follows:

 Energy Futures Intercommodity Spreads Delisting
Effective at the close of business Friday, March 25, the following intercommodity futures spreads will be delisted:

• Light Sweet Crude Oil vs. Russian Export Blend Crude Oil (REBCO)
• Brent Crude Oil Last Day Financial vs. Russian Export Blend Crude Oil (REBCO)
• Russian Export Blend Crude Oil (REBCO) vs. Russian Export Blend Crude Oil (REBCO) Financial
• NYMEX Ethanol vs. RBOB Gasoline

Pine Prairie Energy Center Natural Gas Futures – Variable Quantity
Effective Sunday, April 10 (trade date Monday, April 11), the Pine Prairie Energy Center Natural Gas futures will be modified to Variable Quantity contracts:

• 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 variable quantity contracts, as defined in the FIX/FAST Security Definition message (tag 35-MsgType=d) in tags 871=24, 872=18. The quantity will be defined as:

• Tag 1231-MinLotSize=2500
• Tag 1439-FlowScheduleType=2 (calendar days per month)
• Tag 231-ContractMultiplier=number of calendar days
• Tag 996-UnitofMeasure=MMBtu
• Tag 5849-OriginalContractSize=2500
• Tag 1435-ContractMultiplierUnit=2 (multiplied by day)

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

In anticipation of these changes, the current PPEC futures will be removed from the CME Globex platform at the close of business on Friday, March 25.

These new futures will be available in New Release for customer testing Monday, March 21.

FIX tag 996-UnitOfMeasure Change for Green Exchange CERplus Futures and Intercommodity Spreads
Effective Sunday, April 17, (trade date Monday, April 18), the UnitofMeasure (FIX tag 996) for CERplus^SM products will change as follows:

The unit of measure change for CERplusSM product will be available for customer testing in New Release Monday, March 21.

Implied Delay Functionality for Grain Futures
Effective Sunday, March 27, CME Globex will remove the 10-second implied delay functionality for the market opening process for all CBOT, MGEX and KCBT Grain futures complexes. With this change, these markets will imply immediately after the open. The delay functionality was originally implemented on December 6, 2009.

The change is currently available for customer testing in the New Release.

If you have any questions, please contact the CME Globex Control Center at 312-456-2391, in Europe at 44-20-7623-4708, or in Asia at 65-6223-1357.

CME Co-Location Services Capacity Update
As our valued customer, we would like to update you on the capacity status of CME Co-Location Services.

If you are interested in applying for space at CME Group’s co-location facility and haven’t already done so, please note CME Group will begin accepting requests for available space on April 4, 2011. Requests submitted on or after April 4, will be reviewed on a first come, first serve basis based on available capacity at the time of the request.

To request legal and product related materials to review prior to April 4, or for additional information, please contact your   Global Account Manager at 312-634-8700, in Europe at 44-20-7796-7100, or in Asia at 65-6593-5574.