Market Data Notices: January 24, 2011

3-month and 1-month FXVolContracts Futures
Effective 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 Market Data Notices.

Please view the   New Product Summary.

Pine Prairie Energy Center Natural Gas Futures on CME Globex
Effective 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.

Pine Prairie Energy Center Natural Gas Futures
Effective Sunday, February 6 (trade date Monday, February 7), CME Group will list for open outcry trading and for clearing through CME ClearPort three new natural gas futures contracts physically delivered at Pine Prairie Energy Center (PPEC).

Please view the   New Product Summary.

Custom Stock Index Futures
Effective Sunday, February 6 (trade date, Monday, February 7) Custom Stock Index futures will be listed for trading on CME Globex and for submission for clearing through CME ClearPort.

Please view the   New Product Summary.

Ontario Power Futures
Effective Sunday, February 6 (trade date Monday, February 7), CME Group will list four new Ontario Swap futures contract for trading on open outcry and for submission for clearing through CME ClearPort.

Please view the   Ontario Power New Product Summary.

 1% Fuel Oil Barges FOB Rdam vs. 1% Fuel Oil (Platts) Cargoes FOB NWE BALMO Swap Futures
Effective Sunday, February 6 (trade date Monday, February 7), CME Group will list 1% Fuel Oil Barges FOB Rdam vs. 1% Fuel Oil (Platts) Cargoes FOB NWE BALMO Swap futures contract for trading on open outcry and for submission for clearing through CME ClearPort.

Please view the   New Product Summary.

 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 for submission for clearing through CME ClearPort.

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 CERplusSM. The CERplusSM 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.

Please view the   New Product Summary.

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

E-Mini Gold Futures Delisting
Effective this Friday, January 28, the E-mini Gold Futures (tag 1151-SecurityGroup=XGN) will be delisted.

Implied Corn Spreads Reinstated
From September to the end of December of last year, CME Group turned off the implied spreading functionality on corn futures. The objective of this test, which was recently extended through the end of January, was to determine if a more robust market, in term of market participation, market depth and market liquidity, could be achieved in an environment without this functionality.

From the beginning of this test, market performance was monitored against a wide range of objective measurement criteria to determine changes in the market. Unless there were clear improvements in the market, the assumption was that the implied spreading functionality would be reinstated at the end of the trial period.

Based on our assessment of this data and customer feedback, it is our intention to reinstate the implied spreading functionality effective January 31, 2011.

CME Group will continue to look at methods of improving market quality including consideration of a partial implied spreading functionality where implieds provide support only to back month contracts. We will provide the market with significant advance notice before testing this or other potential modifications.

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 are currently available for customer testing in New Release.

 S&P Real Time Index Name Change
Effective as of Wednesday, January 26, the Wachovia MLP Index has been rebranded to the Wells Fargo MLP Index.

New S&P Real Time Indices
Effective this Monday, January 31, CME Group will begin disseminating the new indices detailed below. These indices will be transmitted every 15 seconds, via Channel 3 and Channel 109 of CME’s MDP.

New S&P Real Time Indices
Effective Monday, February 7, CME Group will begin disseminating the new indices detailed below. These indices will be transmitted every 15 seconds, via Channel 3 and Channel 109 of CME’s MDP.

S&P Indices Fee Designation Changes
Effective Monday, February 14, the following S&P Indices fee designation will be modified from Fee-Liable (XF) to Fee-Waived (XW):

New S&P Real Market Data Platform Channel
Effective, this Sunday, November 21, CME Group will introduce a new Market Data Platform (MDP) channel to support S&P indices. All existing S&P Indices, which currently reside on MDP channel 3 will migrate to the new MDP channel 109 all other indexes will remain on MDP channel 3.

With this migration, the following ITC 2.1 Specification changes will occur for all S&P indexes, which will be disseminated on MDP channel 109:

• Message Time Stamp will be disseminated in Greenwich Mean Time (GMT).
• Message Day Code will be based on the date of where the index is traded (Asian index will reflect accurate date and GMT).
• New Exchange IDs will be utilized to give customers the ability to distinguish entitlement offerings.
  • XL – S&P 100 and S&P 500
  • XF – all other Fee Liable indexes
  • XW – all Fee Waived

The new MDP Channel 109 and ITC 2.1 Specification changes will be available for customer testing in production parallel until February 25, 2011. On Monday, February 28, 2011, all S&P Indices will be disseminated solely on MDP channel 109.

 S&P Indices Opening Settlement
Effective Monday, February 28, the following S&P indices “Opening Settlement” prices will be disseminated using ITC 2.1 Category Code "Y" with a new Price Indicator of Z “Opening Settlement” on MDP channel 109. With this change, the existing Opening Settlement Code will no longer be disseminated for these indices. The Opening Settlement price will be disseminated once per day and may be disseminated for any new S&P indices with Open Settlements.

Below is a sample of the ITC 2.1 Category Code "Y" with a new Price Indicator of Z “Opening Settlement” message.

aXF FY J00123461857450RbIIN X 2 0127833+Z c

This ITC 2.1 Category Code "Y" with a new Price Indicator of Z “Opening Settlement” message will be available for customer testing on Friday, February 11 and Friday, February 25 during the ITC floor tick test.

 Postponed: Implied Delay Functionality for Grain Futures
The previously announced change to the implied delay functionality on grain futures has been postponed at customers’ requests. The new launch date will be announced via the Market Data Notices.