Market Data Notices: February 7, 2011

 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.

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.

 Brent Option on Calendar Futures Strip and Quarterly Futures Strip
Effective Sunday, February 27 (for trade date Monday, February 28), CME Group will list the Brent Option on Calendar futures strip and Brent Option on Quarterly futures strip for open outcry trading and for submission for clearing through CME ClearPort.

Please view the   New Product Summary.

 Listing of Seven Fuel Oil Futures
Effective Sunday, February 27 (for trade date Monday, February 28), CME Group will list the following petroleum futures for open outcry trading and for submission for clearing through CME ClearPort.

• Gulf Coast No. 6 Fuel Oil 3.0% vs. European 3.5% Fuel Oil Barges FOB Rdam (Platts) Swap Futures
• New York Fuel Oil 1.0% vs. European 1% Fuel Oil Cargoes FOB NWE (Platts) Swap Futures
• New York 0.3% Fuel Oil HiPr vs. New York Fuel Oil 1.0% (Platts) Swap Futures
• New York 0.3% Fuel Oil HiPr (Platts) BALMO Swap Futures
• New York 0.7% Fuel Oil (Platts) BALMO Swap Futures
• New York 2.2% Fuel Oil (Platts) BALMO Swap Futures
• New York 3.0% Fuel Oil (Platts) BALMO Swap Futures

Please view the   New Product Summary.

 Six Singapore Gasoil Futures
Effective Sunday, February 27 (for trade date Monday, February 28), CME Group will list the following six Singapore Gasoil futures contracts for open outcry trading and for submission for clearing through CME ClearPort.

• Singapore Gasoil 10 ppm (Platts) Swap Futures
• Singapore Gasoil 0.05% Sulfur (Platts) Swap Futures
• Singapore Gasoil 10 ppm vs. 0.5% Sulfur Spread (Platts) Swap Futures
• Singapore Gasoil 0.05% vs. 0.5% Sulfur Spread (Platts) Swap Futures
• Singapore Gasoil 10 ppm (Platts) BALMO Swap Futures
• Singapore Gasoil 0.05% Sulfur (Platts) BALMO Swap Futures

Please view the   New Product Summary.

 2 DME Oman Crude Oil Spreads
Effective Sunday, February 27 (for trade date Monday, February 28), CME Group will list the following DME Oman Crude Oil spread contracts for open outcry trading and for submission for clearing through CME ClearPort.

• DME Oman Crude Oil vs. Dubai (Platts) Swap Futures
• ICE Brent (Singapore Marker) vs. DME Oman Crude Oil Swap Futures

Please view the   New Product Summary.

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.

 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 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.

 Expansion of Listing for Natural Gas Option on Future Strips
Effective Sunday, February 27 (for trade date Monday, February 28), CME Group will expand the listing of contract months for the following Natural Gas Option on Summer future strips and Natural Gas Option on Winter future strips, such that the contracts are listed for the next five (5) available strips.

 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.

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 throughout the trading 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.

ITC 2.1 Message Changes
Effective Monday, April 4, 2011, CME Group will begin disseminating ITC 2.1. Category Code N (Bid and Ask Market – No Volume) messages for some S&P indices. Bids and Asks will only be populated in the Category Code N message with the “Last” price for these indices continuing to be disseminated in the Category Code Y message. In addition, CME Group will implement a new ITC 2.1 Category Code “v” (little v) (Cumulative Volume – Expanded Volume) message. With this change, the Category Code “v” message will support a 12-btye volume field.

 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.

Presidents' Day Holiday Schedule
CME Group trading floors and normal operations will be closed Monday, February 21, in observance of Presidents' Day Holiday. Please view the Presidents' Day holiday hours by clicking on the following links for more details:

•   CME Globex
•   CME Group Chicago Trading Floor
•   CME Group New York Trading Floor
•   CME Clearport