Market Data Notices: February 14, 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 are currently available for customer testing in New Release.

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.

 S&P 500 Select Sector Index Futures
Effective Sunday, March 14 (trade date, Monday, March 15), the following S&P 500 Select Sector Index futures will be listed for trading on CME Globex and for submission for clearing through CME ClearPort.

• Consumer Discretionary Sector Index
• Consumer Staples Sector Index Futures
• Energy Sector Index Futures
• Financial Sector Index Futures
• Health Care Sector Index Futures
• Industrial Sector Index Futures
• Materials Sector Index Futures
• Technology Sector Index Futures
• Utilities Sector Index 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.

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.

 User-Defined Spreads for S&P 500 and NASDAQ-100 Options
Effective Sunday, February 27, to facilitate the creation and trading of intercommodity User-Defined Spreads (UDS) in equity options, the following changes to tag 55-Symbol will occur for User-Defined Spreads only.

Please note: this change will have no impact on the tag 55-Symbol values for the outright options. Only the tag 55 values for the UDS are changing.

These changes will be available in New Release for customer testing this Monday, February 21.

 User-Defined Spreads for Henry Hub Natural Gas Options
Effective Sunday, February 27, to facilitate the creation and trading of User-Defined Spreads (UDS) in Henry Hub Natural Gas options, the following changes to tag 55-Symbol will occur for User-Defined Spreads only.

Please note: this change will have no impact on the tag 55-Symbol values for the outright options. Only the tag 55 values for the UDS are changing.

These changes will be available in New Release for customer testing this Monday, February 21.

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 Real Time Index Name Change
Effective immediately, the following S&P Real Time Indices naming conventions will be modified.

Please update you systems to reflect the name change.

 S&P Discontinued Indices
Effective Friday, February 25, the following S&P Indices will be discontinued at the close of business:

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.

aM FY A33294220831140RbIIN X 2 0128243+TZc

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.

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

 New S&P Real Time Indices
Effective Monday, March 14, CME Group will begin disseminating the new indices detailed below. These indices will be transmitted every 15 seconds, via channel 109 of CME’s MDP.

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.

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

 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.