Market Data Notices: February 21, 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 this 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 this 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 thisSunday, 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 this 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 this 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.

 E-mini S&P 500 Select Sector Index Futures
Effective Sunday, March 14 (trade date, Monday, March 15), the following E-mini 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 this 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 this 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 this 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 this 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 this 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 500 Technology SPCTR and S&P 500 Financial SPCTR Futures Delisting
Effective close of business 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)

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

 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 this Friday, 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 this 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 this Friday, February 25 during the ITC floor tick test.

 S&P Discontinued Indices
Effective Friday, March 4, the following S&P Index will be discontinued at the close of business:

 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.

 New ITC 2.1 Range Indicator Message
Effective Monday, April 18, CME Group will begin disseminating ITC 2.1 Category Code U Range message with a new Range Indicator of ”M” (Pre-Market) for select S&P Indices. Range indicator of “M” may be disseminated for Bids, Asks and Trades.

S&P will generate pre-market index data for certain select indices typically one hour prior to the actual start of trading day.

The pre-market index data will contain:

• Index values flat-lined with previous day’s index close levels
• Index Bid & Ask values computed using real-time pre-market quotes of the underlying constituents

The pre-market index data should be considered as an initialization phase for the index prior to the start of the trading day. All market data vendors are encouraged to distribute the pre-market index data with the Range Indicator of “M”. The index values produced during pre-market does not apply to the Daily Open, High or Low.

Message Examples:
aXF FU N03007621418000RbIIXU Y 2 0031882+T Mc
aXF FU N03007631418000RbIIXB Y 2 0040708+T Mc
aXL FU N03007641418000RbIIN X 2 0130740+T Mc

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.