Market Data Notices: March 28, 2011

CME Globex Performance Enhancements for 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, 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 this 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.

ITC 2.1 Category Code Z Message Dissemination
Effective this Monday, April 4, CME Group will discontinue the dissemination of all ITC 2.1 Category Code Z “Contract Specification” messages for products, which trade only CME Globex. We will continue to disseminate all other Category Code Z messages for floor and composite messages.

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 and open outcry.

Please view the   New Product Summary.

 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 and Open Outcry.

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.

 European 1% Fuel Oil (Platts) Barges FOB Rdam Average Price Options
Effective Sunday, April 17 (trade date Monday, April 18), NYMEX will list European 1% Fuel Oil (Platts) Barges FOB Rdam Average Price options for trading on open outcry trading and for clearing through CME ClearPort.

Please view the   New Product Summary.

 3 Ferrous Swap Futures
Effective Sunday, April 17 (trade date Monday, April 18), the following NYMEX swap futures will be listed for trading on for open outcry trading and for clearing through CME ClearPort:

• Heavy Melting Scrap, Grade I and II, mix HMS 80/20, CFR Turkey (Platts) Swap Futures
• European Hot Rolled Coil, Ex-Works Ruhr Germany (Platts) Swap Futures
• Steel Billet, FOB Black Sea (Platts) Swap Futures

Please view the   New Product Summary.

 Expansion of Brazilian Real Futures Contract Month Listings
Effective this Sunday, April 3 (trade date Monday, April 4), CME Group will expand the listing of BRL/USD futures (tag 1151-SecurityGroup=6L) by adding 72 serial months (January, February, April, May, July, August, October, and November) to the existing March, June, September and December quarterly listings. With this change, a total of 120 consecutive maturities will be listed through March 2021.

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.

 Addition of CME ClearPort Venue for the Henry Hub Natural Gas Penultimate Financial Futures
Effective Sunday, April 10 (trade date Monday, April 11), NYMEX will list its existing Henry Hub Natural Gas Penultimate Financial Futures (HP) for clearing through CME ClearPort.

This contract will remain available for trading on CME Globex and the NYMEX trading floor.

ITC 2.1 Specifications Price Indicator X Changing Transaction
Effective Monday, April 11, CME Group will re-introduce the reporting of phone trades using ITC 2.1 Category Code A “Bid/Ask/Trade - No Volume”, with a Price Indicator Code X “Changing Transaction” for the following open outcry products:

• Mini-sized Corn - YC
• Mini-sized Soybeans -YK
• Mini-sized Wheat - YW

Please note: Phone messages will be disseminated for in the manner as previously reported.

ITC 2.1 Category Code A "Bid/Ask/Trade-No Volume with a Price Indicator Code X "Changing Transaction" will be available for customer testing Friday, March 25 and Friday, April 1 during the ITC floor ticker test.

 Expansion for Henry Hub Natural Gas Financial Calendar Spread (1 month) Options
Effective Sunday, April 17 (trade date Monday, April 18), NYMEX will expand the listing schedule for Henry Hub Natural Gas Financial Calendar Spread (1 month) options (code G4) from 24 consecutive maturities to 60 consecutive maturities. The Henry Hub Natural Gas Financial Calendar Spread (1 month) options is currently available for open outcry trading and for clearing through CME ClearPort.

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 is currently available for customer testing in New Release.

FIX tag 55-Symbol Changes for Energy Futures and Future Spreads
Effective Sunday, May 1, 2011, the FIX tag 55-Symbol values for Energy futures and future spreads will be changed as follows:

Market Data Platform channels and implied functionality will not be impacted.

To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted futures and spreads after their close on Friday, April 29. After 16:00 CT on Friday, April 29, all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).

These changes will be available for customer testing in New Release Monday, April 4.

New S&P Real Time Indexes
Effective this Monday, April 4, CME Group will begin disseminating the new indexes detailed below. These indexes will be transmitted every 15 seconds, via channel 109 of CME’s MDP.

 New S&P Real Time Indexes
Effective this Monday, April 11, CME Group will begin disseminating the new indexes detailed below. These indexes will be transmitted every 15 seconds, via channel 109 of CME’s MDP.

ITC 2.1 Specification Message Changes
Effective Monday, May 1, CME Group will begin disseminating ITC 2.1. Category Code N (Bid and Ask Market – No Volume) messages for some S&P indexes. Bids and Asks will only be populated in the Category Code N message with the “Last” price for these indexes 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.

These changes will be available for customer testing during the Floor ITC Ticker Tests on Friday, March 25 and Friday, April 8.

New ITC 2.1 Specification Range Indicator Message
Effective Monday, May 1, 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 Indexes. Range indicator of “M” may be disseminated for Bids, Asks and Trades.

S&P will generate pre-market index data for certain select indexes 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.

These changes will be available for customer testing during the Floor ITC Ticker Tests on Friday, March 25 and Friday, April 8.

CME Group Internal Recovery Simulation Exercise
On this Saturday, April 2, 2011, CME Group will conduct an internal recovery simulation exercise, during which iLink messages will be replayed into the CME Globex production environment. During this test, order routing messages will be transmitted via CME Group-initiated connections using iLink session IDs. As a result, customers may be unable to connect their iLink sessions.

Please note that CME Group strongly recommends that customers not connect their iLink and Drop Copy systems on Saturday, April 2. At the conclusion of testing CME Group will clear all test data in preparation for the regular market open on Sunday, April 3. In the event customers must bring up their systems on Saturday, we strongly encourage customers to verify that all test data from Saturday is cleared out of their systems prior to Sunday start-up.

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 Reminder
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.

Additionally, please note, if you are interested in participating in our Phase 1 launch, all contracts must be submitted by May 2, 2011.

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.