Market Data Notices: June 13, 2011

• MexDer Markets via CME Globex - Early Q3 2011

• 30-Day Federal Funds Mid-Curve Options - This Week
• 4 Singapore Fuel Oil Futures - This Week
• RBOB Gasoline vs. Euro-bob Oxy (Argus) NWE Barges (1000mt) Swap Futures - This Week
• 3 Brent Crack Spreads - This Week
• 3 NY Fuel Oil Spreads and Gasoline BALMO Spread - This Week
• Gulf Coast Gasoline, Diesel and Jet Futures - This Week
• Trading At Marker (TAM) - Singapore - July 10

• E-mini MSCI Index Futures Delisting - This Friday
• Operational Russian Ruble Options Display Factor Changes - This Week
• Expansion of Listings for COMEX Gold Options - This Week
• Expansion of COMEX Silver Strike Price Listings - This Week
• Expansion of COMEX Copper Strike Price Listings - This Week
• New Release Environment Harmonization - June 25
• Match Algorithm Change for CBOT Grain Futures Calendar Spreads - June 26
• Dow Jones Fractional Indicator Change - June 27
• PIMCO CRR TRAKRS Futures Delisting - June 29
• Operational Cheese Futures Display Factor Changes - July 10
• Listing of Additional Contract Months in CERplus^SM Futures and RGGI Futures and Options - July 10

• New S&P Real-time Indexes - June 20
• New S&P Real-time Indexes - June 27

• Independence Day Holiday Schedule - July 4

MexDer Markets via CME Globex
In early Q3 2011, MexDer, Mercado Mexicano de Derivados markets will be available via CME Globex for iLink order routing and FIX/FAST market data. CME Group customers who would like to trade MexDer products must establish all appropriate agreements and accounts to be authorized to trade MexDer products. CME Group customers interested in accessing MexDer products via the CME Globex platform must develop and complete certification for new functionality and messaging specific to MexDer markets.

MexDer market data via CME Globex will utilize a new FIX/FAST template. The new template is currently available in New Release. A new mandatory certification suite will be available Monday, May 2, in AutoCert+ for customer systems planning to support MexDer via CME Globex.

MexDer markets via CME Globex are currently available in New Release for customer testing.

The  client impact assessment provides detailed functionality and messaging for customer systems interested in supporting MexDer products via CME Globex.

30-Day Federal Funds Mid-Curve Options
Effective this Sunday, June 19 (trade date Monday, June 20), 30-Day Federal Funds Mid-Curve options will be listed for trading on CME Globex and open outcry. The new Fed Funds Mid-Curve options are short-dated options on deferred Fed Funds futures that will expire on the last trading date of their expiration month, with reference to the daily settlement price of the underlying Fed Funds futures contract.

These contracts are listed with, and subject to, the rules and regulations of CBOT.

Please view the  New Product Summary.

4 Singapore Fuel Oil Futures
Effective this Sunday, June 19 (trade date Monday, June 20), CME Group will introduce the following petroleum futures contracts on open outcry and for submission for clearing through CME ClearPort.

• Singapore Fuel Oil 180 cst (Platts) 6.35 Dubai Crack Spread Swap Futures
• Singapore Fuel Oil 380 cst (Platts) 6.35 Dubai Crack Spread Swap Futures
• Singapore Fuel Oil 180 cst (Platts) 6.35 Brent Crack Spread Swap Futures
• Singapore Fuel Oil 180 cst (Platts) 6.35 Dubai Crack Spread BALMO Swap Futures

These contracts are listed with, and subject to, the rules and regulations of NYMEX.

Please view the  New Product Summary.

RBOB Gasoline vs. Euro-bob Oxy (Argus) NWE Barges (1000mt) Swap Futures
Effective this Sunday, June 19 (trade date Monday, June 20), CME Group will introduce RBOB Gasoline vs. Euro-bob Oxy (Argus) NWE Barges (1000mt) Swap futures contracts on open outcry and for submission for clearing through CME ClearPort.

This contract is listed with, and subject to, the rules and regulations of NYMEX.

Please view the  New Product Summary.

3 Brent Crack Spreads
Effective this Sunday, June 19 (trade date Monday, June 20), CME Group will introduce the following petroleum futures contracts on open outcry and for submission for clearing through CME ClearPort.

• NY 3.0% Fuel Oil vs. Gulf Coast No. 6 Fuel Oil 3.0% (Platts) Swap Futures
• NY 2.2% Fuel Oil vs. Gulf Coast No. 6 Fuel Oil 3.0% (Platts) Swap Futures
• NY 0.7% Fuel Oil vs. NY 1.0% Fuel Oil (Platts) Swap Futures
• Gulf Coast Unl 87 Gasoline M2 (Platts) vs. RBOB BALMO Swap Futures

This contract is listed with, and subject to, the rules and regulations of NYMEX.

Please view the  New Product Summary.

3 NY Fuel Oil Spreads and Gasoline BALMO Spread
Effective this Sunday, June 19 (trade date Monday, June 20), CME Group will introduce the following petroleum futures contracts on open outcry and for submission for clearing through CME ClearPort.

• RBOB Gasoline vs. Brent Crack Spread Swap Futures
• Heating Oil vs. Brent Crack Spread Swap Futures
• Gulf Coast No.6 Fuel Oil 3.0% (Platts) vs. Brent Crack Spread Swap Futures

This contract is listed with, and subject to, the rules and regulations of NYMEX.

Please view the  New Product Summary.

Gulf Coast Gasoline, Diesel and Jet Futures
Effective this Sunday, June 19 (trade date Monday, June 20), CME Group will introduce the following petroleum futures contracts on open outcry and for submission for clearing through CME ClearPort.

• Gulf Coast Unl 87 Gasoline M2 (Argus) Swap Futures
• Gulf Coast Unl 87 Gasoline M2 (Argus) vs. RBOB Spread Swap Futures
• Gulf Coast ULSD (Argus) Up-Down BALMO Swap Futures
• Gulf Coast Jet (Argus) Up-Down BALMO Swap Futures

This contract is listed with, and subject to, the rules and regulations of NYMEX.

Please view the  New Product Summary.

Trading At Marker (TAM) - Singapore
Effective Sunday, July 10 (trade date Monday, July 11), CME Group will introduce the Singapore Trading at Marker (TAM) on CME Globex.

TAM is similar to the existing Trading at Settlement (TAS) trading, where customers will be permitted to trade at a differential that represents a not-yet-known price. TAM trading will use a marker price, whereas TAS trading uses the Exchange-determined settlement price for the applicable contract month.

These contracts are listed with, and subject to, the rules and regulations of NYMEX. Additional information for Singapore TAM trading is available  online.

For any given product, there may be more than one marker available to trade. This launch includes a 4:30 p.m. Singapore GMT time marker to correspond with the Singapore market close and allows market participants to trade relative to the Exchange calculated marker price.

In the same way TAS uses “0” to represent the unknown settlement price and trades ± 10 ticks, TAM uses “0” to represent the price at the time of the marker and trades at ± 10 ticks.

Please view the  New Product Summary.

E-mini MSCI Index Futures Delisting
Effective close of business this Friday, June 17, the following E-mini MSCI Index futures and cash indexes will be delisted:

• E-mini MSCI Emerging Markets Index futures (tag 1151-SecurityGroup=EMI)
• E-mini MSCI EAFE Index futures (tag 1151-SecurityGroup=EFE)
• MSCI Underlying Cash Index - EFD
• MSCI Emerging Markets - EMX

Operational Russian Ruble Options Display Factor Changes
Effective this Sunday, June 19 (trade date Monday June 20), changes to Tag 9787-DisplayFactor values will be implemented for Russian Ruble options.

This is an operational change only and does not impact the current minimum price increments allowed for the Russian Ruble Options under CME Rule 260A01.C. Price Increments. Russian Ruble options outright trades continue to occur at a minimum tick of US$0.00001 per Russian ruble (= $25) and US$0.000005 per Russian ruble (= $12.50) for cabinet trades. The new Tag 9787-Display Factor specifies 0.000001, as the options price at termination as it must align with the calculation of the expiring futures final settlement price.

These changes are currently available for customer testing in New Release.

These contracts are listed with, and subject to, the rules and regulations of CME. More information on tag 9787-DisplayFactor is available in the   FIX/FAST Message Specifications module of the FIX/FAST SDK.

Expansion of Listings for COMEX Gold Options
Effective this Sunday, June 19 (trade date Monday June 20), CME Group will expand the contract listings for COMEX Gold options (tag1151-SecurityGroup=OG) such that options will be listed on each of the nearest twenty consecutive futures maturities. Currently options are listed on each of the nearest six consecutive future maturities. The June and December maturities are not included in this expansion and will continue to be listed for seventy-two (72) months.

These contracts are listed with, and subject to, the rules and regulations of COMEX.

The expanded listings are currently available for customer testing in New Release.

Expansion of Listings for COMEX Silver Options
Effective this Sunday, June 19 (trade date Monday, June 20), CME Group will expand the listing schedule for Silver options (tag 1151-SecruityGroups=SO) for trading on CME Globex as follows:

• Strike prices for the first three maturities will be at an interval of $.05 and an additional ten strike prices will be listed at $.25 increments above and below the highest and lowest five-cent increment, beginning with the strike price evenly divisible by $.25.
• All other trading maturities, strike prices are set at an interval of $.05 if the underlying futures price is less than $25.00 per troy ounce. If the underlying futures price is greater than $25.00 per troy ounce, strike prices are set at an interval of $.10 for the ± 20 ATM.
• An additional 10 strike prices will be listed at $.25 increments above the highest $.10 increment and an additional ten strike prices will be listed at $.25 increments below the lowest $.10 increment, beginning with the first available strike that is evenly divisible by $.25.

These contracts are listed with, and subject to, the rules and regulations of COMEX.

The expanded strike price listings are currently available for customer testing in New Release.

Expansion of COMEX Copper Strike Price Listings
Effective this Sunday, June 19 (trade date Monday, June 20), CME Group will expand the listing schedule for Copper options (tag 1151-SecurityGroup=HX) for trading on CME Globex as follows:

• Strike prices for maturities 1 through 3 will be listed at an interval of $.01 and an additional ten strike prices will be listed at $.05 increments ± the highest and lowest one-cent increment, beginning with the strike price evenly divisible by $.05.
• All other trading maturities, strike prices are at an interval of $.05 if the underlying futures price is less than $2.00 per pound. If the underlying futures price is greater than $2.00 per pound, strike prices are at an interval of $.05 for the ± 20 ATM.
• An additional 10 strike prices will be listed at $.25 increments above the highest $.05 increment and an additional ten strike prices will be listed at $.25 increments below the lowest $.05 increment, beginning with the first available strike that is evenly divisible by $.25.

These contracts are listed with, and subject to, the rules and regulations of COMEX.

The expanded strike price listings are currently available for customer testing in New Release.

New Release Environment Harmonization
To provide a robust customer testing environment as close to production as possible, CME Group is harmonizing the New Release environment Saturday, June 25. This synchronization will result in listed instruments in New Release better matching those listed in production; for instance, strike prices will match. The following impacts will occur:

• All GTC and GTD orders will be removed.
• All User-Defined Spreads (UDS) will be eliminated.
• The tag 48-SecurityID values for all currently listed products will be impacted.
  • CME Group recommends all customers purge and re-load their instrument databases from the Security Definition (tag 35-MsgType=d) market data messages every week.
  • There is no impact for customers who purge and re-load weekly, or who do not rely on the tag 48-SecurityID values for instrument identification.
  • Please contact your front-end system provider for more information.

If you experience any testing issues in New Release, please contact  Certification Support for Electronic Trading (CSET) at 312.930.2322 for assistance.

Match Algorithm Change for CBOT Grain Futures Calendar Spreads
Effective Sunday, June 26 (trade date Monday, June 27), the CME Globex match algorithm for the following CBOT Grain futures calendar spreads will be modified:

• Corn futures (tag 1151-SecurityGroup=ZC)
• Mini-Sized Corn (tag 1151-SecurityGroup=XC)
• Wheat futures (tag 1151-SecurityGroup=ZW)
• Mini-Sized Wheat (tag 1151-SecurityGroup=XW)
• Soybeans futures (tag 1151-SecurityGroup=ZS)
• Mini-Sized Soybeans (tag 1151-SecurityGroup=XK)
• Soybean Meal futures (tag 1151-SecurityGroup=ZM)
• Soybean Oil futures (tag 1151-SecurityGroup=ZL)
• Oats futures (tag 1151-SecurityGroup=ZO)
• Rice futures (tag 1151-SecurityGroup=ZR)

These products will continue to utilize TOP order with a 40% FIFO/60% Pro-Rata split. However, the ‘leveling’ component of the algorithm, which assigns the residual volume to the largest orders in the book, will be replaced by a FIFO allocation.

The match algorithm applied to each instrument is identified in the Security Definition (tag 35-MsgType=d) message in tag 1142-MatchAlgorithm. Descriptions of each algorithm currently in use on CME Globex are available   online.

These contracts are listed with, and subject to, the rules and regulations of CBOT.

CBOT Grain futures calendar spreads with the modified match algorithm is currently available for customer testing in New Release.

Dow Jones Fractional Indicator Change
Effective Monday, June 27, the ITC 2.1 price fractional indicator for the following equity futures and options disseminated via MDP channel 100 will change from a fractional indicator of 0 to 2:

• $25 Dow Jones Futures (DD)
• $10 Dow Jones Futures (DJ)/(ZD)
• $10 Dow Jones Options (DJC/DJP)/(OZDC/OZDP)
• $5 Mini-Sized Dow Jones Futures (YM)
• $5 Mini-Sized Dow Jones Options (OYMC/OYMP)

Please note the ITC 2.1 strike price fractional indicator will remain 0 for the equity options.

These changes will be available for customer testing on Friday, June 4, June 10, and June 17 during the ITC 2.1 ticker test.

PIMCO CRR TRAKRS Futures Delisting
Effective close of business Wednesday, June 29, the PIMCO CRR TRAKRS futures (tag 1151-SecurityGroup=PCT) will be delisted with expiration of the June 2011 maturity.

 Operational Cheese Futures Display Factor Changes
The FIX tag 9787-DisplayFactor change, originally scheduled for Sunday, July 10, has been postponed.

Effective Sunday, July 10 (trade date Monday July 11), changes to Tag 9787-DisplayFactor values will be implemented for Cheese futures.

This is an operational change only and does not impact the current minimum price increments allowed for Cheese futures under CME Rule 6002C. Price Increments. Minimum price fluctuations shall be in multiples of $.0010 per pound.

These contracts are listed with, and subject to, the rules and regulations of CME.

These changes will be available for customer testing in New Release on Monday June 27.

More information on tag 9787-DisplayFactor is available in the   FIX/FAST Message Specifications module of the FIX/FAST SDK.

 Listing of Additional Contract Months in CERplus^SM Futures and RGGI Futures and Options
Effective Sunday, July 10 (trade date Monday, July 11), additional maturities will be listed on Green Exchange and available for trading on CME Globex for the following:

• Certified Emission Reduction Plus Futures (tag 1151-SecurityGroup=CPL)
  • December 2011
  • December 2012
  • December 2014
• Regional Greenhouse Gas Initiative futures(tag 1151-SecurityGroup=RGI)
  • January 2012 through December 2012
  • December 2013
  • December 2014
• Regional Greenhouse Gas Initiative options (tag 1151-SecurityGroup=RGX)
  • January 2012 through December 2012
  • December 2013
  • December 2014

These additional listings will be available in New Release for customer testing on Monday, June 27.

 Expansion of Trading and Clearing Sessions for Pine Prairie Energy Center Natural Gas Futures
Effective Sunday, July 10 (trade date Monday, July 11), CME Group will expand the hours of trading and clearing the following three Pine Prairie Energy Center (PPEC) physically delivered natural gas futures contracts:

• Pine Prairie Energy Center (PPEC) Physically Delivered Natural Gas Daily/Weekend Futures (code PPD)
• Pine Prairie Energy Center (PPEC) Physically Delivered Natural Gas BALMO Futures (code PPB)
• Pine Prairie Energy Center (PPEC) Physically Delivered Natural Gas Monthly Futures (code PPM)

The amended CME Globex trading and CME ClearPort sessions are as followed:

• Sunday 5:00 p.m. - Monday 10:30 a.m. CT
• Monday - Friday 12:00 p.m. - 10:30 a.m. CT (with no 12:00 p.m. CT session on Friday, and a 45-minute break each day beginning at 4:15 p.m. CT.

These contracts are listed with, and subject to, the rules and regulations of NYMEX.

New S&P Real-time Indexes
Effective THIS Monday, June 20, CME Group will begin disseminating the new indexes detailed below. These indexes will be transmitted every 15 seconds.

 New S&P Real-time Indexes
Effective Monday, June 27, CME Group will begin disseminating the new indexes detailed below. These indexes will be transmitted every 15 seconds.

 Independence Day Holiday Schedule
CME Group trading floors and normal operations will be closed Monday, July 4, in observance of Independence Day Holiday . Please view the Independence 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