Market Data Notices: March 5, 2012

 User-Defined Spreads: Covereds Execution Enhancement
Effective Sunday, March 25, 2012 (trade date Monday, March 26), the execution for User-Defined Spreads (UDS):Covereds will be enhanced to better ensure delta neutrality.

Currently, in certain scenarios, the matching process may result in a Covered trade that is under- or over-allocated on the futures fills. Starting Sunday, March 25, 2012, the Covered matching algorithm will track executions of a resting order such that when the executed quantity of a customer's option order results in an accumulated delta futures allocation at or above 0.5, a futures contract is allocated to the next fill.

The enhancement is scheduled for a phased launch as follows:

• Sunday, March 25
  • CME FX Options
• Sunday, April 1
  • CME Equity Options
  • CBOT Equity Index Options
  • CBOT Commodity Options
  • CME Commodity, Industrial Commodity and TRAKRS Options
  • KCBT Options
  • MGEX Options
• Sunday, April 15
  • CME Interest Rate Options
  • CBOT Interest Rate Options
  • COMEX Options
  • Green Exchange Options
  • NYMEX Crude Options
  • NYMEX Non-Crude Energy Options

We recommend all system providers supporting Covereds test this enhancement thoroughly in New Release. Details on UDS:Covereds functionality are available  online.

Copper Calendar Swap Futures
Effective this Sunday, March 11 (trade date Monday, March 12), Copper Calendar Swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

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

Please view the New Product Summary.

Copper Average Price Options
Effective this Sunday, March 11 (trade date Monday, March 12), Copper Average Price options will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

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

Please view the New Product Summary.

RBOB Gasoline vs. Euro-bob Oxy (Argus) NWE Barges Swap Futures
Effective this Sunday, March 11 (trade date Monday, March 12), RBOB Gasoline vs. Euro-bob Oxy (Argus) NWE Barges Swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

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

Please view the New Product Summary.

Fuel Oil Crack Spread Futures
Effective this Sunday, March 11 (trade date Monday, March 12), the following petroleum swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

• 3.5% Fuel Oil (Platts) Barges FOB Rdam Crack Spread BALMO Swap Futures
• 3.5% Fuel Oil (Platts) FOB MED 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.

Gasoline 10 ppm (Platts) FOB MED Crack Spread Swap Futures
Effective this Sunday, March 11 (trade date Monday, March 12), Gasoline 10 ppm (Platts) FOB MED Crack Spread Swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

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

Please view the New Product Summary.

Petroleum Swap Futures
Effective this Sunday, March 11 (trade date Monday, March 12), the following petroleum swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

• Dated Brent (Platts) BALMO Swap Futures
• 1% Fuel Oil (Platts) Cargoes CIF MED BALMO Swap Futures
• 1% Fuel Oil (Platts) Cargoes FOB MED BALMO Swap Futures
• Mini European Naphtha (Platts) BALMO Swap Futures
• Mini Gasoline Euro-bob Oxy (Argus) NWE Barges Swap Futures

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

Please view the New Product Summary.

 MGEX-CBOT Wheat Intercommodity Spread Options
Effective Sunday, March 25 (trade date Monday, March 26), MGEX-CBOT Wheat Intercommodity Spread options will be listed for trading on the CME Globex platform, open outcry and CME Clearport.

The MGEX-CBOT Wheat Intercommodity Spread options are unique hedging tools based on the price differentials between hard red spring wheat futures listed on the Minneapolis Grain Exchange, Inc. (MGEX) and soft red winter wheat futures on the Chicago Board of Trade (CBOT), which are the result of fundamental supply and demand factors and varying protein levels between these two distinct classes of wheat.

In addition, a new synthetic future will be launched for the options on MGEX-CBOT Wheat Intercommodity Spread futures.

The new future will have tag 1151-SecurityGroup=MCX 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=MCW) will identify MCX as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

The MGEX-CBOT Wheat intercommodity spread options and synthetic future will be available for customer testing in New Release on Monday, March 12, 2012.

Please view the New Product Summary.

 NY ULSD (Argus) vs. Heating Oil Spread BALMO Swap Futures
Effective Sunday, March 25 (trade date Monday, March 26), NY ULSD (Argus) vs. Heating Oil Spread BALMO Swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

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

Please view the New Product Summary.

 Midwest ISO Michigan Hub Electricity Futures
Effective Sunday, March 25 (trade date Monday, March 26), the following Midwest ISO Michigan Hub Swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

• Midwest ISO Michigan Hub 5 MW Peak Calendar-Month Day-Ahead Swap Futures
• Midwest ISO Michigan Hub 5 MW Off-Peak Calendar-Month Day-Ahead Swap Futures

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

Please view the New Product Summary.

European Union Aviation Allowance Futures
Effective Sunday, April 1 (trade date Monday, April 2), the GreenX European Union Aviation Allowance (EUAA) futures will be listed on Green Exchange and available via CME Globex.

These contracts are listed with, and subject to, the rules and regulations of GreenX. All transactions will be available for clearing through CME Clearing.

This product will be available for customer testing in New Release Monday, March 19.

 December vs. December Wheat Calendar Spread Option (CSO)
Effective Sunday, April 1 (trade date Monday, April 2), options on the December vs. December Wheat futures calendar spread will be listed for trading on the CME Globex platform and open outcry.

In addition, a new synthetic future will be launched for the options on December vs. December Wheat future calendar spread.

The new future will have tag 1151-SecurityGroup=CWZ 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=CWZ) will identify CWZ as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

The December vs. December Wheat calendar spread option and synthetic future will be available for customer testing in New Release on Monday, March 19.

 May vs. November Soybean Calendar Spread Option (CSO)
Effective Sunday, April 1 (trade date Monday, April 2), options on the May vs. November Soybean futures calendar spread will be listed for trading on the CME Globex platform and open outcry.

In addition a new synthetic future will be launched for the options on May vs. November Soybean future calendar spread.

The new future will have tag 1151-SecurityGroup=SC7 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=SC7) will identify SC7 as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

The May vs. November Soybean calendar spread option and synthetic future will be available for customer testing in New Release on Monday, March 19.

 S&P Case-Shiller Home Price Index Options
Effective Sunday, April 1 (trade date Monday, April 2), pending all relevant CFTC regulatory review periods, the following S&P Case Schiller Home Price Index options will be listed for trading on CME Globex.

These options will be available in New Release for customer testing on Monday, March 12.

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

Implied Functionality for GreenX InterCommodity Spreads
Effective this Sunday, March 11, 2012 (trade date Monday, March 12), implied functionality will be enabled for the following GreenX intercommodty spreads:

Implied functionality for the GreenX intercommodty spreads are currently available in New Release for customer testing.

These contracts are listed with, and subject to, the rules and regulations of GreenX. All transactions will be available for clearing through CME Clearing.

FIX tag 55-Symbol Changes for Energy Futures and Futures Spreads
Effective this Sunday, March 11, the FIX tag 55-Symbol values for the following Energy futures and futures spreads will be changed as follows:

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

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

Expansion of Contract Month Listing for NY ULSD (Argus) vs. Heating Oil Spread Swap
Effective this Sunday, March 11 (trade date Monday, March 12), CME Group will expand the listing of contract months for NY ULSD (Argus) vs. Heating Oil Spread Swap futures (7Y) through March 2013, pending receipt of required regulatory approvals.

The NY ULSD (Argus) vs. Heating Oil Spread Swap futures are listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.

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

Heating Oil Last Day Financial Futures
Effective this Sunday, March 11 (trade date Monday, March 12), CME Group will expand the listing of contract months for Heating Oil Last Day Financial futures (23) through April 2013, pending receipt of required regulatory approvals.

The Heating Oil Last Day Financial p futures are listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.

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

FIX tag 55-Symbol Changes for 3-Year Eurodollar Mid-Curve Options
Effective Sunday, March 18, the FIX tag 55-Symbol values for the 3-Year Eurodollar Mid-Curve options will be changed as follows:

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

This change is currently available for in New Release customer testing.

Butterfly Spreads on Energy Futures
Effective Sunday, March 25 (trade date Monday, March 26), butterfly spreads will be listed on CME Globex for the following futures:

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  Trading Services. Butterfly spreads are identified with BF in tag 762-SecuritySubType in the Security Definition (tag 35-MsgType=d) message. These energy butterfly spreads will not support implied functionality.

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

The energy butterfly spreads will be available for customer testing in New Release on Monday, March 12.

Additional Listings for In Delivery Month European Union Allowance (EUA) Options
Effective Sunday, March 25, 2012 (trade date Monday, March 26), the following December maturities in GreenX In Delivery Month European Union Allowance (EUA) options (tag 1151-SecurityGroup=EAX) will be listed on Green Exchange and available via CME Globex.

• DEC 2016
• DEC 2017
• DEC 2018
• DEC 2019
• DEC 2020

These contracts are listed with, and subject to, the rules and regulations of GreenX. All transactions will be available for clearing through CME Clearing.

These contracts will be available in customer testing in New Release on Monday, March 12.

New S&P Real-time Indexes
Effective this Monday, March 12, CME Group will begin disseminating the new index detailed below. This index will be transmitted every 15 seconds.

Eris Exchange Market Data Available via Streamlined FIX/FAST
Starting this Monday, March 12, CME Group will begin disseminating Eris Exchange market data in streamlined FIX/FAST.

Streamlined FIX/FAST is an optimized version of the FIX/FAST market data format for non-actionable price data. Streamlined FIX/FAST has a dedicated message specification distinct from the CME Globex FIX/FAST format and new templates.

The following Eris Exchange market data will be available via streamlined FIX/FAST:

• Order Books in Market by Order (MBO) Format
• Trades
• Security Definitions
• Request for Quotes (RFQs)

Eris Exchange market data is currently available for customer testing in the New Release.

Mandatory certification via AutoCert+ is required for customers wishing to receive streamlined FIX/FAST market data for the Eris Exchange.

Detailed information for Eris market data via streamlined FIX/FAST is available.

The  Eris Exchange is a Designated Contract Market (DCM) for USD Interest Rate Swap Futures that provides liquidity and anonymity to their customers. The trades are futures contracts which replicate the cash flows associated with OTC Interest Rate Swaps. The futures contracts consist of plain-vanilla transaction terms for date and rate flexibility. Trades are cleared through CME Clearing.

These products are being made available to authorized and licensed customers of the Eris Exchange for dissemination through the CME Market Data Platform (MDP); however they are not available for trading on CME Globex.