A contact module includes a leadframe having signal contacts arranged in pairs. Each signal contact includes a lead having sides extending between inner and outer edges. The contact module includes a dielectric frame supporting the leadframe having a first side and a second side with windows extending through the dielectric frame between the first side and the second side. The windows exposing to air the sides, the inner edges and the outer edges of the corresponding leads along a majority of lengths of the leads. The contact module includes a shield structure having a first ground shield at the first side and a second ground shield at the second side to provide electrical shielding for the signal contacts.