Globex Trade Cancellation policy

October 10, 2005
Page 5 of 10

T-Bills

Fed Fund “Tum”

Agency Notes

Swaps

THE and CETES

CPI Futures

Eurozone HICP

Currency Futures (except British
pound)

British Pound Futures

S&P 500 and E-mini S&P 500
S&P BARRA Growth

S&P BARRA Value

S&P Midcap 400 and E-mini S&P
Midcap 400

S&P Smallcap 600

E-mini S&P Asia SO

S&P 500 Depositary Receipts
Russell 2000 and E-mini Russell
2000

iShares Russell 2000

E-mini Russell 1000

Nasdaq-100 and E-mini Nasdaq-100
E-mini Nasadaq Composite
E-mini Nasdaq Bio Tech
Nasdaq-100 Index Tracking Stock

5 basis points or less
50 basis points or less
16 ticks or less

5 basis points or less
30 ticks or less

5 basis points or less

25 basis points or less
20 ticks or less

30 ticks or less

6.00 index points or less
4.00 index points or less
4.00 index points or less
[3] 4.00 index points or less

[3] 4.00 index points or less
12.00 index points or less

-60 index points or less
{3] 4.00 index points or less

-30 index points or less
[3] 4.00 index points or less

[28] 12.00 index points or less
[29] 12.00 index points or less

12.00 index points or less
.30 index points or less

Nikkei 225 ($ and ¥)

S&P 500 Technology SPCTR
S&P 500 Financial SPCTR
TRAKRS Futures

Goldman Sachs Commodity Index
CME Weather

Lean Hogs

Live Cattle

Feeder Cattle

Pork Bellies

Butter (Cash Settled)

NYMEX Light Sweet Crude Oil e-
miNY
NYMEX Natural Gas e-miNY

Urea
DAP
UAN
Ethanol

60.00 index points or less
3.00 index points or less
3.00 index points or less
10 cents or less

2.50 index points or less
25.00 index points or less
$0.0075 per pound or less
$0.0075 per pound or less
$0.0075 per pound or less
$0.0075 per pound or less

$0.0075 per pound or less
6 ticks or less

16 ticks or less

$3 per ton or less

$3 per ton or less

$3 per ton or less
$.025 per gallon or less


Globex Trade Cancellation policy

October 10, 2005

Page 10 of 10

UAN
Ethanol
Futures Combinations

All Eurodollar Combinations
Intra-Commodity (non-ED) Futures
Spreads

Inter-Commodity (non-ED) Futures
Spreads

Options on Futures

Interest Rate Options

Prices below or equal to 5 basis
points

Prices greater than 5 through 15
basis points

Prices greater than 15 through 25
basis points

Prices greater than 25 basis points
Equity Index Options

Any premium level

Currency Options

Any premium level

Options Combinations

$3 per ton or less
$.025 per gallon or less

2.5 basis points or less
5 ticks or less

The wider of the no bust ranges of the two
individual legs

No Bust Range

1 basis point
1.5 basis points
2 basis points

2.5 basis points

20% of premium (up to 3.00 index points
with a minimum of | tick) or less

20% of premium (up to 10 ticks with a
minimum of | tick) or less

Interest Rate Options (Deltas greater 2.5 basis points

than 50%)


Globex Trade Cancellation policy
October 10, 2005

Page 7 of 10

588.

[Ad Burodellar Combinations] [2.5-basis-peints-or tess]
[Intra Commedity{neon ED Hanures [Sticks-orless]

Spreads]

[ter Commedify tren ED Haitures [Fhe wider-ofthe ne bust ranges ofthe to
Spreads] individuaHegs)

Clean Copy of Rule Amendments

GLOBEX TRADE CANCELLATIONS

{No changes to sections 588.A.-588.B.]

588.C. Trade Price Adjustment and Cancellation Process

The GCC will first determine whether the trade price is within the No Bust Range for the contract
pursuant to Section K. During fast market conditions, upon the release of significant news events, or
in other circumstances in which the GCC determines it is appropriate, the GCC may temporarily
double the published No Bust Range without prior notice. In applying the No Bust Range, the GCC
shall determine the actual or implied market price for that contract immediately before the trade under
review. The GCC may consider any relevant information, including but not limited to the existing
market conditions, the volatility of the market, the prices of related instruments in other markets, the
last trade price on GLOBEX, a better bid or offer price, a more recent price in a different contract
month, the price of the same or related contract established in open outcry trading, theoretical value
of an option based on the current (most recent) implied volatility, “RFQs,” and any other factors that
the GCC deems relevant.

1. Trade Price Inside the No Bust Range

If the GCC determines that the price of the trade was inside the No Bust Range, the GCC will
promptly issue an alert indicating that the trade shall stand.

2. Trade Price Outside the No Bust Range
a, Eurodollar and LIBOR Futures Contracts

If the GCC determines that a trade price is outside the applicable No Bust Range, the trade
price shall be adjusted to a price that equals the actual or implied market price for that
contract at the time of the questioned trade, plus or minus the standard or doubled No Bust
Range, as may be applicable. The GCC will promptly issue an alert indicating that the prices
of the trades outside the No Bust Range have been adjusted to the No Bust Range limit.

For example, if the standard No Bust Range for Eurodollars or LIBOR is 2.5 points above
and below the market price and the doubled No Bust Range was in effect at the time of the
transactions, all trade prices outside the doubled No Bust Range shall be adjusted to the
applicable No Bust Range limit, i.e., 5 points above or below the market price.

b. Eurodollar and LIBOR Futures Contracts ~ Non-Implied Combination Trades


Globex Trade Cancellation policy
October 10, 2005 ~

Page 6 of 10

Futures Combinations [Frades]

All Eurodollar Combinations
Intra~-Commodity (non-ED) Futures
Spreads

Inter-Commodity (non-ED) Futures
Spreads

Options on Futures [Contract
Priees)

Interest Rate Options

Prices below or equal to 5 basis

2.5 basis points or less
5 ticks or less

The wider of the no bust ranges of the two
individual legs

No Bust Range

1 basis point [tick]

points [6-tieks]
Prices greater than 5 through 15

1.5 basis points [2-4ieks-ortess]

basis points [6-+hreugh 15-ticks]

Prices greater than 15 through 25

2 basis points [3-+tieks-ortess]

basis points [16+hreugh 30-+tieks]
Prices greater than 25 basis points
[3+-through 50-ticks]

[Sd ticks and-above]

Equity Index Options

Any premium level

Currency Options

Any premium level

Options Combinations

Interest Rate Options (Deltas greater

2.5 basis points [44ieks-ertess]
[SHieks-ortess]

20% of premium (up to 3.00 index points
with a minimum of 1 tick) or less

20% of premium (up to 10 ticks with a
minimum of 1 tick) or less

2.5 basis points

than 50%

[Bligible for busting]
[3-tieks-ortess]
[4+4ieks-ertess]
[Sticks-ortess]
[Hieks-ortess]
[J0-+tieks-oress]


Globex Trade Cancellation policy

October 10, 2005
Page 9 of 10

588.K.

GLOBEX No Bust Ranges

Futures

Eurodollar and LIBOR

T-Bills

Fed Fund “Turn”

Agency Notes

Swaps

THE and CETES

CPI Futures

Eurozone HICP

Currency Futures (except British
pound)

British Pound Futures

S&P 500 and E-mini S&P 500
S&P BARRA Growth

S&P BARRA Value

S&P Midcap 400 and E-mini S&P
Midcap 400

S&P Smallcap 600

S&P 500 Depositary Receipts
Russell 2000 and E-mini Russell
2000

iShares Russell 2000

E-mini Russell 1000

Nasdaq-100 and E-mini Nasdaq-100
E-mini Nasadaq Composite
E-mini Nasdaq Bio Tech
Nasdaq-100 Index Tracking Stock
Nikkei 225 ($ and ¥)

S&P 500 Technology SPCTR
S&P 500 Financial SPCTR.
TRAKRS Futures

Goldman Sachs Commodity Index
CME Weather

Lean Hogs

Live Cattle

Feeder Cattle

Pork Bellies

Butter (Cash Settled)

NYMEX Light Sweet Crude Oil e-
miNY
NYMEX Natural Gas e-miNY

Urea
DAP

No Bust Range

2.5 basis points or less
5 basis points or less
50 basis points or less
16 ticks or less

5 basis points or less
30 ticks or less

5 basis points or less
25 basis points or less
20 ticks or less

30 ticks or less

6.00 index points or less
4.00 index points or less
4.00 index points or less
4.00 index points or less

4.00 index points or less
-60 index points or less
4.00 index points or less

-30 index points or less
4.00 index points or less
12.00 index points or less
12.00 index points or less
12.00 index points or less
-30 index points or less
60.00 index points or less
3.00 index points or less
3.00 index points or less
10 cents or less

2.50 index points or less
25.00 index points or less
$0.0075 per pound or less
$0.0075 per pound or less
$0.0075 per pound or less
$0.0075 per pound or less
$0.0075 per pound or less

6 ticks or less
16 ticks or less

$3 per ton or less
$3 per ton or less


cmee@

Chicago Mercantile Exchange
20 South Wacker Drive 312/930.1000 tel
Chicago, IL 60606-7499 312/466.4410 fax

www.cmne.com

October 10, 2005

Ms. Jean A. Webb

Office of the Secretariat

Commodity Futures Trading Commission
Three Lafayette Centre

1155 21st Street, NW

Washington, DC 20581

RE: Section Sc(c)(1), Part 40.6 ~ Amendments to the Globex Trade
Cancellations policies. CME Submission# 05-101.

Dear Ms. Webb:

Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) hereby. notifies the Commission of
Amendments to the Globex Trade Cancellations policy. As approved by CME Staff through delegate
authority, the Exchange will amend the No Bust Range on various contracts.

The Exchange certifies that these amendments comply with the Act and rules thereunder.

Staff has determined that a more narrow no bust range in the interest rate options contracts will
provide greater certainty to individuals trading those contracts. In addition, a narrower range will
maintain similar parity with the underlying contracts’ no bust ranges. Staff has also determined that the
current no bust ranges for several equity index contracts are no longer relevant due to changes in various
markets’ volatilities. The amendments made to these no bust ranges are needed in order to reflect the
current market environment. These amendments are to become effective on October 16, 2005.

If you require any additional information regarding this action, please do not hesitate to contact
Ms. Ariel Hantin, Senior Research Analyst at 312-559-4951 or via e-mail at ahantin@cme.com. Please
reference our CME Submission #05-101 on all future correspondence regarding this notification.


Globex Trade Cancellation policy

October 10, 2005
Page 8 of 10

3.

a.

Non-implied combination Eurodollar and LIBOR trades, such as packs and bundles, which
are priced outside of the No Bust Range, may be busted. If the GCC determines that the trade
price is outside the No Bust Range, the GCC shall bust such combination trades. The GCC
will promptly issue an alert indicating that trades outside the No Bust Range have been
busted.

All Other Futures and Option Contracts

If the GCC determines that the trade price is outside the No Bust Range, the GCC shall bust
the trade. The GCC will promptly issue an alert indicating that trades outside the No Bust
Range have been busted.

Notwithstanding the above, trades consummated pursuant to Rule 585 that are determined by
the GCC to be outside the No Bust Range will stand, and a reciprocal trade negating the
original trade will be consummated by means of a “type 8 transfer.”

Liability for Losses Resulting from a Price Adjustment or Trade Bust

Eurodollar and LIBOR Futures Contracts — Adjusted Stop Orders.

A party responsible for an order(s) that results in a trade price adjustment shall be liable for
actual losses incurred by persons whose stop orders were elected as a result of the order(s).
The compensable loss on each futures contract executed as part of a stop order shall be the
difference between the adjusted price, as determined by the GCC, and the price in the market
at the time the person knew or should have known that his stop order was erroneously
elected.

Eurodollar and LIBOR Futures Contracts — Adjusted Spread Trades

A party responsible for an order that results in a trade price adjustment shall not be liable to
persons whose spread orders were executed and adjusted unless the adjusted execution price
of the spread is less favorable than the market equilibrium spread price for the relevant
spread. The liability of the party responsible for an order that results in a price adjustment
shall be limited to the difference between the adjusted price and the equilibrium market price,
but shall not exceed the relevant No Bust Range.

Eurodollar and LIBOR Futures Contracts — Other Transactions

A party responsible for entering an order that results in a trade price adjustment shall not be
liable for losses incurred by persons whose trade prices were adjusted, except as provided in
3.a. and 3.b. above.

All Other Futures and Options Contracts

A party responsible for an order that results in a trade bust may be liable for the reasonable
out-of-pocket losses incurred by persons whose trades were busted or persons whose stop
orders were elected and not busted. Issues of liability in such cases will be determined based
upon all relevant facts and circumstances, including the conduct of the respective parties. All
claims in connection with such losses must be pursued under the applicable rules of Chapter
6.

{No changes to sections 588.D.-588.J.}



Globex Trade Cancellation policy

October 10, 2005
Page 4 of 10

3.

If the GCC determines that the trade price is outside the No Bust Range, the GCC shall bust
the trade. The GCC will promptly issue an alert indicating that trades outside the No Bust
Range have been busted.

Notwithstanding the above, trades consummated pursuant to Rule 585 that are determined by
the GCC to be outside the No Bust Range will stand, and a reciprocal trade negating the
original trade will be consummated by means of a “type 8 transfer.”

Liability for Losses Resulting from a Price Adjustment or Trade Bust

a. Eurodollar and LIBOR Futures Contracts — Adjusted Stop Orders

A party responsible for an order(s) that results in a trade price adjustment shall be liable for
actual losses incurred by persons whose stop orders were elected as a result of the order(s).
The compensable loss on each futures contract executed as part of a stop order shall be the
difference between the adjusted price, as determined by the GCC, and the price in the market
at the time the person knew or should have known that his stop order was erroneously
elected.

b. Eurodollar and LIBOR Futures Contracts — Adjusted Spread Trades

A party responsible for an order that results in a trade price adjustment shall not be liable to
persons whose spread orders were executed and adjusted unless the adjusted execution price
of the spread is less favorable than the market equilibrium spread price for the relevant
spread. The liability of the party responsible for an order that results in a price adjustment
shall be limited to the difference between the adjusted price and the equilibrium market price,
but shall not exceed the relevant No Bust Range.

c. Eurodollar and LIBOR Futures Contracts - Other Transactions

A party responsible for entering an order that results in a trade price adjustment shall not be
liable for losses incurred by persons whose trade prices were adjusted, except as provided in
3.a. and 3.b. above.

d. All Other Futures and Options Contracts

A party responsible for an order that results in a trade bust may be liable for the reasonable
out-of-pocket losses incurred by persons whose trades were busted or persons whose stop
orders were elected and not busted. Issues of liability in such cases will be determined based
upon all relevant facts and circumstances, including the conduct of the respective parties. All
claims in connection with such losses must be pursued under the applicable rules of Chapter
6.

{No changes to sections 588.D.-588.J.]

588.K. GLOBEX No Bust Ranges

Futures |Contracts) No Bust Range
Eurodollar and LIBOR 2.5 basis points or less

[LIBOR] [S-basis-points-ortess]


Globex Trade Cancellation policy
October 10, 2005

Page 3 of 10
Text of Rule Amendments
(Additions are underlined, deletions are bracketed and overstruck.)
588. GLOBEX TRADE CANCELLATIONS
[No changes to sections 588.A.-588.B.]
588.C. Trade Price Adjustment and Cancellation Process

The GCC will first determine whether the trade price is within the No Bust Range for the contract
pursuant to Section K. During fast market conditions, upon the release of significant news events, or
in other circumstances in which the GCC determines it is appropriate, the GCC may temporarily
double the published No Bust Range without prior notice. In applying the No Bust Range, the GCC
shall determine the actual or implied market price for that contract immediately before the trade under
review. The GCC may consider any relevant information, including but not limited to the existing
market conditions, the volatility of the market, the prices of related instruments in other markets, the
last trade price on GLOBEX, a better bid or offer price, a more recent price in a different contract
month, the price of the same or related contract established in open outcry trading, theoretical value
of an option based on the current (most recent) implied volatility, “RFQs,” and any other factors that
the GCC deems relevant.

1. Trade Price Inside the No Bust Range

If the GCC determines that the price of the trade was inside the No Bust Range, the GCC will
promptly issue an alert indicating that the trade shall stand.

2. Trade Price Outside the No Bust Range
a. Eurodollar and LIBOR Futures Contracts

If the GCC determines that a trade price is outside the applicable No Bust Range, the trade
price shall be adjusted to a price that equals the actual or implicd market price for that
contract at the time of the questioned trade, plus or minus the standard or doubled No Bust
Range, as may be applicable. The GCC will promptly issue an alert indicating that the prices
of the trades outside the No Bust Range have been adjusted to the No Bust Range limit.

For example, if the standard No Bust Range for Eurodollars or LIBOR is 2.5 points above
and below the market price and the doubled No Bust Range was in effect at the time of the
transactions, all trade prices outside the doubled No Bust Range shall be adjusted to the
applicable No Bust Range limit, i.e., 5 points above or below the market price.

b. Eurodollar and LIBOR Futures Contracts — Non-Implied Combination Trades

Non-implied combination Eurodollar and LIBOR trades, such as packs and bundles, which
are priced outside of the No Bust Range, may be busted. If the GCC determines that the trade
price is outside the No Bust Range, the GCC shall bust such combination trades. The GCC
will promptly issue an alert indicating that trades outside the No Bust Range have been
busted.

c. All Other Futures and Option Contracts


Globex Trade Cancellation policy
October 10, 2005
Page 2 of 10

Sincerely,

John W. Labuszewski, Director
Research & Product Development

ce: Mr. Thomas M. Leahy and Mr. Steven B. Benton
CFTC Division of Market Oversight, Product Review & Analysis Section