Ms. Jean A. Webb
Amendments to Rule 588
November 28, 2005
Page 4

Intra-Commodity E-Livestock Futures Same _as the no bust range of the
Spreads (Lean Hogs, Live Cattle, individual legs

Feeder Cattle, Pork Bellies

Inter-Commodity (non-ED) Futures The wider of the no bust ranges of the
Spreads two individual legs

(Remainder of Rule 588.K. unchanged)

The Exchange certifies that this action complies with the Commodity Exchange Act and the
regulations thereunder.

If you have any questions regarding this submission, please contact Mr. Paul Peterson at (312)

930-4587 or via e-mail at ppeterso@cme.com. Please refer to CME Submission #05-127 in all
correspondence regarding this matter.

Sincerely,

John W. Labuszewski, Managing Director
Research & Product Development


cme¢é

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

www.cme.com

Office of the Secretariat

Commodity Futures Trading Commission
Three Lafayette Centre

1155 21" Street, NW

Washington DC 20581

November 28, 2005 2
2°
S

Ms. Jean A. Webb = ;
t i
Y

RE: — Section 5c(c)! and Regulation 40.6 Submission. Exchange Certification of Amendments
to CME Rule 588.C. and 588.K. CME Submission #05-127.

Dear Ms. Webb:

On November 23, 2005 Chicago Mercantile Exchange Inc. (“CME” or “Exchange”’) approved
the following amendments to CME Rule 588.

¢ Amendments to Rule 588.C. allow the trade price adjustment and cancellation procedures
used for Eurodollar and LIBOR futures to apply to other products including CME
agricultural futures traded electronically on the CME® Globex® trading platform,
commonly referred to as CME E-Livestock futures. Notice that these changes do not
apply to the pit-traded versions of these agricultural products.

« Amendments to Rule 588.K. reduce the no-bust ranges for outright positions in CME E-
Livestock futures, and set the no-bust ranges for intra-commodity spreads involving E-
Livestock futures equal to the no-bust range of the individual legs.

These amendments will become effective on Monday, December 5, 2005, following notification
of market participants.

The amendments to CME Rules 588.C. and 588.K. are presented below, with additions
underlined and deletions bracketed and overstruck.



588.C.

Ms, Jean A. Webb
Amendments to Rule 588
November 28, 2005
Page 2

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. [EvredollarandtBOR] Implied 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. [Evredotarand LIBOR Fut Gentracts— JNon-Implied Combination Trades
Non-implied combination [Evredettar-andtBOR] 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
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.”

(End of Rule 588.C.)


588.K.

GLOBEX No Bust Ranges

Futures

Eurodollar and LIBOR

T-Bills

Fed Fund “Turn”

Agency Notes

Swaps

THE and CETES

CPI Futures

EurozoneHICP Futures

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 Smalicap 600

E-Mini S&P Asia 50

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

E-mini Russell 1000
iSharesRussell 2000

Nasdaq-100 and E-mini Nasdaq-100
E-mini Nasdaq Composite

E-mini Nasdaq Biotechnology
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
UAN
Ethanol

Futures Combinations

All Eurodollar Combinations.
Intra-Commodity (non-ED_and non-

E-Livestock) Futures Spreads

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
12.00 index points or less
0.60 index points or less
4.00 index points or less

4.00 index points or less

0.40 index points or less

12.00 index points or less

12.00 index points or less

12.00 index points or less

0.30 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 0.0050 per pound or less
$0-0075 0.0050 per pound or less
$0-0075 0.0050 per pound or less
$0.0076 0.0050 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

2.5 basis points or less
5 ticks or less

Ms. Jean A. Webb
Amendments to Rule 588
November 28, 2005
Page 3