Ms. Eileen Donovan
September 20, 2006
Page 20 of 42

If, on any day, the Federal Funds Effective Rate is less than the sum of the TRAKRS Platform Fees and
the Spread, then each clearing FCM that maintains short PIMCO CRR TRAKRS positions will be
required to pay to the CME Clearing House (based on the amount of short PIMCO CRR TRAKRS the
clearing FCM maintains multiplied by the PIMCO CRR TRAKRS Settlement Price) a daily market rate
of interest equal to the sum of the TRAKRS Platform Fees and the Spread less the Federal Funds
Effective Rate. If the Federal Funds Effective Rate is less than the Spread, the CME Clearing House in
turn will pay each clearing FCM that maintains long PIMCO CRR TRAKRS positions (based on the
amount of long PIMCO CRR TRAKRS the clearing FCM maintains multiplied by the PIMCO CRR
TRAKRS Settlement Price) a daily market rate of interest equal to the Spread less the Federal Funds
Effective Rate.

Each trading day after the determination of the daily Settlement Price, each institutional customer holding
long PIMCO CRR TRAKRS positions, maintained in a futures account, will be required to pay its FCM,
based on the amount of long PIMCO CRR TRAKRS held by the institutional customer multiplied by the
PIMCO CRR TRAKRS Settlement Price, a daily market rate of interest equal to the Federal Funds
Effective Rate less the Spread, which the clearing FCM will pass on to the CME Clearing House. If the
Federal Funds Effective Rate is less than the Spread, the CME Clearing House in turn will pay to each
short clearing FCM for institutional customers a daily market rate of interest equal to the Federal Funds
Effective Rate less the sum of the Spread and the TRAKRS Platform Fees and each institutional customer
holding short PIMCO CRR TRAKRS positions, maintained in a futures account, will be entitled to
receive this amount from its FCM, based on the amount of short PIMCO CRR TRAKRS held by the
institutional customer multiplied by the PIMCO CRR TRAKRS Settlement Price.

If, on any day, the Federal Funds Effective Rate is less than the sum of the TRAKRS Platform Fees and
the Spread then each institutional customer holding short PIMCO CRR TRAKRS positions, maintained in
a futures account, will be required to pay its FCM (based on the amount of short PIMCO CRR TRAKRS
held by the institutional customer multiplied by the PIMCO CRR TRAKRS Settlement Price) a daily
market rate of interest equal to the sum of the TRAKRS Platform Fees and the Spread less the Federal
Funds Effective Rate, which the clearing FCM will pass on to the CME Clearing House. The CME
Clearing House in turn will pay to each long clearing FCM for institutional customers a daily market rate
of interest equal to the Spread less the Federal Funds Effective Rate, and each institutional customer
holding long PIMCO CRR TRAKRS positions, maintained in a futures account, will be entitled to receive
this amount from its FCM, based on the amount of long PIMCO CRR TRAKRS held by the institutional
customer multiplied by the PIMCO CRR TRAKRS Settlement Price.

Non-institutional [Jeng] customers holding long PIMCO CRR_TRAKRS positions, maintained in a
futures account, are not responsible for paying, and non-institutional [shert] customers holding short
PIMCO CRR TRAKRS positions, maintained in a futures account, are not entitled to receive, this interest
rate pass-through; although the long clearing FCM (or, if the Federal Funds Effective Rate is less than the
Spread, the short clearing FCM) is still responsible for paying the interest payment, which is passed-
through by the CME Clearing House to the short clearing FCM (or, if applicable, the long clearing FCM).

The CME Clearing House will determine all such interest rate pass-through amounts.
37404.D. Federal Funds Effective Rate

[No Changes]


Ms. Eileen Donovan
September 20, 2006
Page 41 of 42

CHAPTER 376: Gold TRAKRSTM Futures
37604. FLOW OF FUNDS
37604.A. Customers
[No Changes]
37604.B. Qualified Intermediaries

Institutional and Non-Institutional Customers may place Long-Short Technology TRAKRS Index futures
orders with (1) an Associated Person (“AP”) of a registered Introducing Broker (“IB”) or Futures
Commission Merchant (“FCM”), such resulting positions to be maintained in a futures account; or (2) a
Registered Representative (“RR”) of a securities Broker-Dealer (“BD”) that is notice registered with the
National Futures Association (“NFA”) as a limited-purpose FCM (“LP/FCM”) or an entity that is dually
registered as a BD and FCM (“BD/FCM”), such resulting positions to be maintained in a securities
account.

37604.C. Interest Rate Pass-Through

Clearing members holding open long positions in a Gold TRAKRS futures contract shall make payment
to the Clearing House on a daily basis equal to the most recently available closing daily overnight Fed
Funds Effective Rate, as determined by the Federal Reserve, less the Spread as described below, divided
by 360, applied to the current contract value based on the settlement price. Said payment divided by 360
applied to the current contract value based on the settlement price, shall be passed through the Clearing
House to clearing members holding short positions in a Gold TRAKRS futures contract.

Institutional Customers holding long Gold TRAKRS futures positions, maintained in a futures account,
must make such payments to their clearing member and Institutional Customers holding short Gold
TRAKRS futures positions, maintained in a futures account, will receive such payments from their
clearing member. It is the responsibility of the clearing member to administer such payments.

If the Fed Funds Effective Rate is less than the Spread as described below, then a daily payment in an
amount equal to the Spread as described below, less the Fed Funds Effective Rate, divided by 360,
applied to the current contract value based on the settlement price, shall be passed through the Clearing
House from clearing members holding open short positions to clearing members holding long positions in
a Gold TRAKRS futures contract. Institutional Customers holding short Gold TRAKRS futures
positions, maintained in a futures account, must make such payments to their clearing member and
Institutional Customers holding long Gold TRAKRS futures payments, maintained in a futures account,
will receive such payments from their clearing member. It is the responsibility of the clearing member to
administer such payments.

The Spread shall equal 0.80% or 80 basis points per annum.
In addition, an Amortizing Spread of 3.0% shall be applied during the 30-day period beginning on

December 3, 2003. The Amortizing Spread on a daily basis shall be calculated as 3.0%, divided by 30,
applied to a value of $25.


Ms. Eileen Donovan
September 20, 2006
Page 37 of 42

37402.K. Special Opening Procedures

Special Opening Procedures shall be employed to facilitate an orderly market in PIMCO CRR TRAKRS
futures. These Special Opening Procedures shall be conducted during a Special Marketing Period. This
Special Marketing Period shall commence on the Commencement Date of May 26, 2006; and, shall
culminate in a Special Opening at 10:00 a.m. (Chicago time) on the Initial Open Date of June 28, 2006.

During the Special Marketing Period, FCMs and notice-registered BDs per Rule 37404.B. may solicit
customer orders to buy or sell PIMCO CRR TRAKRS futures at a specified limit bid price or limit offer
price, respectively. The Special Marketing Period shall conclude at 10:00 a.m. (Chicago time) on the
Initial Open Date. Clearing Members shall report their limit buy and limit sell orders to the Exchange in a
manner and format specified by the Exchange by 10:00 a.m. (Chicago time) on the Initial Open Date.

The Exchange shall thereupon match purchase and sale orders based upon an Allocation Algorithm and
report such matches to Clearing Members. The Exchange shall match buy orders to sell orders prioritized
by sell price. At each sell price at which buy orders will be matched, buy orders with limit prices equal to
or greater than the sell price shall be allocated on a pro rata basis. If multiple sell orders are received at
the same limit price, and the total sell order quantity exceeds the total buy order quantity that may be
matched at that price, the allocation of orders shall be made on a pro rata basis by reference to the
quantities associated with such orders, subject to the restriction that all sell orders at that price are filled
before a proprietary sell order of Merrill Lynch, if any.

The Exchange reserves the authority to limit the size of the open interest created as a result of these
Special Opening Procedures. The Exchange further reserves the authority to delay the Initial Open Date
if it determines in its discretion that market conditions are not conducive to an orderly opening.

The Initial Index Value shall be established at 25.00 Index Points on June 28, 2006.

Subsequent to the conclusion of these Special Opening Procedures, trading shall be conducted on the
CME® Globex® electronic trading platform per the Rules of the Exchange, commencing June 29, 2006.

37403. DELIVERY

Delivery of PIMCO CRR TRAKRS futures shall be by cash settlement.

37403.A. Final Settlement Price
{No Changes]
37403.B. Delivery

Clearing members holding open positions in PIMCO CRR TRAKRS futures at the time of termination of
trading in that contract shall make payment to or receive payment from the Clearing House in accordance
with normal variation margin procedures based on a settlement price equal to the final settlement price.

37403.C. [Reserved]



Ms. Eileen Donovan
September 20, 2006
Page 14 of 42

Each trading day after the determination of the daily Settlement Price, each institutional customer holding
long BXY TRAKRS positions, maintained in a futures account, will be required to pay its FCM, based on
the amount of long BXY TRAKRS held by the institutional customer multiplied by the BXY TRAKRS
Settlement Price, a daily pro rata market rate of interest equal to the Federal Funds Effective Rate less the
Spread, which the clearing member will pass on to the CME Clearing House. The CME Clearing House
in turn will pay to each short clearing member for institutional customers a daily pro rata market rate of
interest equal to the Federal Funds Effective Rate less the sum of the Spread and the TRAKRS Platform
Fees and each institutional customer holding short BXY TRAKRS positions, maintained _in_a futures
account, will be entitled to receive this amount from its FCM, based on the amount of short BXY
TRAKRS held by the institutional customer multiplied by the BXY TRAKRS Settlement Price.

If, on any day, the Federal Funds Effective Rate is less than the Spread then each institutional customer
holding short BXY TRAKRS positions, maintained in a futures account, will be required to pay its FCM
(based on the amount of short BXY TRAKRS held by the institutional customer multiplied by the BXY
TRAKRS Settlement Price) a daily pro rata market rate of interest equal to the Spread less the Federal
Funds Effective Rate, which the clearing member will pass on to the CME Clearing House. The CME
Clearing House in turn will pay to each long clearing member for institutional customers a daily pro rata
market rate of interest equal to the Spread less the sum of the Federal Funds Effective Rate and the
TRAKRS Platform Fees, and each institutional customer holding long BXY TRAKRS positions,
maintained in a futures account, will be entitled to receive this amount from its FCM, based on the
amount of long BXY TRAKRS held by the institutional customer multiplied by the BXY TRAKRS
Settlement Price.

Non-institutional [feng] customers holding long BXY_TRAKRS positions, maintained _in_a futures
account or a securities account, are not responsible for paying, and non-institutional [shert] customers
holding short BXY TRAKRS positions, maintained in a futures account or a securities account, are not
entitled to receive, this interest rate pass-through; although the long clearing member (or, if the Federal
Funds Effective Rate is less than the Spread, the short clearing member) is still responsible for paying the
interest payment, which is passed-through by the CME Clearing House to the short clearing member (or,
if applicable, the long clearing member).

For purposes of this Rule, the Spread shall equal 0.10% per annum and TRAKRS Platform Fees shall
equal 0.25% per annum. The daily pro ratas shall be calculated based upon a 360-day count.

37004.D. Amortizing Spread

[No Changes}

37004.E. Performance Bond

Non-Institutional Customers purchasing BXY TRAKRS futures, maintained in a futures account or a
securities account, shall deposit 100% of the purchase price with their long clearing member. Non-

Institutional Customers selling BXY TRAKRS futures, maintained in a futures account or a securities
account, shall deposit 50% of the sale price with their short clearing member.

Institutional Customers purchasing BXY TRAKRS futures, maintained in_a securities account, shall
deposit 100% of the purchase price with their long clearing member. Institutional Customers selling
LMC I] TRAKRS futures, maintained in a securities account, shall deposit 50% of the sale price with
their short clearing member.



Ms. Eileen Donovan
September 20, 2006
Page 24 of 42

Institutional Customers that purchase Gold TRAKRS futures, maintained in a securities account, shall not
be subject to variation margin procedures nor shall they pay or collect settlement variations with respect
to their Gold TRAKRS futures positions.

Institutional Customers that_sell Gold TRAKRS futures, maintained in a securities account, shall be
subject to variation margin pay and collect requirements per the following conditions. If the settlement
price advances such that_an Institutional Customer’s performance bond is less than 30% of the current
Gold TRAKRS futures contract value, the Institutional Customer shall be required to make a variation
margin payment to restore the performance bond to 50% of the current Gold TRAKRS futures contract
value._If the settlement price declines such that a Institutional Customer’s performance bond is greater
than 70% of the current Gold TRAKRS futures contract value, the Institutional Customer shall be entitled
to_collect_a variation margin payment to restore the performance bond to 50% of the current Gold
TRAKRS futures contract value.

Institutional Customers that purchase or sell Gold TRAKRS futures, maintained in a futures account.
shall be subject to normal variation margin procedures.



Ms. Eileen Donovan
September 20, 2006
Page 42 of 42

37604.D. Performance Bond

Non-Institutional Customers purchasing Gold TRAKRS futures contracts, maintained in a futures account
or a Securities account, shall deposit 100% of the purchase price with their long clearing member. Non-
Institutional Customers selling Gold TRAKRS futures contracts, maintained in a futures account or a
securities account, shall deposit 50% of the sale price with their short clearing member.

Institutional Customers purchasing Gold TRAKRS futures contracts, maintained in a securities account,
shall deposit 100% of the purchase price with their long clearing member. Institutional Customers selling
PIMCO CRR TRAKRS futures contracts, maintained in a securities account, shall deposit 50% of the sale
price with their short clearing member.

Institutional Customers purchasing or selling Gold TRAKRS futures contracts, maintained in a futures
account, shall be subject to the performance bond requirements established by the Exchange and their
FCMs.

37604.E. Settlement Variation

Non-Institutional Customers that purchase Gold TRAKRS futures, maintained in a futures account or a
securities account, shall not be subject to variation margin procedures nor shall they pay or collect
settlement variations with respect to their Gold TRAKRS futures positions.

Non-Institutional Customers that sell Gold TRAKRS futures, maintained in a futures account or a
securities account, shall be subject to variation margin pay and collect requirements per the following
conditions. If the settlement price advances such that a Non-Institutional Customer’s performance bond
is less than 30% of the current Gold TRAKRS futures contract value, the Non-Institutional Customer
shall be required to make a variation margin payment to restore the performance bond to 50% of the
current Gold TRAKRS futures contract value. If the settlement price declines such that a Non-
Institutional Customer’s performance bond is greater than 70% of the current Gold TRAKRS futures
contract value, the Non-Institutional Customer shall be entitled to collect a variation margin payment to
restore the performance bond to 50% of the current Gold TRAKRS futures contract value.

Institutional Customers that purchase Gold TRAKRS futures, maintained in a securities account, shall not
be subject to variation margin procedures nor shall they pay or collect settlement variations with respect
to their Gold TRAKRS futures positions.

Institutional Customers that sell Gold TRAKRS futures, maintained in a securities account, shall be
subject to variation margin pay and collect requirements per the following conditions. If the settlement
price advances such that an Institutional Customer’s performance bond is less than 30% of the current
Gold TRAKRS futures contract value, the Institutional Customer shall be required to make a variation
margin payment to restore the performance bond to 50% of the current Gold TRAKRS futures contract
value. If the settlement price declines such that a Institutional Customer’s performance bond is greater
than 70% of the current Gold TRAKRS futures contract value, the Institutional Customer shall be entitled
to collect a variation margin payment to restore the performance bond to 50% of the current Gold
TRAKRS futures contract value.

Institutional Customers that purchase or sell Gold TRAKRS futures, maintained in a futures account,
shall be subject to normal variation margin procedures.


Ms. Eileen Donovan
September 20, 2006
Page 5 of 42

If the Fed Funds Effective Rate is less than the Spread of for such contract month or tranche as shown in
the table below, then said a daily payment in an amount equal to Spread for such contract month or
tranche as shown in the table below less the Fed Funds Effective Rate, divided by 360, applied to the
current contract value based on the settlement price, shall be passed through the Clearing House from
clearing members holding open short positions to clearing members holding long positions in a Long-
Short Technology TRAKRS Index futures contract. Institutional Customers holding short Long-Short
Technology TRAKRS Index futures positions, maintained in a futures account, must make such payments
to their clearing member and Institutional Customers holding long Long-Short Technology TRAKRS
Index futures positions, maintained in a futures account, will receive such payments from their clearing
member. It is the responsibility of the clearing member to administer such payments.

In addition, an Amortizing Spread may be applied during the 30-day period beginning on the Initial
Opening Date of a contract month or tranche. The Amortizing Spread on a daily basis shall be calculated
as the Amortizing Spread Rate for such contract month or tranche as shown in the table below, divided by
30, applied to a value of $25.

Amortizing
Contract Month or Tranche Spread Spread Rate
1° Tranche 1.50% 0%
2" Tranche (“Long-Short Technology TRAKRS II”) 1.10% 3.00%

36404.D. Performance Bond

Non-Institutional Customers purchasing Long-Short Technology TRAKRS Index futures contracts,
maintained in a futures account or a securities account, shall deposit 100% of the purchase price with their
long clearing member. Non-Institutional Customers selling Long-Short Technology TRAKRS Index
futures contracts, maintained in a futures account or a securities account, shall deposit 50% of the sale
price with their short clearing member.

Institutional Customers purchasing Long-Short Technology TRAKRS Index futures contracts, maintained
in_a_ securities account, shall deposit 100% of the purchase price with their long clearing member.
Institutional Customers selling Long-Short Technology TRAKRS Index futures contracts, maintained in a
securities account, shall deposit 50% of the sale price with their short clearing member.

Institutional Customers purchasing or selling Long-Short Technology TRAKRS Index futures contracts.
maintained in a futures account, shall be subject to the performance bond requirements established by the
Exchange and their FCMs.

36404.E. Settlement Variation

Non-Institutional Customers that purchase Long-Short Technology TRAKRS Index futures, maintained
in a futures account or a securities account, shall not be subject to variation margin procedures nor shall
they pay or collect settlement variations with respect to their Long-Short Technology TRAKRS Index
futures positions.



Ms. Eileen Donovan
September 20, 2006
Page 35 of 42

CHAPTER 374: PIMCO®CommodityRealReturnTM DJ-AIGCITM TRAKRSTM
37400. SCOPE OF CHAPTER

This chapter is limited in application to trading in PIMCO*CommodityRealReturnTM” DJ-AIGCITM
TRAKRSTM (“PIMCO CRR TRAKRS”). The procedures for trading, clearing, settlement, and any other
matters not specifically covered herein shall be governed by the rules of the Exchange.

37401. COMMODITY SPECIFICATIONS
37401.A. Contract Value

PIMCO CRR TRAKRS futures shall be based upon the value of $1 times the PIMCO
CommodityRealReturn DJ-AIGCI TRAKRS Index (“the Index”). The Index, at any given time other
than during the Initial Multiplier Determination Period, will equal the product of the value of the PIMCO
CommodityRealReturn DJ-AIGCI Master Index (the “PIMCO Master Index”) and the Multiplier, plus the
Amortizing Expense Factor.

The PIMCO Master Index is a total return index that represents the performance of a portfolio with a
target allocation of 100% notional exposure to the Dow Jones-AIG Commodity Index” (the “DJ-AIGCI”)
and an equivalent target allocation to a hypothetical investment in the PIMCO Real Return Collateral
IndexTM. The PIMCO Real Return Collateral Index is an index that represents the performance of one or
more qualified separate accounts actively managed by PIMCO (the “PIMCO Separately Managed
Accounts” or “Accounts”). The PIMCO Separately Managed Accounts will consist primarily of
inflation-indexed Exempt Securities and certain other financial instruments and will be subject to certain
fees and expenses.

37401.B. Initial Index Value

On the Business Day prior to the first full day of trading of PIMCO CRR TRAKRS, the value of the
Index shall be set at 25.00.

37401.C. Calculation of the Index Value
[No Changes]

37401.D. Multiplier

[No Changes]

37401.E. Index Expense Factor

[No Changes]

37401.F. Collateral Index Fee

[No Changes]


Ms. Eileen Donovan
September 20, 2006
Page 21 of 42

37404.E. Performance Bond

Non-Institutional Customers purchasing PIMCO [CGR] CRR TRAKRS futures, maintained in a futures
account or a securities account, shall deposit 100% of the purchase price with their long clearing member.
Non-Institutional Customers selling PIMCO [CGR] CRR TRAKRS futures, maintained in_a_ futures
account or a securities account, shall deposit 50% of the sale price with their short clearing member.

Institutional Customers purchasing PIMCO CRR_TRAKRS futures, maintained in a securities account,
shall deposit 100% of the purchase price with their long clearing member. Institutional Customers selling
PIMCO CRR TRAKRS futures, maintained in a securities account, shall deposit 50% of the sale price

with their short clearing member.

Institutional Customers purchasing or selling PIMCO CRR TRAKRS, maintained in a futures account,
shall be subject to the performance bond requirements established by the Exchange and their FCMs.

37404.F. Settlement Variation

Non-Institutional Customers that purchase PIMCO [CGR] CRR TRAKRS futures, maintained in a futures
account or a securities account, shall not be subject to variation margin procedures nor shall they pay or
collect settlement variations with respect to their PIMCO [EGR] CRR TRAKRS futures positions.

Non-Institutional Customers that sell PIMCO [6¢R] CRR TRAKRS futures, maintained in a futures
account or a securities account, shall be subject to variation margin pay and collect requirements per the
following conditions. If the settlement price advances such that a Non-Institutional Customer’s
performance bond is less than 30% of the current PIMCO [EGR] CRR TRAKRS futures contract value,
the Non-Institutional Customer shall be required to make a variation margin payment to restore the
performance bond to 50% of the current PIMCO [EGR] CRR TRAKRS futures contract value. If the
settlement price declines such that a Non-Institutional Customer’s performance bond is greater than 70%
of the current PIMCO [EER] CRR TRAKRS futures contract value, the Non-Institutional Customer shall
be entitled to collect a variation margin payment to restore the performance bond to 50% of the current
PIMCO [EER] CRR TRAKRS futures contract value.

Institutional Customers that purchase PIMCO CRR TRAKRS futures, maintained in a securities account.
shall not be subject to variation margin procedures nor shall they pay or collect settlement variations with
respect to their PIMCO CRR TRAKRS futures positions.

Institutional Customers that sell PIMCO CRR TRAKRS futures, maintained in a securities account, shall
be subject to variation margin pay and collect requirements per the following conditions. If the settlement
price advances such that an Institutional Customer’s performance bond is less than 30% of the current
PIMCO CRR_ TRAKRS futures contract value, the Institutional Customer shall be required to make a
variation margin payment to restore the performance bond to 50% of the current PIMCO CRR TRAKRS
futures contract value. If the settlement price declines such that a Institutional Customer’s performance
bond is greater than 70% of the current PIMCO CRR TRAKRS futures contract value, the Institutional
Customer shall be entitled to collect a variation margin payment to restore the performance bond to 50%
of the current PIMCO CRR TRAKRS futures contract value.

Institutional Customers that_purchase or sell PIMCO CRR_TRAKRS futures, maintained in_a futures
account, shall be subject to normal variation margin procedures.

[No Changes for Balance of Chapter 374]


Ms. Eileen Donovan
September 20, 2006
Page 27 of 42

Institutional Customers that purchase Long-Short Technology TRAKRS Index futures, maintained in a
securities account, shall not be subject to variation margin procedures nor shall they pay or collect
settlement variations with respect to their Long-Short Technology TRAKRS Index futures positions.

Institutional Customers that sell Long-Short Technology TRAKRS Index futures, maintained in a
securities account, shall be subject to variation margin pay and collect requirements per the following
conditions. If the settlement price advances such that an Institutional Customer’s performance bond is
less than 30% of the current Long-Short Technology TRAKRS Index futures contract value, the
Institutional Customer shall be required to make a variation margin payment to restore the performance
bond to 50% of the current Long-Short Technology TRAKRS Index futures contract value. If the
settlement price declines such that a Institutional Customer’s performance bond is greater than 70% of the
current Long-Short Technology TRAKRS Index futures contract value, the Institutional Customer shall
be entitled to collect a variation margin payment to restore the performance bond to 50% of the current
Long-Short Technology TRAKRS Index futures contract value.

Institutional Customers that purchase or sell Long-Short Technology TRAKRS Index futures, maintained
in a futures account, shall be subject to normal variation margin procedures.


Ms. Eileen Donovan
September 20, 2006
Page 23 of 42

If the Fed Funds Effective Rate is less than the Spread as described below, then a daily payment in an
amount equal to the Spread as described below, less the Fed Funds Effective Rate, divided by 360,
applied to the current contract value based on the settlement price, shall be passed through the Clearing
House from clearing members holding open short positions to clearing members holding long positions in
a Gold TRAKRS futures contract. Institutional Customers holding short Gold TRAKRS futures
positions, maintained in a futures account, must make such payments to their clearing member and
Institutional Customers holding long Gold TRAKRS futures payments, maintained in a futures account.
will receive such payments from their clearing member. It is the responsibility of the clearing member to
administer such payments.

The Spread shall equal 0.80% or 80 basis points per annum.

In addition, an Amortizing Spread of 3.0% shall be applied during the 30-day period beginning on
December 3, 2003. The Amortizing Spread on a daily basis shall be calculated as 3.0%, divided by 30,
applied to a value of $25.

37604.D. Performance Bond

Non-Institutional Customers purchasing Gold TRAKRS futures contracts, maintained in a futures account
or _a securities account, shall deposit 100% of the purchase price with their long clearing member. Non-
Institutional Customers selling Gold TRAKRS futures contracts, maintained in a futures account or a
securities account, shall deposit 50% of the sale price with their short clearing member.

Institutional Customers purchasing Gold TRAKRS futures contracts, maintained in a securities account
shall deposit 100% of the purchase price with their long clearing member. Institutional Customers selling
PIMCO CRR TRAKRS futures contracts, maintained in a securities account, shall deposit 50% of the sale
price with their short clearing member.

Institutional Customers purchasing or selling Gold TRAKRS futures contracts, maintained in a futures
account, shall be subject to the performance bond requirements established by the Exchange and their
FCMs.

37604.E. Settlement Variation

Non-Institutional Customers that purchase Gold TRAKRS futures, maintained in a futures account or a
securities account, shall not be subject to variation margin procedures nor shall they pay or collect
settlement variations with respect to their Gold TRAKRS futures positions.

Non-Institutional Customers that sell Gold TRAKRS futures, maintained _in_a futures account_or_a
securities account, shall be subject to variation margin pay and collect requirements per the following
conditions. If the settlement price advances such that a Non-Institutional Customer’s performance bond
is less than 30% of the current Gold TRAKRS futures contract value, the Non-Institutional Customer
shall be required to make a variation margin payment to restore the performance bond to 50% of the
current Gold TRAKRS futures contract value. If the settlement price declines such that a Non-
Institutional Customer’s performance bond is greater than 70% of the current Gold TRAKRS futures
contract value, the Non-Institutional Customer shal! be entitled to collect a variation margin payment to
restore the performance bond to 50% of the current Gold TRAKRS futures contract value.



Ms. Eileen Donovan

September 20, 2006

Page 36 of 42

37401.G. Amortizing Expense Factor

{No Changes]

37401.H. Daily Amortizing Expense Factor Payment
[No Changes]

37402. FUTURES CALL

37402.A. Schedule

The Exchange shall list a single contract month in PIMCO CRR TRAKRS futures. The final settlement
date shall be June 29, 2011. Futures contracts shall be scheduled for trading during such hours as may be
determined by the Board of Directors.

37402.B. Trading Unit

PIMCO CRR TRAKRS futures shall be based upon the value of $1 times the PIMCO
CommodityRealReturn TRAKRS Index (“the Index”).

37402.C. Minimum Increments

Bids and offers shall be quoted in terms of the PIMCO CRR TRAKRS Index. The minimum fluctuation
of the futures contract shall be 0.01 index point, equivalent to $0.01 per TRAKRS futures contract.

37402.D. Position Limits

[No Changes]

37402.E. Accumulation of Positions
{No Changes}

37402.F. Exemptions

[No Changes]

37402.G. Termination of Trading
[No Changes]

37402.H. Contract Modifications

[No Changes]

37402.1.-J. [Reserved]


Ms. Eileen Donovan
September 20, 2006
Page 18 of 42

37402.K. Special Opening Procedures

Special Opening Procedures shall be employed to facilitate an orderly market in PIMCO [CGR] CRR
TRAKRS futures. These Special Opening Procedures shall be conducted during a Special Marketing
Period. This Special Marketing Period shall commence on the Commencement Date of May 26, 2006;
and, shall culminate in a Special Opening at 10:00 a.m. (Chicago time) on the Initial Open Date of June
28, 2006.

During the Special Marketing Period, FCMs and notice-registered BDs per Rule 37404.B. may solicit
customer orders to buy or sell PIMCO [EGR] CRR TRAKRS futures at a specified limit bid price or limit
offer price, respectively. The Special Marketing Period shall conclude at 10:00 a.m. (Chicago time) on
the Initial Open Date. Clearing Members shall report their limit buy and limit sell orders to the Exchange
in a manner and format specified by the Exchange by 10:00 a.m. (Chicago time) on the Initial Open Date.

The Exchange shall thereupon match purchase and sale orders based upon an Allocation Algorithm and
report such matches to Clearing Members. The Exchange shall match buy orders to sell orders prioritized
by sell price. At each sell price at which buy orders will be matched, buy orders with limit prices equal to
or greater than the sell price shall be allocated on a pro rata basis. If multiple sell orders are received at
the same limit price, and the total sell order quantity exceeds the total buy order quantity that may be
matched at that price, the allocation of orders shall be made on a pro rata basis by reference to the
quantities associated with such orders, subject to the restriction that all sell orders at that price are filled
before a proprietary sell order of Merrill Lynch, if any.

The Exchange reserves the authority to limit the size of the open interest created as a result of these
Special Opening Procedures. The Exchange further reserves the authority to delay the Initial Open Date
if it determines in its discretion that market conditions are not conducive to an orderly opening.

The Initial Index Value shall be established at 25.00 Index Points on June 28, 2006.

Subsequent to the conclusion of these Special Opening Procedures, trading shall be conducted on the
CME® Globex® electronic trading platform per the Rules of the Exchange, commencing June 29, 2006.

37403. DELIVERY

Delivery of PIMCO [EGR] CRR TRAKRS futures shall be by cash settlement.

37403.A. Final Settlement Price
[No Changes]
37403.B. Delivery

Clearing members holding open positions in PIMCO [EGR] CRR TRAKRS futures at the time of
termination of trading in that contract shall make payment to or receive payment from the Clearing House
in accordance with normal variation margin procedures based on a settlement price equal to the final
settlement price.


Ms. Eileen Donovan
September 20, 2006
Page 10 of 42

CHAPTER 369: LMC II TRAKRSTM FUTURES
36904. FLOW OF FUNDS
36904.A. Customers
[No Changes]

36904.B. Qualified Intermediaries

[Nonastitutional Cust te -dersfor-LMC_H-FRAKRS-fut }y-th h istered
YP y 8 8

Jntreducine Broker (IB)—a Fut fa) ission Merchant (“FCM”): ities-BrokerDealer BD)

£3 Bh € as ?

thatis—noti d—with-the-Natienal _ Fut A jation-NFA”) limited EOM

LP/ECM.“BD/ECM”}. Harhy, institutional-_eust ¥y ph Jers—for-LMC-H-TRAKRS

fatares_-with_an_A ated -P {AP”)-of an tB-or FEM, stered tative RRO of

BD/ECM whe is notice reaistered with the NEA we a limited purpose AP-RR/AP),

Institutional-Customers-may-pha :

LP/ECMs-and RR/AP. Hicit: +-LMC-H-FRAKRS fat ders—fs Jnstitutienal
a P

Customers:]

Institutional and Non-Institutional Customers may place Long-Short Technology TRAKRS Index futures
orders with (1) an Associated Person (“AP”) of a registered Introducing Broker (“IB”) or Futures
Commission Merchant (“FCM”), such resulting positions to be maintained in a futures account; or (2) a
Registered Representative (“RR”) of a securities Broker-Dealer (“BD”) that is notice registered with the
National Futures Association (“NFA”) as a limited-purpose FCM (“LP/FCM”) or an entity that is dually
registered as a BD and FCM (“BD/FCM”), such resulting positions to_be maintained in a securities
account.

36904.C. Interest Rate Pass-Through

Clearing members holding open long positions in LMC I] TRAKRS futures shall make payment to the
Clearing House on a daily basis equal to the most recently available closing daily overnight Fed Funds
Effective Rate, as determined by the Federal Reserve, less a Spread of 0.85%, applied to the current
contract value based on the settlement price. Said payment shall be passed through the Clearing House to
clearing members holding short positions in LMC I] TRAKRS futures.

Institutional Customers holding long LMC I] TRAKRS futures positions, maintained in a futures account
must make such payments to their clearing member and Institutional Customers holding short LMC I]
TRAKRS futures positions, maintained in a futures account, will receive such payments from their
clearing member. It is the responsibility of the clearing member to administer such payments.



Ms. Eileen Donovan
September 20, 2006
Page 33 of 42

If, on any day, the Federal Funds Effective Rate is less than the Spread then each institutional customer
holding short BXY TRAKRS positions, maintained in a futures account, will be required to pay its FCM
(based on the amount of short BXY TRAKRS held by the institutional customer multiplied by the BXY
TRAKRS Settlement Price) a daily pro rata market rate of interest equal to the Spread less the Federal
Funds Effective Rate, which the clearing member will pass on to the CME Clearing House. The CME
Clearing House in turn will pay to each long clearing member for institutional customers a daily pro rata
market rate of interest equal to the Spread less the sum of the Federal Funds Effective Rate and the
TRAKRS Platform Fees, and each institutional customer holding long BXY TRAKRS positions,
maintained in a futures account, will be entitled to receive this amount from its FCM, based on the
amount of long BXY TRAKRS held by the institutional customer multiplied by the BXY TRAKRS
Settlement Price.

Non-institutional customers holding long BXY TRAKRS positions, maintained in a futures account or a
securities account, are not responsible for paying, and non-institutional customers holding short BXY
TRAKRS positions, maintained in a futures account or a securities account, are not entitled to receive,
this interest rate pass-through; although the long clearing member (or, if the Federal Funds Effective Rate
is less than the Spread, the short clearing member) is still responsible for paying the interest payment,
which is passed-through by the CME Clearing House to the short clearing member (or, if applicable, the
long clearing member).

For purposes of this Rule, the Spread shall equal 0.10% per annum and TRAKRS Platform Fees shall
equal 0.25% per annum. The daily pro ratas shall be calculated based upon a 360-day count.

37004.D. Amortizing Spread
[No Changes]
37004.E. Performance Bond

Non-Institutional Customers purchasing BXY TRAKRS futures, maintained in a futures account or a
securities account, shall deposit 100% of the purchase price with their long clearing member. Non-
Institutional Customers selling BXY TRAKRS futures, maintained in a futures account or a securities
account, shall deposit 50% of the sale price with their short clearing member.

Institutional Customers purchasing BXY TRAKRS futures, maintained in a securities account, shall
deposit 100% of the purchase price with their long clearing member. Institutional Customers selling
LMC II TRAKRS futures, maintained in a securities account, shall deposit 50% of the sale price with
their short clearing member.

Institutional Customers purchasing or selling BXY TRAKRS futures, maintained in a futures account,
shall be subject to the performance bond requirements established by the Exchange and their FCMs.

37004.F. Settlement Variation
Non-Institutional Customers that purchase BXY TRAKRS futures, maintained in a futures account or a

securities account, shall not be subject to variation margin procedures nor shall they pay or collect
settlement variations with respect to their BXY TRAKRS futures positions.


Ms. Eileen Donovan
September 20, 2006
Page 30 of 42

CHAPTER 369: LMC II TRAKRSTM FUTURES

36904. FLOW OF FUNDS
36904.A, Customers

[No Changes]

36904.B. Qualified Intermediaries

Institutional and Non-Institutional Customers may place Long-Short Technology TRAKRS Index futures
orders with (1) an Associated Person (“AP”) of a registered Introducing Broker (“IB”) or Futures
Commission Merchant (“FCM”), such resulting positions to be maintained in a futures account; or (2) a
Registered Representative (“RR”) of a securities Broker-Dealer (“BD”) that is notice registered with the
National Futures Association (“NFA”) as a limited-purpose FCM (“‘LP/FCM”) or an entity that is dually
registered as a BD and FCM (“BD/FCM”), such resulting positions to be maintained in a securities
account.

36904.C. Interest Rate Pass-Through

Clearing members holding open long positions in LMC I] TRAKRS futures shall make payment to the
Clearing House on a daily basis equal to the most recently available closing daily overnight Fed Funds
Effective Rate, as determined by the Federal Reserve, less a Spread of 0.85%, applied to the current
contract value based on the settlement price. Said payment shall be passed through the Clearing House to
clearing members holding short positions in LMC II] TRAKRS futures.

Institutional Customers holding long LMC II TRAKRS futures positions, maintained in a futures account,
must make such payments to their clearing member and Institutional Customers holding short LMC II
TRAKRS futures positions, maintained in a futures account, will receive such payments from their
clearing member. It is the responsibility of the clearing member to administer such payments.

If the Fed Funds Effective Rate is less than the Spread of 0.85%, then a daily payment in an amount equal
to a Spread of 0.85% less the Fed Funds Effective Rate, divided by 360, applied to the current contract
value based on the settlement price, shall be passed through the Clearing House from clearing members
holding open short positions to clearing members holding long positions in a LMC TRAKRS Index
futures contract. Institutional Customers holding short LMC II] TRAKRS futures, maintained in a futures
account, must make such payments to their clearing member and Institutional Customers hold long LMC
II TRAKRS futures payments, maintained in a futures account, will receive such payments from their
clearing member. It is the responsibility of the clearing member to administer such payments.

36904.D. Amortizing Spread

[No Changes]


Ms. Eileen Donovan
September 20, 2006
Page 7 of 42

CHAPTER 367: Rogers International CommodityTM TRAKRSTM FUTURES
36704, FLOW OF FUNDS
36704.A. Customers
[No Changes]

36704.B. Qualified Intermediaries

ituti 4 1 ders—for-R FRAKRS-fu 1y-through. istered
[Nonnstitutional-C yp " y_throug! 6
Intreducing Broker (1B”)>a-Futures-C i Merchant {“FCM2}; ities Broker Dealer {BD”)
that_is_neti tered_with the—National_Fut: Association NEA”)-as—a—timited-purpese-FCM
(“LP/ECM")- tity-that-is-dually registered BD-and FCM-(“BD& ECM,” and-togetherwith
“BD/EEM"). Jark institutional_cust " dersforR. FRAKR:
LP/REM, . 5 pt yp 5 Bers
fut th_an_Asseciated P (AP”) of an IB or FCM, wistered-rep tative ORR”) of
BD/ECM js 5 is Lawl NE imited AP-(RRJAP").
Jnstitutional-_Cust 1 dersfor-R FRAKRS fut tracts-only_through an IB
s YP e 7 ia
FEM —LP/ECMs and RR/APs +-selicit +R. jnternational-C ditytad d
Me ry P eS 7
fromnstitutional Customers: ]

Institutional and Non-Institutional Customers may place Long-Short Technology TRAKRS Index futures
orders with (1) an Associated Person (“AP”) of a registered Introducing Broker (“IB”) or Futures
Commission Merchant (“FCM”), such resulting positions to be maintained in a futures account; or (2) a
Registered Representative (“RR”) of a securities Broker-Dealer (“BD”) that is notice registered with the
National Futures Association (“NFA”) as a limited-purpose FCM (“LP/FCM”) or an entity that is duall
registered as a BD and FCM (“BD/FCM”), such resulting positions to be maintained in a securities
account.

36704.C. Interest Rate Pass-Through

Clearing members holding open long positions in a Rogers TRAKRS futures contract shall make payment
to the Clearing House on a daily basis equal to the most recently available closing daily overnight Fed
Funds Effective Rate, as determined by the Federal Reserve, less the Spread as described below, divided
by 360, applied to the current contract value based on the settlement price. Said payment divided by 360
applied to the current contract value based on the settlement price, shall be passed through the Clearing
House to clearing members holding short positions in a Rogers TRAKRS futures contract.

Institutional Customers holding long Rogers TRAKRS futures positions, maintained in a futures account,
must make such payments to their clearing member and Institutional Customers holding short Rogers
TRAKRS futures positions, maintained in a futures account, will receive such payments from their
clearing member. It is the responsibility of the clearing member to administer such payments.



Ms. Eileen Donovan
September 20, 2006
Page 6 of 42

Non-Institutional Customers that sell Long-Short. Technology TRAKRS Index futures, maintained in a
futures account or a securities account, shall be subject to variation margin pay and collect requirements
per the following conditions. If the settlement price advances such that a Non-Institutional Customer’s
performance bond is less than 30% of the current Long-Short Technology TRAKRS Index futures
contract value, the Non-Institutional Customer shall be required to make a variation margin payment to
restore the performance bond to 50% of the current Long-Short Technology TRAKRS Index futures
contract value. If the settlement price declines such that a Non-Institutional Customer’s performance
bond is greater than 70% of the current Long-Short Technology TRAKRS Index futures contract value,
the Non-Institutional Customer shall be entitled to collect a variation margin payment to restore the
performance bond to 50% of the current Long-Short Technology TRAKRS Index futures contract value.

Institutional Customers that purchase Long-Short Technology TRAKRS Index futures, maintained in a
securities account, shall not_be subject to variation margin procedures nor shall they pay or collect
settlement variations with respect to their Long-Short Technology TRAKRS Index futures positions.

Institutional Customers that_sell_Long-Short Technology TRAKRS Index futures, maintained in a
securities account, shall be subject to variation margin pay and collect requirements per the following
conditions. If the settlement_price advances such that an Institutional Customer’s performance bond is
less_than 30% of the current Long-Short Technology TRAKRS Index futures contract value, the
Institutional Customer shall be required to make a variation margin payment to restore the performance
bond to 50% of the current Long-Short Technology TRAKRS Index futures contract _value. If the
settlement price declines such that a Institutional Customer’s performance bond is greater than 70% of the
current Long-Short Technology TRAKRS Index futures contract value, the Institutional Customer shall
be entitled to collect a variation margin payment to restore the performance bond to 50% of the current
Long-Short Technology TRAKRS Index futures contract value.

Institutional Customers that purchase or sell Long-Short Technology TRAKRS Index futures, maintained

in a futures account, shall be subject to normal variation margin procedures.



Ms. Eileen Donovan

September 20, 2006

Page 19 of 42

37403.C. [Reserved]

37403.D. Early Termination

If the value of the Index should at any time equal zero or less, trading in PIMCO [CGR] CRR TRAKRS
futures shall be discontinued and all outstanding contracts shall be settled in cash at a value of zero
($0.00) per contract.

37404. FLOW OF FUNDS

37404.A. Customers

[No Changes]

37404.B. Qualified Intermediaries

[Nonastitutional_Cust ph ders—for_PIMCO-CCR-FRAKRS fut }ythrough
istered_Introducing Broker_(“IB"):a Futures-Commission Merchant FCM? ities Brok
Jealer (“BD”) that_is-netk vered_with_the-National But Association (NEA) limited

ECM-(LP/ECM”) tity-that-is-dual! istered_as-a BD and FCM (BD&FCM” and
purpes +-P/ECM~)=-oF, y € ;
her_with_an_LP/ECM,“BD/ECM”)—Similarl institutional_cust 1 ders—fi
toget 7 F Ys YP
PIMCO-CCR -TRAKRS fut ith an-Asseciated_P (AR")-of an TB-or FCM, istered
{RR ef a BD/ECM whe-is-neti istered with the NEA limited AP
RR} 6 s Purp

4 1 ders for PIMCO-CCR-FRAKRS fut 1-through-anIB-or FCM.

Customers]

Institutional and Non-Institutional Customers may place Long-Short Technology TRAKRS Index futures
orders with (1) an_ Associated Person (“AP”) of a registered Introducing Broker (“IB”) or Futures
Commission Merchant (“FCM”), such resulting positions to be maintained in a futures account; or (2) a
Registered Representative (“RR”) of a securities Broker-Dealer (“BD”) that is notice registered with the
National Futures Association (“NFA”) as a limited-purpose FCM (‘‘LP/FCM”) or an entity that is dually
registered as a BD and FCM (“BD/FCM”), such resulting positions to be maintained in a securities
account.

37404.C. Interest Rate Pass-Through

Each trading day after the determination of the daily Settlement Price, each clearing FCM that maintains
long PIMCO CRR TRAKRS positions will be required to pay the CME Clearing House (based on the
amount of long PIMCO CRR TRAKRS the clearing FCM maintains multiplied by the PIMCO CRR
TRAKRS Settlement Price) a daily market rate of interest equal to the Federal Funds Effective Rate less
the Spread. The CME Clearing House in turn will pay each clearing FCM that maintains short PIMCO
CRR TRAKRS positions (based on the amount of short PIMCO CRR TRAKRS the clearing FCM
maintains multiplied by the PIMCO CRR TRAKRS Settlement Price), a daily market rate of interest
equal to the Federal Funds Effective Rate less the sum of the Spread and the TRAKRS Platform Fees.


Ms. Eileen Donovan
September 20, 2006
Page 9 of 42

Institutional Customers that purchase Rogers TRAKRS futures, maintained in a securities account, shall
not be subject to variation margin procedures nor shall they pay or collect settlement variations with
respect to their Rogers TRAKRS futures positions.

Institutional Customers that _sell Rogers TRAKRS futures, maintained _in_a securities account, shall be
subject to variation margin pay and collect requirements per the following conditions. If the settlement
price advances such that an Institutional Customer’s performance bond is less than 30% of the current
Rogers TRAKRS futures contract value, the Institutional Customer shall be required to make a variation
margin payment to restore the performance bond to 50% of the current Rogers TRAKRS futures contract
value. _If the settlement price declines such that a Institutional Customer’s performance bond is greater
than_70% of the current Rogers TRAKRS futures contract value, the Institutional Customer_shall_be
entitled to collect a variation margin payment to restore the performance bond to 50% of the current
Rogers TRAKRS futures contract value.

Institutional Customers that purchase or sell Rogers TRAKRS futures, maintained in a futures account.
shall be subject to normal variation margin procedures.



Ms. Eileen Donovan
September 20, 2006
Page 25 of 42

Clean Copy of Amendments to TRAKRSTM Contracts

CHAPTER 364: Long-Short Technology TRAKRS Index Futures
36404. FLOW OF FUNDS
36404.A. Customers
[No Changes]
36404.B. Qualified Intermediaries

Institutional and Non-Institutional Customers may place Long-Short Technology TRAKRS Index futures
orders with (1) an Associated Person (“AP”) of a registered Introducing Broker (“IB”) or Futures
Commission Merchant (“FCM”), such resulting positions to be maintained in a futures account; or (2) a
Registered Representative (“RR”) of a securities Broker-Dealer (“BD”) that is notice registered with the
National Futures Association (“NFA”) as a limited-purpose FCM (“LP/FCM”) or an entity that is dually
registered as a BD and FCM (“BD/FCM”), such resulting positions to be maintained in a securities
account.

36404.C. Interest Rate Pass-Through

Clearing members holding open long positions in a Long-Short Technology TRAKRS Index futures
contract shall make payment to the Clearing House on a daily basis equal to the most recently available
closing daily overnight Fed Funds Effective Rate, as determined by the Federal Reserve, less a Spread for
such contract month or tranche as shown in the table below, applied to the current contract value based on
the settlement price. Said payment shall be passed through the Clearing House to clearing members
holding short positions in a Long-Short Technology TRAKRS Index futures contract.

Institutional Customers holding long Long-Short Technology TRAKRS Index futures positions,
maintained in a futures account, must make such payments to their clearing member and Institutional
Customers holding short Long-Short Technology TRAKRS Index futures positions, maintained in a
futures account, will receive such payments from their clearing member. It is the responsibility of the
clearing member to administer such payments.

If the Fed Funds Effective Rate is less than the Spread of for such contract month or tranche as shown in
the table below, then said a daily payment in an amount equal to Spread for such contract month or
tranche as shown in the table below less the Fed Funds Effective Rate, divided by 360, applied to the
current contract value based on the settlement price, shall be passed through the Clearing House from
clearing members holding open short positions to clearing members holding long positions in a Long-
Short Technology TRAKRS Index futures contract. Institutional Customers holding short Long-Short
Technology TRAKRS Index futures positions, maintained in a futures account, must make such payments.
to their clearing member and Institutional Customers holding long Long-Short Technology TRAKRS
Index futures positions, maintained in a futures account, will receive such payments from their clearing
member. It is the responsibility of the clearing member to administer such payments.


cmeé

Chicago Mercantile Exchange

20 South Wacker Drive 312/930. 1000 tef
Chicago, IL 60606-7499 312/466.4410 fax
www.cme.com

September 20, 2006

Ms. Eileen Donovan

Office of the Secretariat

Commodity Futures Trading Commission
Three Lafayette Centre, 1155 21* Street, NW
Washington, DC 20581

RE: Exchange Certification of Amendments to TRAKRSTM Contracts.
Submitted per Sec. 5c(c)(1) of the CEA and Regulation §40.6(1) Thereunder.”
CME Submission # 06-81.

Dear Ms. Donovan:

Chicago Mercantile Exchange (‘““CME” or “Exchange”) hereby notifies the Commission
of amendments to Rules defining the flow of funds associated with the Exchange’s line of
TRAKRSTM contracts.' These amendments are submitted pursuant to Sec. 5e(c)(1) of the CEA
and Regulation §40.6(1) Thereunder and are intended to effectuate the provisions of the
Commission’s No-Action Letter dated September 7, 2006 (“‘the Letter”)? The Letter modifies
prior relief, as set forth in the Commission’s No-Action Letter dated July 11, 2001 (‘the Prior
Letter”).

Specifically, the Letter clarifies that the Division of Clearing and Intermediary Oversight
“will not recommend that the Commission take any enforcement action against registered
broker-dealers (‘BDs’) or their registered representatives (‘RRs’) if they give ‘institutional
customers’ ... the option either: 1. to maintain a traditional futures account at a registered
introducing broker (‘IB’) or futures commission merchant (‘FCM’), place orders with an
associated persion (‘AP’) of the IB or FCM or directly through GLOBEX, and to comply with
CME’s standard performance bond and settlement variation requirements; or 2. to maintain a
securities account and execute trades through a BD/FCM in full compliance with the Prior Letter
as it relates to TRAKRS®TM trades by non-institutional customers.”

" Specifically ... (i) Long-Short Technology TRAKRS Index futures, (ii) Rogers Intemational CommodityTM
TRAKRSTM futures, (iii) LMC I TRAKRSTM futures, (iv) BXY°TM TRAKRSTM futures, (v)
PIMCO*CommodityRealReturnTM DJ-AIGCITM TRAKRSTM, and (vi) Gold TRAKRSTM Futures.

Letter dated September 7, 2006 from Mr. Ananda Radhakrishnan, Director, Division of Clearing and Intermediary
Oversight, Commodity Futures Trading Commission addressed to Mr. Matthew F. Kluchenek, Director and
Associate General Counsel, Chicago Mercantile Exchange, RE: Total Return Asset Contracts (“TRAKRS*TM”)



Ms. Eileen Donovan
September 20, 2006
Page 12 of 42

Institutional Customers that sell LMC I] TRAKRS futures, maintained in a securities account, shall be
subject to variation margin pay and collect requirements per the following conditions. If the settlement
price advances such that_an Institutional Customer’s performance bond is less than 30% of the current
LMC II TRAKRS futures contract value, the Institutional Customer shall be required to make a variation
margin payment to restore the performance bond to 50% of the current LMC I] TRAKRS futures contract
value. _If the settlement price declines such that a Institutional Customer’s performance bond is greater
than _70% of the current LMC IJ TRAKRS futures contract value, the Institutional Customer shall be
entitled to collect a variation margin payment to restore the performance bond to 50% of the current LMC
Il TRAKRS futures contract value.

Institutional Customers that purchase or sell LMC II TRAKRS futures, maintained in a futures account,
shall be subject to normal variation margin procedures.



Ms. Eileen Donovan
September 20, 2006
Page 11 of 42

If the Fed Funds Effective Rate is less than the Spread of 0.85%, then a daily payment in an amount equal
to a Spread of 0.85% less the Fed Funds Effective Rate, divided by 360, applied to the current contract
value based on the settlement price, shall be passed through the Clearing House from clearing members
holding open short positions to clearing members holding long positions in a LMC TRAKRS Index
futures contract. Institutional Customers holding short LMC I] TRAKRS futures, maintained in a futures
account, must make such payments to their clearing member and Institutional Customers hold long LMC
Il TRAKRS futures payments, maintained in a futures account, will receive such payments from their
clearing member. It is the responsibility of the clearing member to administer such payments.

36904.D. Amortizing Spread

[No Changes]

36904.E. Performance Bond

Non-Institutional Customers purchasing LMC I] TRAKRS futures, maintained in a futures account or a
securities account, shall deposit 100% of the purchase price with their long clearing member. Non-

Institutional Customers selling LMC 1] TRAKRS futures, maintained in a futures account or a securities
account, shall deposit 50% of the sale price with their short clearing member.

Institutional Customers purchasing LMC I] TRAKRS futures, maintained in a securities account, shall
deposit 100% of the purchase price with their long clearing member. Institutional Customers selling
LMC II TRAKRS futures, maintained in a securities account, shall deposit 50% of the sale price with

their short clearing member.

Institutional Customers purchasing or selling LMC I] TRAKRS futures, maintained in a futures account.
shall be subject to the performance bond requirements established by the Exchange and their FCMs.

36904.F. Settlement Variation

Non-Institutional Customers that purchase LMC IJ] TRAKRS futures, maintained in a futures account or a
securities account, shall not be subject to variation margin procedures nor shall they pay or collect
settlement variations with respect to their LMC I] TRAKRS futures positions.

Non-Institutional Customers that sell LMC 1] TRAKRS futures, maintained in a futures account_or_a
ies account, shall be subject to variation margin pay and collect requirements per the following
conditions. If the settlement price advances such that a Non-Institutional Customer’s performance bond
is less than 30% of the current LMC I] TRAKRS futures contract value, the Non-Institutional Customer
shall be required to make a variation margin payment to restore the performance bond to 50% of the
current LMC II TRAKRS futures contract value. If the settlement price declines such that a Non-
Institutional Customer’s performance bond is greater than 70% of the current LMC I] TRAKRS futures
contract value, the Non-Institutional Customer shall be entitled to collect a variation margin payment to
restore the performance bond to 50% of the current LMC II TRAKRS futures contract value.

Institutional Customers that purchase LMC II TRAKRS futures, maintained in a securities account, shall
not _be subject to variation margin procedures nor shall they pay or collect settlement variations with
respect to their LMC I] TRAKRS futures positions.



Ms. Eileen Donovan
September 20, 2006
Page 32 of 42

CHAPTER 370: BXYS” TRAKRSTM FUTURES
37004. FLOW OF FUNDS
37004.A. Customers
[No Changes]
37004.B. Qualified Intermediaries

Institutional and Non-Institutional Customers may place Long-Short Technology TRAKRS Index futures
orders with (1) an Associated Person (“AP”) of a registered Introducing Broker (“IB”) or Futures
Commission Merchant (“FCM”), such resulting positions to be maintained in a futures account; or (2) a
Registered Representative (“RR”) of a securities Broker-Dealer (“BD”) that is notice registered with the
National Futures Association (“NFA”) as a limited-purpose FCM (“LP/FCM”) or an entity that is dually
registered as a BD and FCM (“BD/FCM”), such resulting positions to be maintained in a securities
account.

37004.C. Interest Rate Pass-Through

Each trading day after the determination of the daily Settlement Price, each clearing member that
maintains long BXY TRAKRS positions will be required to pay the CME Clearing House (based on the
amount of long BXY TRAKRS the clearing member maintains multiplied by the BKY TRAKRS
Settlement Price) a daily pro rata market rate of interest equal to the Federal Funds Effective Rate less the
Spread. The CME Clearing House in turn will pay each clearing member that maintains short BXY
TRAKRS positions (based on the amount of short BXY TRAKRS the clearing member maintains
multiplied by the BXY TRAKRS Settlement Price), a daily pro rata market rate of interest equal to the
Federal Funds Effective Rate less the sum of the Spread and the TRAKRS Platform Fees.

If, on any day, the Federal Funds Effective Rate is less than the Spread, then each clearing member that
maintains short BXY TRAKRS positions will be required to pay to the CME Clearing House (based on
the amount of short BXY TRAKRS the clearing member maintains multiplied by the BXY TRAKRS
Settlement Price) a daily pro rata market rate of interest equal to the Spread less the Federal Funds
Effective Rate. The CME Clearing House in turn will pay each clearing member that maintains long BXY
TRAKRS positions (based on the amount of long BXY TRAKRS the clearing member maintains
multiplied by the BXY TRAKRS Settlement Price) a daily pro rata market rate of interest equal to the
Spread less the sum of the Federal Funds Effective Rate and the TRAKRS Platform Fees.

Each trading day after the determination of the daily Settlement Price, each institutional customer holding
long BXY TRAKRS positions, maintained in a futures account, will be required to pay its FCM, based on
the amount of long BXY TRAKRS held by the institutional customer multiplied by the BXY TRAKRS
Settlement Price, a daily pro rata market rate of interest equal to the Federal Funds Effective Rate less the
Spread, which the clearing member will pass on to the CME Clearing House. The CME Clearing House
in turn will pay to each short clearing member for institutional customers a daily pro rata market rate of
interest equal to the Federal Funds Effective Rate less the sum of the Spread and the TRAKRS Platform
Fees and each institutional customer holding short BXY TRAKRS positions, maintained in a futures
account, will be entitled to receive this amount from its FCM, based on the amount of short BXY
TRAKRS held by the institutional customer multiplied by the BXY TRAKRS Settlement Price.


Ms. Eileen Donovan
September 20, 2006
Page 31 of 42

36904.E. Performance Bond

Non-Institutional Customers purchasing LMC I] TRAKRS futures, maintained in a futures account or a
securities account, shall deposit 100% of the purchase price with their long clearing member. Non-
Institutional Customers selling LMC I] TRAKRS futures, maintained in a futures account or a securities
account, shall deposit 50% of the sale price with their short clearing member.

Institutional Customers purchasing LMC II] TRAKRS futures, maintained in a securities account, shall
deposit 100% of the purchase price with their long clearing member. Institutional Customers selling
LMC II TRAKRS futures, maintained in a securities account, shall deposit 50% of the sale price with
their short clearing member.

Institutional Customers purchasing or selling LMC II] TRAKRS futures, maintained in a futures account,
shall be subject to the performance bond requirements established by the Exchange and their FCMs.

36904.F, Settlement Variation

Non-Institutional Customers that purchase LMC II] TRAKRS futures, maintained in a futures account or a
securities account, shall not be subject to variation margin procedures nor shall they pay or collect
settlement variations with respect to their LMC II TRAKRS futures positions.

Non-Institutional Customers that sell LMC I] TRAKRS futures, maintained in a futures account or a
securities account, shall be subject to variation margin pay and collect requirements per the following
conditions. If the settlement price advances such that a Non-Institutional Customer’s performance bond
is less than 30% of the current LMC I] TRAKRS futures contract value, the Non-Institutional Customer
shall be required to make a variation margin payment to restore the performance bond to 50% of the
current LMC I] TRAKRS futures contract value. If the settlement price declines such that a Non-
Institutional Customer’s performance bond is greater than 70% of the current LMC I] TRAKRS futures
contract value, the Non-Institutional Customer shall be entitled to collect a variation margin payment to
restore the performance bond to 50% of the current LMC I] TRAKRS futures contract value.

Institutional Customers that purchase LMC 1] TRAKRS futures, maintained in a securities account, shall
not be subject to variation margin procedures nor shall they pay or collect settlement variations with
respect to their LMC II TRAKRS futures positions.

Institutional Customers that sell LMC 1] TRAKRS futures, maintained in a securities account, shall be
subject to variation margin pay and collect requirements per the following conditions. If the settlement
price advances such that an Institutional Customer's performance bond is less than 30% of the current
LMC II TRAKRS futures contract value, the Institutional Customer shall be required to make a variation
margin payment to restore the performance bond to 50% of the current LMC II TRAKRS futures contract
value. If the settlement price declines such that a Institutional Customer’s performance bond is greater
than 70% of the current LMC I] TRAKRS futures contract value, the Institutional Customer shall be
entitled to collect a variation margin payment to restore the performance bond to 50% of the current LMC
I] TRAKRS futures contract value.

Institutional Customers that purchase or sell LMC I] TRAKRS futures, maintained in a futures account,
shall be subject to normal variation margin procedures.


Ms. Eileen Donovan
September 20, 2006
Page 8 of 42

If the Fed Funds Effective Rate is less than the Spread as described below, then a daily payment in an
amount equal to the Spread as described below, less the Fed Funds Effective Rate, divided by 360,
applied to the current contract value based on the settlement price, shall be passed through the Clearing
House from clearing members holding open short positions to clearing members holding long positions in
a Rogers TRAKRS futures contract. Institutional Customers holding short Rogers TRAKRS futures
positions, maintained in a futures account, must make such payments to their clearing member and
Institutional Customers holding long Rogers TRAKRS futures, maintained in a futures account
{payments] will receive such payments from their clearing member. It is the responsibility of the clearing
member to administer such payments.

The Spread shall be equal to 1.50% or 150 basis points per annum.

36704.D. Amortizing Spread

{No Changes]

36704,E. Performance Bond

Non-Institutional Customers purchasing Rogers TRAKRS futures contracts, maintained _in a futures
account or a securities account, shall deposit 100% of the purchase price with their long clearing member.

Non-Institutional Customers selling Rogers TRAKRS futures contracts, maintained in a futures account
or a securities account, shall deposit 50% of the sale price with their short clearing member.

Institutional Customers purchasing Rogers TRAKRS Index futures contracts, maintained in a securities
account. shall deposit 100% of the purchase price with their long clearing member. Institutional
Customers selling Rogers TRAKRS Index_futures contracts, maintained in a securities account, shall
deposit 50% of the sale price with their short clearing member.

Institutional Customers purchasing or selling Rogers TRAKRS futures contracts, maintained in a futures
account, shall be subject to the performance bond requirements established by the Exchange and their
FCMs.

36704.F. Settlement Variation

Non-Institutional Customers that purchase Rogers TRAKRS futures, maintained in a futures account or a
securities account, shall not be subject to variation margin procedures nor shall they pay or collect
settlement variations with respect to their Rogers TRAKRS futures positions.

Non-Institutional Customers that sell Rogers TRAKRS futures, maintained in a futures account or a
securities account, shall be subject to variation margin pay and collect requirements per the following
conditions. If the settlement price advances such that a Non-Institutional Customer’s performance bond
is less than 30% of the current Rogers TRAKRS futures contract value, the Non-Institutional Customer
shall be required to make a variation margin payment to restore the performance bond to 50% of the
current Rogers TRAKRS futures contract value. If the settlement price declines such that a Non-
Institutional Customer’s performance bond is greater than 70% of the current Rogers TRAKRS futures
contract value, the Non-Institutional Customer shall be entitled to collect a variation margin payment to
restore the performance bond to 50% of the current Rogers TRAKRS futures contract value.



Ms. Eileen Donovan
September 20, 2006
Page 22 of 42

CHAPTER 376: Gold TRAKRSTM Futures
37604. FLOW OF FUNDS
37604.A. Customers
[No Changes}

37604.B. Qualified Intermediaries

[Non-tnstitutional_Cust 4 dersfor_Gold FRAKRS—fut ly-through istered
y-P iy 8 g
i “1B. 4 Butures-C ssion Merchant (“FCM): surities_ Broker Dealer (“BD”)
Jntroducing Broker 5 He 5 itt €
hati i istered_with_the-National_Fut Association (SNFA2) Limited se-FCM
that + Btst As Lidell
et P/ECM”)- tity that a Hy 2 “£4 d- BD d-ECM. BDE& FEM d-toseth ith
“BD/ECM” imilart institutional_cust 2 ders_for-Gold FRAKR
LPHFEM;—4 Tys yp
fat ith_an_Associated_P “AP of an IB or FCM. istered tative (ORR? of.
ss € > > PF € 7
BD/FCM whois neti istered with the NEA limited AP (RR/ARTM
i H i perp" v *
Institutional-Cust ; ph -ders_for_Gold FRAKRS futures_contracts_only_through-_anIB-or
ECM—LP/ECMs-and RR/AP: y-net-solicit pt Gold FRAKRS-Ind ders_from_tnstitutional

Customers. |

Institutional and Non-Institutional Customers may place Long-Short Technology TRAKRS Index futures
orders with (1) an Associated Person (“AP”) of a registered Introducing Broker (“IB”) or Futures
Commission Merchant (“FCM”), such resulting positions to be maintained in a futures account; or (2) a
Registered Representative (“RR”) of a securities Broker-Dealer (“BD”) that is notice registered with the
National Futures Association (“NFA”) as a limited-purpose FCM (“LP/FCM”) or an entity that is dually
registered as a BD and FCM (“BD/FCM”), such resulting positions to be maintained in a securities
account.

37604.C. Interest Rate Pass-Through

Clearing members holding open long positions in a Gold TRAKRS futures contract shall make payment
to the Clearing House on a daily basis equal to the most recently available closing daily overnight Fed
Funds Effective Rate, as determined by the Federal Reserve, less the Spread as described below, divided
by 360, applied to the current contract value based on the settlement price. Said payment divided by 360
applied to the current contract value based on the settlement price, shall be passed through the Clearing
House to clearing members holding short positions in a Gold TRAKRS futures contract.

Institutional Customers holding long Gold TRAKRS futures positions, maintained in a futures account.
must make such payments to their clearing member and Institutional Customers holding short Gold
TRAKRS futures positions, maintained in a futures account, will receive such payments from their
clearing member. It is the responsibility of the clearing member to administer such payments.



Ms. Eileen Donovan
September 20, 2006
Page 39 of 42

Each trading day after the determination of the daily Settlement Price, each institutional customer holding
long PIMCO CRR TRAKRS positions, maintained in a futures account, will be required to pay its FCM,
based on the amount of long PIMCO CRR TRAKRS held by the institutional customer multiplied by the
PIMCO CRR TRAKRS Settlement Price, a daily market rate of interest equal to the Federal Funds
Effective Rate less the Spread, which the clearing FCM will pass on to the CME Clearing House. If the
Federal Funds Effective Rate is less than the Spread, the CME Clearing House in turn will pay to each
short clearing FCM for institutional customers a daily market rate of interest equal to the Federal Funds
Effective Rate less the sum of the Spread and the TRAKRS Platform Fees and each institutional customer
holding short PIMCO CRR TRAKRS positions, maintained in a futures account, will be entitled to
receive this amount from its FCM, based on the amount of short PIMCO CRR TRAKRS held by the
institutional customer multiplied by the PPMCO CRR TRAKRS Settlement Price.

If, on any day, the Federal Funds Effective Rate is less than the sum of the TRAKRS Platform Fees and
the Spread then each institutional customer holding short PPMCO CRR TRAKRS positions, maintained in
a futures account, will be required to pay its FCM (based on the amount of short PIMCO CRR TRAKRS
held by the institutional customer multiplied by the PIMCO CRR TRAKRS Settlement Price) a daily
market rate of interest equal to the sum of the TRAKRS Platform Fees and the Spread less the Federal
Funds Effective Rate, which the clearing FCM will pass on to the CME Clearing House. The CME
Clearing House in turn will pay to each long clearing FCM for institutional customers a daily market rate
of interest equal to the Spread less the Federal Funds Effective Rate, and cach institutional customer
holding long PIMCO CRR TRAKRS positions, maintained in a futures account, will be entitled to receive
this amount from its FCM, based on the amount of long PIMCO CRR TRAKRS held by the institutional
customer multiplied by the PIMCO CRR TRAKRS Settlement Price.

Non-institutional customers holding long PIMCO CRR TRAKRS positions, maintained in a futures
account, are not responsible for paying, and non-institutional customers holding short PIMCO CRR
TRAKRS positions, maintained in a futures account, are not entitled to receive, this interest rate pass-
through; although the long clearing FCM (or, if the Federal Funds Effective Rate is less than the Spread,
the short clearing FCM) is still responsible for paying the interest payment, which is passed-through by
the CME Clearing House to the short clearing FCM (or, if applicable, the long clearing FCM).

The CME Clearing House will determine all such interest rate pass-through amounts.

37404.D. Federal Funds Effective Rate

[No Changes]

37404.E. Performance Bond

Non-Institutional Customers purchasing PIMCO CRR TRAKRS futures, maintained in a futures account
or a securities account, shall deposit 100% of the purchase price with their long clearing member. Non-

Institutional Customers selling PIMCO CRR TRAKRS futures, maintained in a futures account or a
securities account, shall deposit 50% of the sale price with their short clearing member.


Ms. Eileen Donovan
September 20, 2006
Page 40 of 42

Institutional Customers purchasing PIMCO CRR TRAKRS futures, maintained in a securities account,
shall deposit 100% of the purchase price with their long clearing member. Institutional Customers selling
PIMCO CRR TRAKRS futures, maintained in a securities account, shall deposit 50% of the sale price
with their short clearing member.

Institutional Customers purchasing or selling PIMCO CRR TRAKRS, maintained in a futures account,
shal] be subject to the performance bond requirements established by the Exchange and their FCMs.

37404.F. Settlement Variation

Non-Institutional Customers that purchase PIMCO CRR TRAKRS futures, maintained in a futures
account or a securities account, shall not be subject to variation margin procedures nor shall they pay or
collect settlement variations with respect to their PIMCO CRR TRAKRS futures positions.

Non-Institutional Customers that sell PIMCO CRR TRAKRS futures, maintained in a futures account or a
securities account, shall be subject to variation margin pay and collect requirements per the following
conditions. If the settlement price advances such that a Non-Institutional Customer’s performance bond
is less than 30% of the current PIMCO CRR TRAKRS futures contract value, the Non-Institutional
Customer shall be required to make a variation margin payment to restore the performance bond to 50%
of the current PIMCO CRR TRAKRS futures contract value. If the settlement price declines such that a
Non-Institutional Customer’s performance bond is greater than 70% of the current PIMCO CRR
TRAKRS futures contract value, the Non-Institutional Customer shall be entitled to collect a variation
margin payment to restore the performance bond to 50% of the current PIMCO CRR TRAKRS futures
contract value.

Institutional Customers that purchase PIMCO CRR TRAKRS futures, maintained in a securities account,
shall not be subject to variation margin procedures nor shall they pay or collect settlement variations with
respect to their PIMCO CRR TRAKRS futures positions.

Institutional Customers that sell PIMCO CRR TRAKRS futures, maintained in a securities account, shall
be subject to variation margin pay and collect requirements per the following conditions. If the settlement
price advances such that an Institutional Customer’s performance bond is less than 30% of the current
PIMCO CRR TRAKRS futures contract value, the Institutional Customer shall be required to make a
variation margin payment to restore the performance bond to 50% of the current PIMCO CRR TRAKRS
futures contract value. If the settlement price declines such that a Institutional Customer’s performance
bond is greater than 70% of the current PIMCO CRR TRAKRS futures contract value, the Institutional
Customer shall be entitled to collect a variation margin payment to restore the performance bond to 50%
of the current PIMCO CRR TRAKRS futures contract value.

Institutional Customers that purchase or sell PIMCO CRR TRAKRS futures, maintained in a futures
account, shall be subject to normal variation margin procedures.

{No Changes for Balance of Chapter 374]


Ms. Eileen Donovan
September 20, 2006
Page 28 of 42

CHAPTER 367: Rogers International CommodityTM TRAKRSTM FUTURES
36704. FLOW OF FUNDS
36704.A. Customers
[No Changes]
36704.B. Qualified Intermediaries

Institutional and Non-Institutional Customers may place Long-Short Technology TRAKRS Index futures
orders with (1) an Associated Person (“AP”) of a registered Introducing Broker (“IB”) or Futures
Commission Merchant (“FCM”), such resulting positions to be maintained in a futures account; or (2) a
Registered Representative (“RR”) of a securities Broker-Dealer (“BD”) that is notice registered with the
National Futures Association (“NFA”) as a limited-purpose FCM (“LP/FCM”) or an entity that is dually
registered as a BD and FCM (“BD/FCM”), such resulting positions to be maintained in a securities
account.

36704.C. Interest Rate Pass-Through

Clearing members holding open long positions in a Rogers TRAKRS futures contract shall make payment
to the Clearing House on a daily basis equal to the most recently available closing daily overnight Fed
Funds Effective Rate, as determined by the Federal Reserve, less the Spread as described below, divided
by 360, applied to the current contract value based on the settlement price. Said payment divided by 360
applied to the current contract value based on the settlement price, shall be passed through the Clearing
House to clearing members holding short positions in a Rogers TRAKRS futures contract.

Institutional Customers holding long Rogers TRAKRS futures positions, maintained in a futures account,
must make such payments to their clearing member and Institutional Customers holding short Rogers
TRAKRS futures positions, maintained in a futures account, will receive such payments from their
clearing member. It is the responsibility of the clearing member to administer such payments.

If the Fed Funds Effective Rate is less than the Spread as described below, then a daily payment in an
amount equal to the Spread as described below, less the Fed Funds Effective Rate, divided by 360,
applied to the current contract value based on the settlement price, shall be passed through the Clearing
House from clearing members holding open short positions to clearing members holding long positions in
a Rogers TRAKRS futures contract. Institutional Customers holding short Rogers TRAKRS futures
positions, maintained in a futures account, must make such payments to their clearing member and
Institutional Customers holding long Rogers TRAKRS futures, maintained in a futures account, will
receive such payments from their clearing member. It is the responsibility of the clearing member to
administer such payments.

The Spread shall be equal to 1.50% or 150 basis points per annum.
36704.D. Amortizing Spread

[No Changes]


Ms. Eileen Donovan
September 20, 2006
Page 4 of 42

Amendments to TRAKRSTM Contracts
(Additions are underlined, deletions are bracketed and overstruck)

CHAPTER 364: Long-Short Technology TRAKRS Index Futures
36404. FLOW OF FUNDS
36404.A. Customers
[No Changes]

36404.B. Qualified Intermediaries

[Nonnstitutienal- Cust " ders_fort ShortFechnology-FRAKRS-Indexfut }

Introducing Broker (“1B2)—a Futures-Commission_ Merchant <FCM”):-a-securiti
th Ht db ve Te v Ty

Long Short-Technolegy FRAKRS Index fut ith-an-Associated-Person-(“AP”)-of an B-or KEM,-or-a

istered. tative RR”) of a BD/FCM-who-i ti istered—with_the-_NEA—as—alimited-

FRAKRS Index-orders-from-nstitutional- Cust -]

Institutional and Non-Institutional Customers may place Long-Short Technology TRAKRS Index futures
orders with (1) an Associated Person (“AP”) of a registered Introducing Broker (“JB”) or Futures
Commission Merchant (“FCM”), such resulting positions to be maintained in a futures account; or (2) a
Registered Representative (“RR”) of a securities Broker-Dealer (“BD”) that is notice registered with the
National Futures Association (“NFA”) as a limited-purpose FCM (“LP/FCM”) or an entity that is dually
registered as a BD and FCM (“BD/FCM”), such resulting positions to be maintained in a securities
account.

36404.C. Interest Rate Pass-Through

Clearing members holding open long positions in a Long-Short Technology TRAKRS Index futures
contract shall make payment to the Clearing House on a daily basis equal to the most recently available
closing daily overnight Fed Funds Effective Rate, as determined by the Federal Reserve, less a Spread for
such contract month or tranche as shown in the table below, applied to the current contract value based on
the settlement price. Said payment shall be passed through the Clearing House to clearing members
holding short positions in a Long-Short Technology TRAKRS Index futures contract.

Institutional Customers holding long Long-Short Technology TRAKRS Index futures positions,
maintained in a futures account, must make such payments to their clearing member and Institutional
Customers holding short Long-Short Technology TRAKRS Index futures positions, maintained in a
futures account, will receive such payments from their clearing member. It is the responsibility of the
clearing member to administer such payments.



Ms. Eileen Donovan
September 20, 2006
Page 15 of 42

Institutional Customers purchasing or selling BXY TRAKRS futures, maintained in a futures account
shall be subject to the performance bond requirements established by the Exchange and their FCMs.

37004.F. Settlement Variation

Non-Institutional Customers that purchase BXY TRAKRS futures, maintained in a futures account or a
securities account, shall not be subject to variation margin procedures nor shall they pay or collect
settlement variations with respect to their BXY TRAKRS futures positions.

Non-Institutional Customers that sell BXY TRAKRS futures, maintained in a futures account or a
securities account, shall be subject to variation margin pay and collect requirements per the following
conditions. If the settlement price advances such that a Non-Institutional Customer’s performance bond
is less than 30% of the current BXY TRAKRS futures contract value, the Non-Institutional Customer
shall be required to make a variation margin payment to restore the performance bond to 50% of the
current BXY TRAKRS futures contract value. If the settlement price declines such that a Non-
Institutional Customer’s performance bond is greater than 70% of the current BXY TRAKRS futures
contract value, the Non-Institutional Customer shall be entitled to collect a variation margin payment to
restore the performance bond to 50% of the current BXY TRAKRS futures contract value.

Institutional Customers that purchase BXY TRAKRS futures, maintained in a securities account, shall not
be subject to variation margin procedures nor shall they pay or collect settlement variations with respect
to their BXY TRAKRS futures positions.

Institutional Customers that sell BXY TRAKRS futures, maintained in a securities account, shall be
subject to variation margin pay and collect requirements per the following conditions. If the settlement
price advances such that an Institutional Customer’s performance bond is less than 30% of the current
BXY TRAKRS futures contract value, the Institutional Customer shall be required to make a variation
margin payment to restore the performance bond to 50% of the current LMC I] TRAKRS futures contract
value. If the settlement price declines such that a Institutional Customer’s performance bond is greater
than 70% of the current BXY TRAKRS futures contract value, the Institutional Customer shall be entitled
to collect_a variation margin payment to restore the performance bond to 50% of the current BXY
TRAKRS futures contract value.

Institutional Customers that_purchase or sell BXY TRAKRS futures, maintained in a futures account.
shall be subject to normal variation margin procedures.



Ms. Eileen Donovan
September 20, 2006
Page 17 of 42

37401.H. Daily Amortizing Expense Factor Payment

[No Changes]

37402. FUTURES CALL

37402.A. Schedule

The Exchange shall list a single contract month in PIMCO [CER] CRR TRAKRS futures. The final
settlement date shall be June 29, 2011. Futures contracts shall be scheduled for trading during such hours
as may be determined by the Board of Directors.

37402.B. Trading Unit

PIMCO [GER] CRR TRAKRS futures shall be based upon the value of $1 times the PIMCO
CommodityRealReturn TRAKRS Index (“the Index”).

37402.C. Minimum Increments
Bids and offers shall be quoted in terms of the PIMCO [GER] CRR TRAKRS Index. The minimum

fluctuation of the futures contract shall be 0.0] index point, equivalent to $0.01 per TRAKRS futures
contract.

37402.D. Position Limits

[No Changes]

37402.E. Accumulation of Positions
[No Changes]

37402.F. Exemptions

[No Changes]

37402.G. Termination of Trading
[No Changes]

37402.H. Contract Modifications
[No Changes]

37402.1.-J. [Reserved]


Ms. Eileen Donovan
September 20, 2006
Page 3 of 42

The Exchange certifies that this action neither violates nor is inconsistent with any
portion of the Commodity Exchange Act or of the rules thereunder. The Exchange intends to
make these amendments effective as of September 25, 2006.

Please do not hesitate to contact me at 312-466-7469 or jlab@cme.com if any questions
arise during the processing of this submission. Please reference our CME Submission #06-81 on
all future correspondence for this submission.

Sincerely,

John W. Labuszewski, Managing Director
Research & Product Development

CC: Mr. Thomas Leahy, CFTC Division of Trading and Markets


Ms. Eileen Donovan
September 20, 2006
Page 38 of 42

37403.D. Early Termination

If the value of the Index should at any time equal zero or less, trading in PIMCO CRR TRAKRS futures
shall be discontinued and all outstanding contracts shall be settled in cash at a value of zero ($0.00) per
contract.

37404. FLOW OF FUNDS
37404.A. Customers

[No Changes]

37404.B. Qualified Intermediaries

Institutional and Non-Institutional Customers may place Long-Short Technology TRAKRS Index futures
orders with (1) an Associated Person (“AP”) of a registered Introducing Broker (“IB”) or Futures
Commission Merchant (“FCM”), such resulting positions to be maintained in a futures account; or (2) a
Registered Representative (“RR”) of a securities Broker-Dealer (“BD”) that is notice registered with the
National Futures Association (“NFA”) as a limited-purpose FCM (“LP/FCM”) or an entity that is dually
registered as a BD and FCM (“BD/FCM”), such resulting positions to be maintained in a securities
account.

37404.C. Interest Rate Pass-Through

Each trading day after the determination of the daily Settlement Price, each clearing FCM that maintains
long PIMCO CRR TRAKRS positions will be required to pay the CME Clearing House (based on the
amount of long PIMCO CRR TRAKRS the clearing FCM maintains multiplied by the PIMCO CRR
TRAKRS Settlement Price) a daily market rate of interest equal to the Federal Funds Effective Rate less
the Spread. The CME Clearing House in turn will pay each clearing FCM that maintains short PIMCO
CRR TRAKRS positions (based on the amount of short PIMCO CRR TRAKRS the clearing FCM
maintains multiplied by the PIMCO CRR TRAKRS Settlement Price), a daily market rate of interest
equal to the Federal Funds Effective Rate less the sum of the Spread and the TRAKRS Platform Fees.

If, on any day, the Federal Funds Effective Rate is less than the sum of the TRAKRS Platform Fees and
the Spread, then each clearing FCM that maintains short PIMCO CRR TRAKRS positions will be
required to pay to the CME Clearing House (based on the amount of short PIMCO CRR TRAKRS the
clearing FCM maintains multiplied by the PIMCO CRR TRAKRS Settlement Price) a daily market rate
of interest equal to the sum of the TRAKRS Platform Fees and the Spread less the Federal Funds
Effective Rate. If the Federal Funds Effective Rate is less than the Spread, the CME Clearing House in
turn will pay each clearing FCM that maintains long PIMCO CRR TRAKRS positions (based on the
amount of long PIMCO CRR TRAKRS the clearing FCM maintains multiplied by the PIMCO CRR
TRAKRS Settlement Price) a daily market rate of interest equal to the Spread less the Federal Funds
Effective Rate.


Ms. Eileen Donovan
September 20, 2006
Page 26 of 42

In addition, an Amortizing Spread may be applied during the 30-day period beginning on the Initial
Opening Date of a contract month or tranche. The Amortizing Spread on a daily basis shall be calculated
as the Amortizing Spread Rate for such contract month or tranche as shown in the table below, divided by
30, applied to a value of $25.

Amortizing
Contract Month or Tranche Spread Spread Rate
1 Tranche 1.50% 0%
2TM Tranche (“Long-Short Technology TRAKRS II”) [_ 1.10% 3.00%

36404.D. Performance Bond

Non-Institutional Customers purchasing Long-Short Technology TRAKRS Index futures contracts,
maintained in a futures account or a securities account, shall deposit 100% of the purchase price with their
long clearing member. Non-Institutional Customers selling Long-Short Technology TRAKRS Index
futures contracts, maintained in a futures account or a securities account, shall deposit 50% of the sale
price with their short clearing member.

Institutional Customers purchasing Long-Short Technology TRAKRS Index futures contracts, maintained
in a securities account, shall deposit 100% of the purchase price with their long clearing member.
Institutional Customers selling Long-Short Technology TRAKRS Index futures contracts, maintained in a
securities account, shall deposit 50% of the sale price with their short clearing member.

Institutional Customers purchasing or selling Long-Short Technology TRAKRS Index futures contracts,
maintained in a futures account, shall be subject to the performance bond requirements established by the
Exchange and their FCMs.

36404.E, Settlement Variation

Non-Institutional Customers that purchase Long-Short Technology TRAKRS Index futures, maintained
in a futures account or a securities account, shall not be subject to variation margin procedures nor shall
they pay or collect settlement variations with respect to their Long-Short Technology TRAKRS Index
futures positions.

Non-Institutional Customers that sell Long-Short Technology TRAKRS Index futures, maintained in a
futures account or a securities account, shall be subject to variation margin pay and collect requirements
per the following conditions. If the settlement price advances such that a Non-Institutional Customer’s
performance bond is less than 30% of the current Long-Short Technology TRAKRS Index futures
contract value, the Non-Institutional Customer shall be required to make a variation margin payment to
restore the performance bond to 50% of the current Long-Short Technology TRAKRS Index futures
contract value. If the settlement price declines such that a Non-Institutional Customer’s performance
bond is greater than 70% of the current Long-Short Technology TRAKRS Index futures contract value,
the Non-Institutional Customer shall be entitled to collect a variation margin payment to restore the
performance bond to 50% of the current Long-Short Technology TRAKRS Index futures contract value.


Ms. Eileen Donovan
September 20, 2006

Page 2 of 42

Accordingly, these amendments provide Institutional Customers with flexibility of
executing TRAKRS trades through notice-registered RRs, maintaining the resulting positions in

a securities account.

Per the Prior Letter of July 11, 2001, Institutional Customers were

required to execute only through APs of IBs or FCMs, maintaining positions in futures
accounts. Per the Prior Letter, Non-Institutional Customers had enjoyed the flexibility of
executing through APs or notice-registered RRs, subsequently maintining positions in either
futures accounts or securities accounts, respectively.

Note that Institutional Customer positions held in securities accounts are subject to
100%/50% margin requirements for longs and shorts, respectively; and are excluded from
interest-rate pass through provisions. Institutional positions maintained in futures accounts are
subject to normal margin requirements and are subject to the provisions of the interest rate pass-
through provision. Finally, note that Non-Institutional Customer positions, whether maintained
in a futures account or a securities account, are subject to 100%/50% margin requirements for
longs and shorts, respectively; and are excluded from interest rate pass-through provisions.

TRAKRS Flow-of-Funds Summary

Positions

Initial Performance

Subject to Interest

Customer Type Execution thru Maintained in| Bond Requirements | Rate Pass-Through?
APs of IBs or FCMs | Futures Account | Normal Performance Yes
ssitut Bond Requirements
nsitutional Notice Registered
Customers RRs of Notice-_| Securities Account | 10076 for Longs: 50% No
Registered BD/FCMs for Shorts
5 aD
APs of IBs or FCMs | Futures Account | 100% for Longs: 50% No
Non-Institutional | rice: Registered a
Cust | y 509
ustomers RRs of Notice- Securities Account | 100% for Longs; 50% No
for Shorts

Registered BD/FCMs

We have also incorporated some technical amendments to correct some erroneous
references in the text of the Rule language. A marked and a clean copy of these amendments
are provided below.


Ms. Eileen Donovan
September 20, 2006
Page 34 of 42

Non-Institutional Customers that sell BXY TRAKRS futures, maintained in a futures account or a
securities account, shall be subject to variation margin pay and collect requirements per the following
conditions. If the settlement price advances such that a Non-Institutional Customer’s performance bond
is less than 30% of the current BXY TRAKRS futures contract value, the Non-Institutional Customer
shall be required to make a variation margin payment to restore the performance bond to 50% of the
current BXY TRAKRS futures contract value. If the settlement price declines such that a Non-
Institutional Customer’s performance bond is greater than 70% of the current BXY TRAKRS futures
contract value, the Non-Institutional Customer shall be entitled to collect a variation margin payment to
restore the performance bond to 50% of the current BXY TRAKRS futures contract value.

Institutional Customers that purchase BXY TRAKRS futures, maintained in a securities account, shall not
be subject to variation margin procedures nor shall they pay or collect settlement variations with respect
to their BXY TRAKRS futures positions.

Institutional Customers that sell BXY TRAKRS futures, maintained in a securities account, shall be
subject to variation margin pay and collect requirements per the following conditions. If the settlement
price advances such that an Institutional Customer’s performance bond is less than 30% of the current
BXY TRAKRS futures contract value, the Institutional Customer shall be required to make a variation
margin payment to restore the performance bond to 50% of the current LMC I] TRAKRS futures contract
value. If the settlement price declines such that a Institutional Customer’s performance bond is greater
than 70% of the current BXY TRAKRS futures contract value, the Institutional Customer shall be entitled
to collect a variation margin payment to restore the performance bond to 50% of the current BXY
TRAKRS futures contract value.

Institutional Customers that purchase or sell BXY TRAKRS futures, maintained in a futures account,
shall be subject to normal variation margin procedures.


Ms. Eileen Donovan
September 20, 2006
Page 29 of 42

36704.E, Performance Bond

Non-Institutional Customers purchasing Rogers TRAKRS futures contracts, maintained in a futures
account or a securities account, shall deposit 100% of the purchase price with their long clearing member.
Non-Institutional Customers selling Rogers TRAKRS futures contracts, maintained in a futures account
or a securities account, shall deposit 50% of the sale price with their short clearing member.

Institutional Customers purchasing Rogers TRAKRS Index futures contracts, maintained in a securities
account. shall deposit 100% of the purchase price with their long clearing member. _ Institutional
Customers selling Rogers TRAKRS Index futures contracts, maintained in a securities account, shall
deposit 50% of the sale price with their short clearing member.

Institutional Customers purchasing or selling Rogers TRAKRS futures contracts, maintained in a futures
account, shall be subject to the performance bond requirements established by the Exchange and their
FCMs.

36704.F, Settlement Variation

Non-Institutional Customers that purchase Rogers TRAKRS futures, maintained in a futures account or a
securities account, shall not be subject to variation margin procedures nor shall they pay or collect
settlement variations with respect to their Rogers TRAKRS futures positions.

Non-Institutional Customers that sell Rogers TRAKRS futures, maintained in a futures account or a
securities account, shall be subject to variation margin pay and collect requirements per the following
conditions. If the settlement price advances such that a Non-Institutional Customer’s performance bond
is less than 30% of the current Rogers TRAKRS futures contract value, the Non-Institutional Customer
shall be required to make a variation margin payment to restore the performance bond to 50% of the
current Rogers TRAKRS futures contract value. If the settlement price declines such that a Non-
Institutional Customer’s performance bond is greater than 70% of the current Rogers TRAKRS futures
contract value, the Non-Institutional Customer shall be entitled to collect a variation margin payment to
restore the performance bond to 50% of the current Rogers TRAKRS futures contract value.

Institutional Customers that purchase Rogers TRAKRS futures, maintained in a securities account, shall
not be subject to variation margin procedures nor shall they pay or collect settlement variations with
respect to their Rogers TRAKRS futures positions.

Institutional Customers that sell Rogers TRAKRS futures, maintained in a securities account, shall be
subject to variation margin pay and collect requirements per the following conditions. If the settlement
price advances such that an Institutional Customer’s performance bond is less than 30% of the current
Rogers TRAKRS futures contract value, the Institutional Customer shall be required to make a variation
margin payment to restore the performance bond to 50% of the current Rogers TRAKRS futures contract
value. If the settlement price declines such that a Institutional Customer’s performance bond is greater
than 70% of the current Rogers TRAKRS futures contract value, the Institutional Customer shall be
entitled to collect a variation margin payment to restore the performance bond to 50% of the current
Rogers TRAKRS futures contract value.

Institutional Customers that purchase or sell Rogers TRAKRS futures, maintained in a futures account,
shall be subject to normal variation margin procedures.


Ms. Eileen Donovan
September 20, 2006
Page 13 of 42

CHAPTER 370: BXYTM TRAKRSTM FUTURES
37004. FLOW OF FUNDS.
37004.A. Customers
[No Changes]

37004.B. Qualified Intermediaries

Introducing Broker-(IB2)-a-Fut ral ission Merchant (“FEM”): ities Broker-_Dealer4{{BD”)
S CAB}; 6 € ca + >

that i istered—with_the-National_Fur Association (NFAY) limited. FCM

8} € 78s Purp

CL PAECM”)- tity-thatis-duall istered BD-and FCM-+{(“BD&FCM” and tesetherwith

€ FOF; YY x € > eB

LP/FCM,“BD/ECM")— Similarly institutional_eust ph -ders—for-BXY—FRAKRS
it i “Ape 1B-or-FCM istered tative “RR”)-of-

fut han ted-P. {AR”}-0f - 2 ep £

an : A " ae e

Jnstitutional_Cust y—place—orders—for_BXY—FRAKRS fut
LP/ECMs—and-RR/AP: y_not-selicit pt BXY—FRAKRS fut
Customers:]

Institutional and Non-Institutional Customers may place Long-Short Technology TRAKRS Index futures
orders with (1) an Associated Person (“AP”) of a registered Introducing Broker (“IB”) or Futures
Commission Merchant (“FCM”), such resulting positions to be maintained in a futures account; or (2) a
Registered Representative (“RR”) of a securities Broker-Dealer (“BD”) that is notice registered with the
National Futures Association (“NFA”) as a limited-purpose FCM (“LP/FCM”) or an entity that is dually
registered as_a BD and FCM (“BD/FCM”), such resulting positions to be maintained in a securities
account.

37004.C. Interest Rate Pass-Through

Each trading day after the determination of the daily Settlement Price, each clearing member that
maintains long BXY TRAKRS positions will be required to pay the CME Clearing House (based on the
amount of long BXY TRAKRS the clearing member maintains multiplied by the BKY TRAKRS
Settlement Price) a daily pro rata market rate of interest equal to the Federal Funds Effective Rate less the
Spread. The CME Clearing House in turn will pay each clearing member that maintains short BXY
TRAKRS positions (based on the amount of short BXY TRAKRS the clearing member maintains
multiplied by the BXY TRAKRS Settlement Price), a daily pro rata market rate of interest equal to the
Federal Funds Effective Rate less the sum of the Spread and the TRAKRS Platform Fees.

If, on any day, the Federal Funds Effective Rate is less than the Spread, then each clearing member that
maintains short BXY TRAKRS positions will be required to pay to the CME Clearing House (based on
the amount of short BXY TRAKRS the clearing member maintains multiplied by the BXY TRAKRS
Settlement Price) a daily pro rata market rate of interest equal to the Spread less the Federal Funds
Effective Rate. The CME Clearing House in turn will pay each clearing member that maintains long BXY
TRAKRS positions (based on the amount of long BXY TRAKRS the clearing member maintains
multiplied by the BXY TRAKRS Settlement Price) a daily pro rata market rate of interest equal to the
Spread less the sum of the Federal Funds Effective Rate and the TRAKRS Platform Fees.


Ms. Eileen Donovan
September 20, 2006
Page 16 of 42

CHAPTER 374: PIMCO®CommodityRealReturnTM DJ-AIGCITM TRAKRSTM
37400. SCOPE OF CHAPTER

This chapter is limited in application to trading in PIMCO®CommodityRealRetunTM DJ-AIGCI
TRAKRSTM (“PIMCO [GER] CRR TRAKRS”). The procedures for trading, clearing, settlement, and
any other matters not specifically covered herein shall be governed by the rules of the Exchange.

37401. COMMODITY SPECIFICATIONS
37401.A. Contract Value

PIMCO [GER] CRR TRAKRS futures shall be based upon the value of $1 times the PIMCO
CommodityRealReturn DJ-AIGC] TRAKRS Index (“the Index”). The Index, at any given time other
than during the Initial Multiplier Determination Period, will equal the product of the value of the PIMCO
CommodityRealReturn DJ-AIGCI Master Index (the “PIMCO Master Index”) and the Multiplier, plus the
Amortizing Expense Factor.

The PIMCO Master Index is a total return index that represents the performance of a portfolio with a
target allocation of 100% notional exposure to the Dow Jones-AIG Commodity Index® (the “DJ-AIGCI”)
and an equivalent target allocation to a hypothetical investment in the PIMCO Real Return Collateral
IndexTM. The PIMCO Real Return Collateral Index is an index that represents the performance of one or
more qualified separate accounts actively managed by PIMCO (the “PIMCO Separately Managed
Accounts” or “Accounts”). The PIMCO Separately Managed Accounts will consist primarily of
inflation-indexed Exempt Securities and certain other financial instruments and will be subject to certain
fees and expenses.

37401.B. Initial Index Value

On the Business Day prior to the first full day of trading of PIMCO [CGR] CRR TRAKRS, the value of
the Index shall be set at 25.00.

37401.C. Calculation of the Index Value

[No Changes]

37401.D. Multiplier

[No Changes]

37401.E. Index Expense Factor

[No Changes]

37401.F. Collateral Index Fee

[No Changes]

37401.G, Amortizing Expense Factor

[No Changes]