Ms. Eileen Donovan
August 31, 2006
Page 5 of 6
Appendix 3

Selected Statistics from the Bank for International Settlements (BIS) Triennial Central Bank Survey, Published March 2005
“Foreign exchange and derivatives market activity in 2004"

Geographical distribution of reported foreign exchange market {total} turnover (Daily averages in April, in billions of US dollars and per cent)
20048

1998 2001
Country — Amount % share Amount % share Amount % share
Russia T 04 10 06 0 12

SOURCE: BIS Triennial Central Bank Survey. March 2005, page 12

Spot foreign exchange turnover net of local inter-dealer double-counting by country in April 1998, 2004 and 2004
Daily averages. in billions of US dollars

Country 1996 = 2001. = 2004

Russia 6 9 24

SOURCE: BIS Triennial Central Bank Survey. March 2006, page 73



Ms. Eileen Donovan

August 31, 2006
Page 4 of 6
Appendix 2
CHAPTER 260
Russian Ruble Futures
Rule 26000 is unchanged.
26001. | FUTURES CALL
Rules 26001.A. through 26001C. are unchanged.
26001D. Position Limits

260018.

26001F.

260A01.

260A01E.

260A01F.

260A01G.

A person shall not own or control more than 10,000 contracts net long or net short in all contract months combined except that in no
event shall he own or control more than 2,000 contracts in the lead month on or after the day one week prior to the termination of
trading day. For positions involving options on the CME Russian ruble currency futures, this rule is superseded by the option
speculative position limit rule.

Accumulation of Positions

For purposes of this rule, the positions of all accounts directly or indirectly owned or controlled by a person or persons, and the
positions of all accounts of a person or persons acting pursuant to an expressed or implied agreement or understanding, and the
positions of all accounts in which a person or persons have a proprietary or beneficial interest, shall be cumulated.

Exemptions

‘The foregoing position limits shall not apply to bona fide hedge positions meeting the requirements of Regulation 1.3(z\1) of the
CFTC and the rules of the Exchange, and shall not apply to other positions exempted pursuant to Rule $43.

CHAPTER 260A
Options on Russian Ruble Futures

Rule 260A00 is unchanged.
OPTION CHARACTERISTICS

Rules 260A01.A. through 260A01D. are unchanged.

Position Limits
No person shall own or control a combination of Russian ruble options and underlying futures contracts that exceeds 10,000 futures-
equivalent contracts net on the same side of the market in all contract months combined. In addition, no person shall own or control a
combination of options and underlying futures contracts that exceeds 2,000 futures-equivalent contracts in the lead month on or after
the day one week prior to the underlying futures termination of trading day.

For the purpose of this rule, the futures equivalent of an option contract is | times the previous business day's JOM risk factor for the
option series. Also for purposes of this rule, a long call option, a short put option and a long underlying futures contract are on the
same side of the market; similarly, a short call option, a long put option and a short underlying futures contract are’on the same side of
the market

Accumulation of Positions

For the purposes of this rule, the positions of all accounts directly or indirectly owned or controlled by a person or persons, and the
positions of all accounts of a person or persons acting pursuant to an expressed or implied agreement or understanding, and the
positions of all accounts in which a person or persons have a proprietary or beneficial interest, shall be cumulated.

Exemptions

The foregoing position limits shall not apply to commercially appropriate risk reducing option positions defined in accordance with

Regulation 1.3(2)(1) of the CFTC and meeting the requirements of Rule 543 and shall not apply to other option positions exempted
pursuant to Rule 543.


Ms. Eileen Donovan
August 31, 2006
Page 6 of 6
Appendix 4

HIICEX DotlariRuble TOM Amounts Bid and Offered at 1-Minute Snapshots between 12:00 Noon & 12:30 PM Moscow Time
{Sample Dates Indicated) (In Millions of USD)

TIME 9/15/2005 42/18/2005, 3/18/2006 6/18/2006
AMT. BID AMT. OFFER AMT. BID AMT. OFFER AldT. BID AMT. OFFER AMT, BID AMT. OFFER

03-00-00 0.220 2.000 0.050 3.500 0.430 0.050 0.153 3.600
03:01:00 47.000 2.000 0.060 1.500 2.430 0.040, 0.075 2.000
03°02.00 0.025 10980 4,000 0.800 3.430 2.000 0.076 0.700
03.03.00 0.210 3975 0.340 2.000 3.430 2.000 10.000 4.408
03-04:00 0.200 0.235 2.000 4.300 0.050 0.800, 10.000 0.050
03:06:00 0.500 4696 1,000 0.950 0.050 5.000 6.000 17.700
03:06:00 0.200 4.500 2.500 4.800 0.050 5.000 2.000 17.700
03:07.00 2.600 2.000 2.850 4.000 0.050 0.840 0.600 5.000
03:08:00 5,000 1,000 0600 = 1.000 0.050. 1.000 0.200. 0,300
03:09:00 0.350 1.000 0.500 1.000, 0.050 0.534 1,500 9.900
03:10:00 2475 0.970 1.000 1.000 0.050. 0.534 9.000 9.900
03:11:00 0.800 4.500 1.000 1.000 0.050 0.534 2.000 9.900
03:12:00 0810 4300 0.500 1.000 0.472 . 0.050 20.000 1.720
03:13:00 3.372 1652 0.500 1.209 0.472 0.500 20.000 10.700
03-14-00 3272 0.300 0.500 1,000 0.472 0.500 0.600 40.200
03 1 00 3272 0500 0.010, §2.490 0.050 0.050 6.280 10.200
03 16-00 0350 1.000 0010 62 350 0.050 0.050 6.250 10.200
03-17 00 6549 1000 1.020 17.290 0.472 4.950 1.255 10.180
03:18:00 0.010 0.010 0.200 2.000 1930 1.801 0 255 10 180
03 19.00 0510 0010 0 200 17.290 0.660 1.801 0.255 40 180
03-2000 0.510 0.010 4.020 4.000 1,480 0500 0.255 47-700
93 21.00 3.510 0010 1.000 2.000 4.900 0.500, 4506 3.745
03.22 00 3.180 0.010 5 500 2.000 4,900 0.600 4.506 17.700
3:23.00 0.180 0.010 5.500 5.000 0.500 0.500 1.506 17.700
03:24.00 0.500 0010 0.300 1.000 0.500 9.300 1.000 17.700
03 26 00 0500 0010 5 356 1.000 1.000 27 850 1.506 17.700
03.26.00 0.180 0.010 0.800 9.000 0.050 27.880 1.506 16.700
03:27:00 0.180 0.010 0.100 40.000 0.050 48.200 1.506 16.700
03:28:00 4.760 0.010 0.800 8.650 1.080 5.000 2.300 16.700
03:29:00 0.600 0.010 0.126 10.000 0.500 9.980 0.338, 16.700
03:30:00 0.500 0.010 0.350 132.500 0.500 9.270 2.300 4.662
Total 38.125 46.737 39.582 346.329 23.788 164.184 111.627 315.325
Average 1875 1.508 4.217 14172767? = 8.298 3.601 10.172

SOURCES: Reuters “SELT’ page and CME Financial Research Department


cmesé

Chicago Mercantile Exchange

20 South Wacker Drive 312/930.1000 tel
Chicago, IL 60606-7499 312/466.4410 fax
www.cme.com

August 31, 2006

Ms. Eileen Donovan

Office of the Secretariat

Commodity Futures Trading Commission
Three Lafayette Centre

1155 21st Street, NW

Washington, DC 20581

RE: Section 5c(c) and Regulation §40.6(a) Submission, Exchange Certification for Amend
CME Rule 26001D. and CME Rule 260A01E.
for CME Russian Ruble Futures and Options Contracts.
CME Submission 06-75.

Dear Ms. Donovan:

Chicago Mercantile Exchange Inc. (““CME” or “Exchange”) hereby certifies with the Commission
amendments to increase the spot week CME Russian Ruble futures and options position limits and
remove the individual contract month position limit. The Exchange certifies that these amendments to the
futures and options contracts comply with the Act and rules thereunder.

CME Russian ruble futures and options contracts have had a “spot week” position limit of 750
contracts since they were first listed for trading in April 1998. However, according to the Bank for
International Settlements (BIS) Triennial Foreign Exchange (FX) Turnover Surveys, the average daily
spot Russian ruble volume increased four-fold from 6 billion U.S. dollars in April 1998 to 24 billion U.S.
dollars in April 2004 (see Appendix 3). Currently, average daily volume year to date in CME Russian
tuble futures increased to 356 contracts and open interest is at record levels, 14,051 contracts as of
Tuesday, August 29, 2006, with 3,321 contracts in the September 2006 contract month, which will
become the “spot week” contract month on Friday, September 8, 2006.

Therefore, CME is increasing spot month position limits to 2,000 contracts (a 2.7-fold increase)
in the “spot week” given the relatively larger increase in the size of the underlying spot ruble market. In
addition to the increase of the spot month limit to 2,000 contracts on the week before termination, the
Exchange is eliminating the 6,000 contract month specific position limit but retaining the 10,000 across-
all-contract-months-combined CME Russian ruble position limits.

Appendix 4 provides data showing the MICEX Dollar/Ruble TOM amounts bid and offered at 1-
minute snapshots between 12:00 Noon and 12:30 PM Moscow time (between 3:00 AM and 3:30 AM
Chicago time) on the days the CME Russian ruble futures and options contract terminate trading (15TM
calendar day of the contract month).


Ms. Eileen Donovan
August 31, 2006
Page 2 of 6

Appendix 1 presents rule amendments with additions underlined and deletions bracketed and
overstruck. Appendix 2 displays a clean copy of the rule amendments.

CME will implement the amended CME Russian ruble futures and options contract position
limits on Friday, September 8, 2006. Members/shareholders will be notified of these amendments in the
next CME Update dated September 5, 2006.

If you require any additional information, please do not hesitate to contact Steven Youngren at
312-930-4583 or via e-mail at syoungre@cme.com or Lori Aldinger at 312-930-2337 or via e-mail at
laldinge@eme.com. Please reference our CME Submission 06-75 on all future correspondence regarding
this notification.

Sincerely,

j

John W. Labuszewski
Managing Director, Research & Product Development

Attachments


Ms. Eileen Donovan
August 31, 2006

Page 3 of 6
Appendix 1
CHAPTER 260
Russian Ruble Futures
Rule 26000 is unchanged.
26001. FUTURES CALL
Rules 26001.A. through 26001C. are unchanged.
26001D. Position Limits

26001E.

26001F.

260A01.

260A01E.

260A01F.

260A01G."

A person shall not own or control more than [6,000 P hor rh han] 10,000
contracts net long or net short in all contract months combined except that in no event shall he own or control more than [759] 2,000
contracts in the lead month on or after the day one week prior to the termination of trading day. For positions involving options on the
CME Russian ruble currency futures, this rule is superseded by the option speculative position limit rule.

Accumulation of Positions
For purposes of this rule, the positions of all accounts directly or indirectly owned or controlled by a person or persons, and the

positions of all accounts of a person or persons acting pursuant to an expressed or implied agreement or understanding, and the
positions of all accounts in which a person or persons have a proprietary or beneficial interest, shall be curmulated.

Exemptions

The foregoing position limits shall not apply to bona fide hedge positions meeting the requirements of Regulation 1.3(z)(1) of the
CFTC and the rules of the Exchange, and shall not apply to other positions exempted pursuant to Rule 543.

CHAPTER 260A
Options on Russian Ruble Futures

Rule 260A00 is unchanged.
OPTION CHARACTERISTICS

Rules 260A01.A. through 260A01D. are unchanged.

Position Limits |and- Accountability]

No person shall own or control a combination of Russian ruble options and underlying futures contracts that exceeds (6,000-futares-

Hh ide-of th k the ds} 10,000 futures-equivalent contracts net on
the same side of the market in all contract months combined. In addition, no person shall own or control a combination of options and
underlying futures contracts that exceeds [759] 2,000 futures-equivalent contracts in the lead month on or after the day one week prior
to the underlying futures termination of trading day.

For the purpose of this rule, the futures equivalent of an option contract is | times the previous business day's IOM risk factor for the
option series. Also for purposes of this rule, a long call option, a short put option and a long underlying futures contract are on the
same side of the market; similarly, a short call option, a long put option and a short underlying futures contract are on the same side of
the market.

Accumulation of Positions

For the purposes of this rule, the positions of all accounts directly or indirectly owned or controlled by a person or persons, and the
positions of all accounts of a person or persons acting pursuant to an expressed or implied agreement or understanding, and the
positions of all accounts in which a person or persons have a proprietary or beneficial interest, shall be cumulated.

Exemptions

The foregoing position limits shall not apply to commercially appropriate risk reducing option positions defined in accordance with

Regulation 1.3(z)(1) of the CFTC and meeting the requirements of Rule 543 and shall not apply to other option positions exempted
pursuant to Rule 543.