cme @

Chicago Mercantile Exchange

20 South Wacker Drive

312/930.1000 tel
Chicago, IL 60606-7499 312/466.4410 fax
www.cme.com
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May 26, 2006 =A
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Ms. Eileen Donovan is

Office of the Secretariat

Commodity Futures Trading Commission
Three Lafayette Centre

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1155 21" Street, NW Ee
Washington DC 20581 2
RE:

Section 5c(c)1 and Regulation 40.6 Submission. Exchange Certification of Amendments
to CME Rule 588.C. CME Submission #06-49.

Dear Ms. Webb:

On May 24, 2006, Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) approved
amendments to CME Rule 588.C. The purpose of these amendments is to simplify the rule

language without affecting the actual process by which trade prices for products listed on CME®
Globex® may be adjusted or cancelled.

The amendments are presented below, with additions underscored and deletions bracketed and
overstruck:

588.C. Trade Price Adjustment and Cancellation Process

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

established in open outcry trading, theoretical value of an option based on the current (most recent) implied
volatility, “RFQs,” and any other factors that the GCC deems relevant.

1. Trade Price Inside the No Bust Range

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

ggAlgoad


Ms. Jean A. Webb
Amendments to Rule 588.C.

May 26, 2006
Page 2
2. Trade Price Outside the No Bust Range
a. Implied-Eligible [Futures] Contracts

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

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

[b-—Ner-tmplied Combination Trades

[e]b.

(End of Rule 588.C.)

All Other Futures and Option Contracts.
If the GCC determines that the trade price is outside the No Bust Range for a non-implied-
eligible contract, the GCC shall bust the trade. The GCC will promptly issue an alert
indicating that trades outside the No Bust Range have been busted.

Notwithstanding the above, trades consummated pursuant to Rule 585 that are

determined by the GCC to be outside the No Bust Range will stand, and a reciprocal trade
negating the original trade will be consummated by means of a “type 8 transfer.”

These changes will be effective on Monday, June 5, 2006, following notification of market

participants.

The Exchange certifies that these amendments comply with the Commodity Exchange Act and

the rules thereunder.

If you have any questions regarding this submission, please contact Mr. Paul Peterson at (312)
930-4587 or via e-mail at ppeterso@cme.com. Please refer to CME Submission #06-49 in all
correspondence regarding this matter.

Sincerely,

ILE

John W. Labuszewski, Managing Director
Research & Product Development