The December 2006 Two and Five Year Treasury Note futures contracts will expire on December 29, 2006.  The settlement price in these contracts will be determined based upon the prices traded on e-cbot® from 12:00:00 noon to 12:01:00 p.m.

Please note that although the other pit-traded Two and Five Year contract months will cease trading at 12:00 noon on December 29, 2006, the December 2006 contracts will be open until 12:01 p.m.  The Modified Closing Call (MCC) for all other Two and Five Year contract months will take place from 12:08 p.m. to 12:10 p.m., while the MCC for the expiring December 2006 contracts will take place from 12:09 p.m. to 12:11 p.m.  On the e-cbot platform, the other Two and Five Year Note contract months will cease trading at 1:00 p.m.

Should you have any questions regarding this information, please contact Jennifer Baum (312-341-3124) or Shelly Goodwin (312-347-4123) of the Office of Investigations and Audits.