Effective March 17, 2006

The Board of Directors has approved a revised daily settlement price procedure for all CBOT Dow Jones Industrial Average^SM Index futures contracts.  Under the revised procedure, all CBOT Dow futures (mini-sized Dow, $10 Dow, and the upcoming $25 Dow) will be settled daily with reference to mini-sized Dow futures traded on e-cbot^®, rather than with reference to $10 Dow futures.

The Exchange will determine daily settlement prices in mini-sized Dow futures according to the procedure detailed below.  (All times referenced are Chicago times.)

1.         The daily settlement price will be the volume-weighted average price traded on e-cbot from 3:14:00 pm to 3:15:00 pm, rounded to the nearest tradeable tic.  The calculation of the volume-weighted average price for the nearby contract includes the prices of outright trades as well as the leg prices of the nearby contract that are implied by calendar spreads that trade between 3:14:00 pm and 3:15:00 pm.   If the volume-weighted average price is the midpoint between two tradeable tics, then the price will be rounded to the tic closer to the last trade price in the contract occurring between 3:14:00 pm and 3:15:00 pm. 

2.         In the absence of trade in a particular contract month between 3:14:00 pm and 3:15:00 pm, the daily settlement price will be the best bid or best offer in the outright contract at 3:15:00 pm, whichever is closer to the last trade price.

3.         In the absence of (a) trade during the last minute and (b) a bid and/or offer at 3:15:00 pm, the settlement price will be based on the more recent of (a) or (b) occurring prior to 3:15:00 pm.

4.         Notwithstanding the foregoing, if the aforementioned calculations cannot be made or are otherwise determined, in the Exchange’s sole discretion, not to be representative of the fair value of the contract, the Exchange will determine the daily settlement price.  In such a scenario, the Market Operations staff may consult non-conflicted market participants.

Questions regarding this notice should be directed to Brian Wolf, Director of e-cbot Market Operations, at 312-347-5609.

*”Dow Jones^sm, “The Dow^sm”, “Dow Jones Industrial Average^sm”, and “DJIA^SM”, are service marks of Dow Jones & Company, Inc. and have been licensed for use for certain purposes by the Board of Trade of the City of Chicago, Inc. (“CBOT^®”).  The CBOT’s futures and futures options contracts based on the Dow Jones Industrial Average^sm are not sponsored, endorsed, sold or promoted by Dow Jones^sm, and Dow Jones^sm makes no representation regarding the advisability of trading in such product(s).