Effective 5:10 a.m. Central time, Monday, April 25, 2005, in response to customer feedback, CME will modify the way CME Eurodollar Horizontal options spreads are defined and displayed on the CME Enhanced Options System platform.

CME Eurodollar horizontal spreads will be defined and displayed on the CME Enhanced Options System so that these spreads have a “positive premium bias”.  For example, Horizontal spreads listed currently as SEP 05 – DEC 05 will be displayed as DEC 05 – SEP 05.  As the convention on the CME Enhanced Options System is “buy/sell leg 1 = buy/sell the option spread”, this means that a buy of this spread will now mean the user is buying DEC 05 and selling SEP 05.

In short, the impact to our distributors is that the legs of the spread will be switched on the ITC2 message.

If you have any questions regarding this notice, please contact:

Marilee Radecki          mradecki@cme.com              312.930.8193 

Kevin Brady                 kbrady@cme.com                  312.648.3653

Thank you.