On Sunday, July 9, 2006 (trade date Monday, July 10), CME will list Covered CME Eurodollar options on futures (Covereds), which is the first phase of CME’s User-Defined Spreads (UDS) initiative, and the model for future UDS functionality.

Covered CME Eurodollar options are unique CME Eurodollar option instruments created by combining a CME-defined outright option or option spread with one or two underlying CME Eurodollar futures. For instance, a trader may create an instrument where the CME Eurodollar option M6 Call 96.50 (Δ = 0.30) is covered by the CME Eurodollar future GEM6 96.00.

This release will affect:

• All customers interested in trading Covereds
• All customers and MDDs receiving CME Eurodollar options market data on channel 10 of CME’s Market Data Platform

With this launch, CME will introduce a new RLC Security Definition (MU) market data message for creating Covereds.  This data is currently available in the CME certification environment for testing.  (It is not available in ITC 2.1 format.)

More information on Covereds is available online and in the User-Defined Spreads for CME Eurodollar Options: Covereds Client Impact Assessment.

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

Marilee Radecki                                312.930.8193                        mradecki@cme.com

Kevin Brady                                      312.648.3653                        kbrady@cme.com

Thank you.