This Advisory clarifies the limitations on pre-execution discussions involving CME Eurodollar options and CME Euroyen options (hereinafter “ED and EY options”) and CME Eurodollar options/futures combinations (“combinations”) and the requirements for entering such orders into CME Globex. CME allows parties to engage in pre-execution discussions with regard to CME Globex ED and EY options and combination transactions only under the following circumstances:

1. Prior to engaging in the solicitation of a bid or offer through private discussion, a market participant must issue a Request for Quote (“RFQ”) to the marketplace; and
2. Subsequent to the RFQ, a market participant may enter the buy and sell orders only through the submission of a Request for Cross (“RFC”) ticket. The RFC must be entered within 15 minutes of, and within the same trading session as, the submission of the RFQ.

RFC matching rules are dependent upon whether or not the price of the RFC improves upon the existing best bid and offer in that particular instrument as illustrated in the following two examples:

Scenario 1: The RFC price improves upon the best bid and offer in the order book:

1. 50% of the RFC quantity will match at the RFC price 15 seconds after submission of the RFC;
2. The price will immediately print and all market participants will have 10 seconds thereafter to trade opposite either side of the remaining 50% of the RFC quantity; and
3. After those 10 seconds, any match-eligible quantity remaining on both sides of the RFC will be matched. Depending on the order instructions entered via the RFC, any remaining unmatched balance on one side of the RFC will either be cancelled or will remain in the order book.

Scenario 2: The RFC price matches the best bid or offer at the time of submission:

1. At the time of submission the market is alerted that an RFC has been entered. All market participants have 15 seconds in which to submit orders;
2. At the end of those 15 seconds, any orders in the market at a price that satisfies the RFC price will immediately match against the applicable side of the RFC;
3. Immediately thereafter, 60% of the remaining match-eligible quantity on the RFC will be matched and the trade price will be disseminated to the marketplace;
4. If there is any remaining quantity on either side of the RFC ticket, all market participants will have 10 seconds within which to participate in the trade; and
5. At the end of that 10-second period, any remaining quantity on the RFC will be matched opposite any corresponding orders from market participants. Depending on the order instructions entered via the RFC, any remaining unmatched balance on one side of the RFC will either be cancelled or will remain in the order book.

Please note that the pre-execution discussion rules described above constitute the only acceptable method for a market participant who has solicited both the buy and sell sides of a ED or EY options or a combination order to enter that trade into CME Globex. Market participants may not engage in any pre-execution discussions regarding these products prior to entering an RFQ. Accordingly, parties may no longer enter one side of the order into CME Globex, wait fifteen seconds and subsequently enter the opposing order. Failure to follow the RFQ/RFC provisions for the entry of these orders would constitute a violation of CME Rule 539.C. (“Prearranged, Pre-Negotiated and Noncompetitive Trades Prohibited – Pre-Execution Discussions Regarding Globex Trades”).

For more detailed information regarding the pre-execution discussion rules on CME Globex, please refer to CME Regulatory Advisory RA-07-01, also dated April 25, 2007.

Questions concerning CME Rule 539 should be directed to Kathleen M. Zaino, Associate Director, Market Regulation, at 312/930.2341, Timothy McDermott, Director and Compliance Counsel, at 312/648.5433, or Robert A. Sniegowski, Associate Director, Market Regulation, at 312/648.5493.