Chapter 484
RepoFunds Rate (Italy) Futures
48400.

SCOPE OF CHAPTER
This chapter is limited in application to RepoFunds Rate (Italy) Futures (“futures” or “contract”). In
addition to this chapter, the futures shall be subject to the general rules and regulations of theExchange insofar as applicable.
For purposes of this chapter, unless otherwise specified, times referred to herein shall refer to andindicate London time.

48401.

CONTRACT SPECIFICATIONSEach contract is valued at €2,500 times the contract-grade IMM Index (Rule 48402.C.).

48402.

TRADING SPECIFICATIONS
48402.A.
Trading Schedule
Futures contracts shall be scheduled for trading and delivery during such hours and in such months
as may be determined by the Exchange.
48402.B.
Trading Unit
For a contract for a given delivery month, the unit of trading shall be compounded daily RepoFunds
Rate Italy (“RFR Italy”) interest during such contract’s reference period subject to Rule 48403.,
expressed as an interest rate per annum for which (i) such interest rate shall be on the basis of theactual number of days in such delivery reference period, divided by a 360-day year, and (ii) eachbasis point per annum of such interest rate shall be worth €25 per futures contract. RFR Italy shallbe as published by CME Benchmark Administration (“CBA”).
48402.C.
Price Increments
Contract prices shall be quoted in terms of the IMM Index, 100.0000 minus interest rate per annum
correspondent to RFR Italy during the contract delivery month, as specified in Rule 48402.B.
Example: If RFR Italy is 2.0275 percent per annum, it shall be quoted as an IMM Index
value of 97.9725.
The minimum price fluctuation shall be 0.005 Index points, equal to €12.50 per contract, provided
that the minimum price fluctuation shall be 0.0025 Index points, equal to €6.25 per contract, for anycontract month with four months or less until its termination of trading, where the applicable fourmonth interval shall be defined so as to begin on the Business Day following the Friday prior to thethird Wednesday of the fourth month preceding the contract month in which trading in such contract
terminates, provided that the minimum price fluctuation shall be 0.00125 Index points, equal to€3.125 per contract, for any contract month with one month or less until its termination of trading,where the applicable one month interval shall be defined so as to begin on the Business Day
following the Friday prior to the third Wednesday of the first month preceding the contract month inwhich trading in such contract terminates.
48402.D.
Position Limits, Exemptions, Position Accountability and Reportable Levels
The applicable position limits and/or accountability levels, in addition to the reportable levels, areset forth in the Position Limit, Position Accountability and Reportable Level Table in theInterpretations & Special Notices Section of Chapter 5.
A person seeking an exemption from position limits for bona fide commercial purposes shall apply
to the Market Regulation Department on forms provided by the Exchange, and the MarketRegulation Department may grant qualified exemptions in its sole discretion.
Refer to Rule 559 for requirements concerning the aggregation of positions and allowable
exemptions from the specified position limits.
48402.E.
[Reserved]
48402.F.
Special Price Fluctuation Limits
At the commencement of each trading day, the contract shall be subject to special price fluctuation
limits as set forth in Rule 589 and in the Special Price Fluctuation Limits and Daily Price Limits
Table in the Interpretations & Special Notices Section of Chapter 5.

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48402.G.
Termination of Trading
Trading in an expiring contract shall terminate at the close of trading on the TARGET2 business
day immediately preceding the third Wednesday three months forward from the expiring contract
month.
48402.H.

48403.

[Reserved]

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.
48403.A.
Final Settlement Price
1. Definition of Reference Quarter
For a contract for a given delivery month, the Reference Quarter shall be the interval that ends on(and does not include) the third Wednesday of the contract delivery month, and that begins on (andincludes) the third Wednesday of the third calendar month preceding the contract delivery month.
Example: For a hypothetical contract for which the delivery month is March 2022, the contract
Reference Quarter shall start on (and shall include) the third Wednesday of December 2021
(December 15, 2021) and shall end on (and shall not include) the third Wednesday of March 2022
(March 16, 2022).
2. Definition of Final Settlement Price
For a contract for a given delivery month, the Final Settlement Price shall be 100 minus
compounded daily RFR Italy during the contract Reference Quarter, as follows:
Final Settlement Price = 100 - R
whereR =[ Πi=1…n {1+(di /360)*(ri /100)} – 1 ] x (360/D) x 100

n =the number of TARGET2 market business days (“cash business days”)
during such Reference Quarter.
i =is the running variable that indexes each cash business day in such Reference
Quarter,such that i takes the values i = 1,2,…,(n-1),n.
Πi=1…ndenotes the product of the values indexed by the running variable, i = 1,2,…,n.

ri the RFR Italy value corresponding to cash business day i, expressed as an interest rate perannum.
Example: If RFR Italy for the ith cash business day is two and one quarter percent, thenri = 2.25.
di =the number of calendar days to which ri applies. For any calendar day that is not acash business day (eg, weekend days, TARGET2 market holidays), the applicable value shall beRFR Italy for the immediately preceding cash business day.

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Examples: If the ith day is a Monday, a Tuesday, a Wednesday, or a Thursday, and if the next
following calendar day is a cash business day, then di = 1. If the ith day is a Friday, and if the next
following Monday is a cash business day, then di = 3.
D = the number of calendar days in the Reference Quarter: D = Σi=1…n di.

3. Computational Conventions
The value of R determined pursuant to Rule 48403.A.2. shall be rounded to the nearest 1/10,000thof one percent per annum, i.e, the nearest 1/100th of one interest rate basis point per annum, or0.0001 Index points. A tie value, i.e, any such value ending in ending in 0.00005, shall be rounded
away from zero.
Example: A value of 3.14155 percent per annum would be rounded away from zero to 3.1416
percent per annum, and then subtracted from 100.000 to determine a contract final settlement
price of 96.8584 Index points.
48403.B.
Final Settlement
Clearing members holding open positions in a contract at the time of termination of trading in that
contract shall make payment to or receive payment from the Clearing House in accordance withnormal variation performance bond procedures based on a settlement price equal to the final
settlement price.

48404. [RESERVED]© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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