Chapter 300
CME WM/Reuters OTC Spot, Forward and Swap Contracts
300.00. SCOPE OF CHAPTER
This chapter is limited in application to CME WM/Reuters OTC Spot, Forward, and Swap Contracts (“CME WMRContracts”), based on specified currency pairs, cash-settled by reference to WM/Reuters Spot Rates (“WMRRates”)1. Parties to transactions in CME WMR Contracts shall be limited to “eligible contract participants” asdefined in Section 1a(18) of the Commodity Exchange Act.
Transactions in CME WMR Contracts shall also be subject to the general rules of the Exchange insofar asapplicable. The clearing and settlement of transactions in CME WMR Contracts shall also be subject to theprovisions of Chapter 8-F of the CME Rulebook (Over-the-Counter Derivative Clearing).
For purposes of this chapter, unless otherwise specified, times referred to herein shall refer to and indicate
Chicago time.

300.01. CONTRACT SPECIFICATIONS
300.01.A.

Contract Summary

CME WMR Contracts shall be based upon specified currency pairings as cataloged in the Appendix to thisChapter.
The Unit of Trading and Clearing shall be specified in terms of the “clearing-unit currency.”
CME WMR
Contracts shall be based on a Unit of Clearing to a Precision as specified in the Appendix to this Chapter. Theminimum price fluctuation shall be specified in terms of the “minimum-fluctuation currency.” CME WMR
contracts shall be quoted in minimum price fluctuations as specified in the Appendix to this Chapter.
The WMR Rate fixing time shall be as specified in the Appendix to this Chapter.
For purposes of Position Accountability and the application of Position Limits, each CME WMR Contract shall bedeemed to be the notional value contract equivalent as specified in the Appendix to this Chapter.
300.01.B.

Hours for Trading and Clearing Entry

The Exchange shall determine the hours during which CME WMR Contracts may be traded and submitted to theClearing House.
300.01.C.

Valid Value Dates for Cash Settlement

CME WMR Contracts shall be cash settled for any valid value date mutually agreed to by buyer and seller, andaccepted by the Exchange for the applicable currency pair as a valid value date(s) for cash settlement andclearing.
300.01.D.

Delivery Price and Delivery Value

Delivery for CME WMR Contracts assigned pursuant to Chapter 300 shall be by cash settlement according toRule 300.02.
300.01.E.

Position Limits, Exemptions, Position Accountability and Reportable Levels

1The WM/Reuters Spot Rates are provided by The World Markets Company PLC (WM) in conjunction with Reuters and areused for certain currencies (the “Rates”) displayed herein. WM and Reuters shall not be liable for any errors in or delays inproviding or making available the WM/Reuters Spot Rates, nor for any actions taken in reliance on the same. The Rates
cannot be used, reproduced, distributed, redistributed, licensed or disclosed in any way without a written agreement with WM.

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The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth in thePosition Limit, Position Accountability and Reportable Level Table in the Interpretations & Special Notices
Section of Chapter 5.
A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the MarketRegulation Department on forms provided by the Exchange, and the Market Regulation Department may grant
qualified exemptions in its sole discretion.
Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from thespecified position limits.
300.01.F.

Last Day of Trading

The last day on which a transaction in a CME WMR Contract may be traded, in respect of a specified cash
settlement date, shall be one (1) valid Business Day prior to the cash settlement date.
300.01.G.

Liquidation and Delivery Standards(1)
At Maturity. After clearing of CME WMR Contracts in respect of a specified cash settlement date hasceased, in accordance with Rule 300.01.G. of this chapter, outstanding contracts for such cash settlement dateshall be liquidated by cash settlement through procedures as prescribed in Rule 300.02 and in a mannerprescribed by the Clearing House.
(2)
Prior to Maturity. Standard offsets of futures and options on futures shall not apply to positions in CME
WMR Contracts. Prior to the Cash Settlement Date, positions may be closed out upon the request of theclearing firm to the Clearing House, and in the manner prescribed by the Clearing House.
300.01.H.

[Reserved]

300.02.

CASH SETTLEMENT

300.02.A.

Day of Cash Settlement

Each CME WMR Contract, for a valid value date for cash settlement in one Business Day, shall be liquidated bycash settlement at a price equal to the daily Final Settlement Price for that day. The daily Final Settlement Priceshall be equal to the WM/Reuters Spot Rate at the specified fixing time for that day for the specific currency pairin question, rounded to the nearest integral multiple of the minimum price increment as identified per theAppendix to this Chapter.
For select currency pairs as indicated in asterisked footnotes in the Appendix to this Chapter, the Final Settlement
Price shall be calculated using appropriate WM/Reuters Spot Rates for component currency pairs, and the result
shall be rounded to the nearest integral multiple of the minimum price increments (also, “minimum pricefluctuations”) as identified per the Appendix to this Chapter. For example, the Australian dollar / Japanese yen(AUD/JPY) Final Settlement Price shall be calculated by multiplying the Australian dollar (AUD) / U.S. dollar (USD)
Final Settlement Price in units of USD per AUD by the U.S. dollar (USD) / Japanese yen (JPY) Final Settlement
Price in units of JPY per USD and rounding the result to six (6) decimal places.
All open positions for that valid value date for cash settlement will be cash settled in the minimum fluctuation
currency based upon the difference between the Final Settlement Price for the valid value date for cash settlement
and the original trade price as submitted for clearing, times the notional value of the transaction in the clearing unit
currency. In select cases as noted in asterisked footnotes in the Appendix to Chapter 300, the resulting minimum
fluctuation currency amount at final settlement shall be converted into the Unit of Trading and Clearing Currency bydividing by the Final Settlement Prices.
In the event this final payment amount is positive, then the Clearing House shall debit the seller’s clearing
member account and credit the buyer’s clearing member account for this final payment amount. In the event thisfinal payment amount is negative, then the Clearing House shall debit the buyer’s clearing member account andcredit the seller’s clearing member account for this final payment amount.

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300.02.B.

Procedures if No Cash Settlement Price is Available

In the event that the Final Settlement Price for a valid value date for cash settlement cannot be published on agiven day by WM/Reuters, and in order to minimize basis risk, the Final Settlement Price shall be determined as
the next available WM/Reuters Spot Rate for the specific currency pair in question.
300.02.C.

Amendments to Timings

The Exchange may amend the timings of notifications, deliveries, and transfers under this Rule 300.02 to reflect
as appropriate the adoption of daylight savings time in the relevant countries of delivery.

300.03. DISPUTESAll disputes between interested parties may be settled by arbitration as provided in the Rules.
(End Chapter 300)
Appendix to Chapter 300: Contract Specifications

Currency
Pairing
GBP/USD
USD/CAD
USD/JPY
USD/CHF**
AUD/USD
USD/MXNNZD/USD
USD/ZAR
EUR/USD
USD/NOK**
USD/SEK**USD/CZK**USD/HUF**
USD/PLN**
USD/ILS
USD/TRYUSD/DKK**
EUR/GBP**
EUR/JPY**
EUR/CHF
AUD/JPY**
CAD/JPY**
EUR/AUD**
USD/HKD
USD/SGD
USD/THBUSD/JPYEUR/USD
GBP/USD
AUD/USD
USD/CHF**
USD/CADEUR/GBP**

Unit of Trading
and Clearing
1 GBP
1 USD
1 USD
1 USD
1 AUD
1 USD
1 NZD
1 USD
1 EUR
1 USD
1 USD
1 USD
1 USD
1 USD
1 USD
1 USD
1 USD
1 EUR
1 EUR
1 EUR
1 AUD
1 CAD
1 EUR
1 USD
1 USD
1 USD
1 USD
1 EUR
1 GBP
1 AUD
1 USD
1 USD
1 EUR

Precision
0.01 GBP
0.01 USD
0.01 USD
0.01 USD
0.01 AUD
0.01 USD
0.01 NZD
0.01 USD
0.01 EUR
0.01 USD
0.01 USD
0.01 USD
0.01 USD
0.01 USD
0.01 USD
0.01 USD
0.01 USD
0.01 EUR
0.01 EUR
0.01 EUR
0.01 AUD
0.01 CAD
0.01 EUR
0.01 USD
0.01 USD
0.01 USD
0.01 USD
0.01 EUR
0.01 GBP
0.01 AUD
0.01 USD
0.01 USD
0.01 EUR

Minimum Price
Fluctuation
0.000001 USD/GBP
0.000001 CAD/USD
0.0001 JPY/USD
0.000001 CHF/USD
0.000001 USD/AUD
0.000001 MXN/USD*
0.000001 USD/NZD
0.000001 ZAR/USD*
0.000001 USD/EUR
0.000001 NOK/USD*
0.000001 SEK/USD*
0.00001 CZK/USD*
0.0001 HUF/USD*
0.000001 PLN/USD*
0.000001 ILS/USD*
0.000001 TRY/USD*
0.000001 DKK/USD*
0.0000001 GBP/EUR
0.0001 JPY/EUR
0.0000001 CHF/EUR*
0.000001 JPY/AUD
0.00001 JPY/CAD
0.000001 AUD/EUR*
0.000001 HKD/USD*
0.000001 SGD/USD*
0.0001 THB/USD*
0.0001 JPY/USD
0.000001 USD/EUR
0.000001 USD/GBP
0.000001 USD/AUD
0.000001 CHF/USD
0.000001 CAD/USD
0.0000001 GBP/EUR

Contract
Equivalent
62,500 GBP
100,000 CAD
12,500,000 JPY
125,000 CHF
100,000 AUD
500,000 MXN
100,000 NZD
500,000 ZAR
125,000 EUR
2,000,000 NOK
2,000,000 SEK
4,000,000 CZK30,000,000 HUF
500,000 PLN
1,000,000 ILS
200,000 USD
100,000 USD
125,000 EUR
125,000 EUR
125,000 EUR
200,000 AUD
200,000 CAD
125,000 EUR
100,000 USD
100,000 USD
100,000 USD
12,500,000 JPY
125,000 EUR
62,500 GBP
100,000 AUD
125,000 CHF
100,000 CAD
125,000 EUR

Fixing Time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
4:00 pm London time
10:00 am New York time
10:00 am New York time
10:00 am New York time
10:00 am New York time
10:00 am New York time
10:00 am New York time
10:00 am New York time

*As specified in CME Rule 300.02.A., the minimum fluctuation currency amount at final settlement, shall be
converted into the Unit of Trading and Clearing Currency by dividing by the Final Settlement Price. This
provision minimizes the number of currency accounts required to participate in centralized clearing of OTC cash
settlement forwards.
**As specified in CME Rule 300.02.A. for select currency pairs and as indicated in the Appendix to this Chapter
above, the Final Settlement Price shall be calculated using appropriate WM/Reuters Spot Rates for component© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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currency pairs, and the result shall be rounded to the nearest integral multiple of the minimum price increments(also, “minimum price fluctuations”) identified for that select currency pair in the Appendix to this Chapter above.

AUD
CAD
CHF
CZK
DKK
EUR
GBP
HKD
HUF
ILS
JPY
MXN
NOK
NZD
PLN
SEK
SGD
THB
TRY
USD
ZAR

=====================NOTES
Australian dollar
Canadian dollar
Swiss franc
Czech koruna
Danish krone
EuroBritish pound
Hong Kong dollar
Hungarian forintIsraeli shekel
Japanese yen
Mexican peso
Norwegian krone
New Zealand dollar
Polish zloty
Swedish krona
Singapore dollar
Thailand baht
Turkish liraU.S. dollar
South African Rand

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