Chapter 373
Adjusted Interest Rate Russell 2000® Total Return Index (EFFR) Futures
37300.

SCOPE OF CHAPTER
This chapter is limited in application to Adjusted Interest Rate Russell 2000® Total Return Effective
Federal Funds Rate (“EFFR”) Index futures (“AIR Russell 2000® TRF(EFFR)” or “futures”).
The AIR Russell 2000® TRF (EFFR) valuation has three components; an equity index component, adaily Benchmark financing component and a financing spread adjustment component.
AIR Russell 2000® TRF (EFFR) = (Equity Index – Accrued Financing) + Financing SpreadAdjustment
In addition to this chapter, futures shall be subject to the general rules and regulations of theExchange as applicable.
Unless otherwise specified, times referenced herein shall refer to and indicate Chicago time.
37300.A.
Market Decline
For the purposes of this chapter a Market Decline shall be as defined in New York Stock Exchange
Rule 7.12 for Trading Halts Due to Extraordinary Volatility or in Nasdaq Stock Market Rule 4121 forTrading Halts Due to Extraordinary Volatility.
37300.B.
Primary Listing Exchange
For the purposes of this chapter a Primary Listing Exchange shall be as defined in the “Plan toAddress Extraordinary Market Volatility Submitted to the Securities and Exchange Commission
Pursuant to Rule 608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31
May 2012 by the U.S. Securities and Exchange Commission (“SEC”), as amended from time to time
(SEC, SRO Rulemaking, National Market System Plans, File 4-631).
37300.C.
Regulatory Halt
For the purposes of this chapter a Regulatory Halt shall be as defined in the “Plan to Address
Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant toRule 608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012 bythe SEC, as amended from time to time (SEC, SRO Rulemaking, National Market System Plans, File4-631) and as implemented under New York Stock Exchange Rule 7.12 for Trading Halts Due toExtraordinary Volatility or under Nasdaq Stock Market Rule 4121 for Trading Halts Due toExtraordinary Volatility.

37301.

CONTRACT SPECIFICATIONS
The contract structure is subject to the following definitions:
1. Definitions
a. Equity Index shall mean Russell 2000® Total Return Index (“RU20INTR Index”,“RU20INTR” or “Index”);
b. Index Close shall mean the official index closing value of the Equity Index for aparticular trading day based on the closing price of the constituent stocks in the index
as disseminated by the Index Administrator;c. Index Administrator shall mean FTSE International Limited (FTSE) who is responsible
for the calculation and dissemination of the Equity Index;
d. Benchmark Funding Reference Rate shall mean the Overnight Effective FederalFunds Rate (EFFR) published by the Federal Reserve Bank of New York on the current
business day of the value on the previous business day, expressed on per annumbasis;e. Cash Market Settlement Day shall mean the settlement day of an equity tradecorresponding to a trading day, as scheduled by the DTCC;
f. Daily Financing Period shall mean the length of time in years between the CashMarket Settlement Day of the previous business day and the Cash Market Settlement
Day of the current day, using the ACT/360 day count convention;© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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g.

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Time to Maturity shall mean the length of time between the Cash Market Settlement
Day of the current day and the Cash Market Settlement Day of the day of final
settlement price determination of the contract, expressed in years using the ACT/360
day count convention;
Daily Financing Amount shall mean the following value:
Previous Business day’s Index Close x Daily Financing Period x Benchmark
Funding Reference Rate
Accrued Financing shall mean cumulative value of the Daily Financing Amount since
the listing of a contract. On the first day of trading, CME Clearing shall determine andpublish the initial value of the Accrued Financing for the contract. Thereafter, on eachbusiness day, the Accrued Financing of the contract shall be determined by adding thecurrent day’s Daily Financing Amount to the Accrued Financing of the contract as ofthe previous business day;TRF Spread Price (or Total Return Futures Spread Price, or Financing SpreadPrice) shall mean an interest rate spread, expressed on per annum basis, above orbelow the Benchmark Funding Reference Rate;
Absolute Price shall mean the price of the futures contract by converting the TRFSpread Price using the Pricing Formula with the appropriate Index Value, Time to
Maturity, and TRF Spread Price as inputs;
Financing Spread Adjustment shall mean the value determined by following formula:
Index Close (of Current Business Day) x TRF Spread Price x Time to Maturity

For purpose of this chapter, Pricing Formula shall mean the following formula:
Equity Index – Accrued Financing + Financing Spread Adjustment3.

37302.

For trades pursuant to 37306. BTIC Transactions, the Exchange shall apply the Pricing Formulato trades consummated using TRF Spread Prices to determine the Absolute Price, subject torounding to the nearest Price Increment. For trades pursuant to Exchanges For Related
Positions, trade counterparties shall submit to CME Clearing the Absolute Price agreed upon bythe counterparties.

TRADING SPECIFICATIONS
37302.A.
Trading Schedule
Futures contracts shall be scheduled for trading during such hours and for delivery in such months
as may be determined by the Exchange, provided that there shall be no trading in futures contracts
when trading is halted in the Primary Futures Contract Month for E-mini Russell 2000 Index futures
pursuant to Rule 39302.I.
37302.B.
Trading UnitThe unit of trading shall be $10.00 times the Adjusted Interest Rate Russell 2000® Total Return Index(EFFR) Futures.
37302.C.
Price Increments
The price for the AIR Russell 2000® TRF (EFFR) shall be in index points. The minimum pricefluctuation shall be 0.01 index points.
The quoting notation for the AIR Russell 2000® TRF (EFFR) Spread will be expressed in basis points
and shall be transacted via BTIC (rule 37306). The minimum price fluctuation shall be 0.5 basis
points.
37302.D.
Position Limits, Exemptions, Position Accountability and Reportable Levels
The applicable position limits and/or accountability levels, in addition to the reportable levels, are set
forth in the Position 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 file commercial purposes shall apply to
the Market Regulation 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 the specified position limits.

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37302.E.
[Reserved]
37302.F.
[Reserved]
37302.G.
Termination of Trading
Trading in expiring futures shall terminate at the regularly scheduled start of trading on the Primary
Listing Exchange on the Business Day scheduled for determination of the Final Settlement Price(Rule 37303.A.) for such futures.
If an unscheduled Market Holiday is declared on the day of Final Settlement Price determination(Rule 37303.A), trading in the expiring futures shall terminate at the close of trading on the New York
Stock Exchange on the immediately preceding Business Day.
37302.H.
[Reserved]
37302.I.
Price Limits and Trading Halts
There shall be no trading of AIR Russell 2000® TRF (EFFR) when trading is restricted as set forth inRule 39300.C.

37303.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.
37303.A.
Final Settlement Price
For a futures contract for a given delivery month, the Final Settlement Price shall be determinedbased on using the Pricing Formula, with the special opening quotation of the Russell 2000® Total
Return Index (RU20INTR SOQ) in place of the Index Close. For the avoidance of doubt, the Final
Settlement Price shall be
RU20INTR SOQ – Accrued Financing on Day of Final Settlement Price Determination
Note that Time to Maturity on the day of Final Settlement Price Determination shall be zero, and theFinancing Spread Adjustment shall be zero.
Such special opening quotation (SOQ) shall be determined on the third Friday of such delivery monthand shall be based on opening prices of the component stocks of the Index.
If the Index is not scheduled to be published on the third Friday of the contract delivery month, thensuch Final Settlement Price shall be scheduled for determination on the first preceding Business Dayon which the Index is scheduled to be published.
If the Primary Listing Exchange for a component stock of the Index does not open on the dayscheduled for determination of such Final Settlement Price, then for the purpose of calculating suchspecial opening quotation price of the Index the price of such component stock shall be its opening
price on the next following day on which its Primary Listing Exchange is open for trading.
If a component stock of the Index does not trade on the day scheduled for determination of such
Final Settlement Price, and the Primary Listing Exchange for such stock is open for trading, then forthe purpose of calculating such special opening quotation price of the Index the price of such stock
shall be its last sale price, provided that the Exchange in its sole discretion may instruct that the priceof such stock shall be its opening price on the next following day that it is traded on its Primary Listing
Exchange.
If an unscheduled Market Holiday is declared on the day of final settlement price determination, theFinal Settlement Price shall be the Official Index Closing Value published by the index publisher onthe Business Day immediately preceding the original day of Final Settlement Price determination.
37303.B.
Final Settlement
Clearing members holding open positions in an expiring futures contract at its termination of trading(Rule 37302.G.) shall make payment to or receive payment from the Clearing House in accordancewith normal variation margin procedures based on such expiring contract’s Final Settlement Price(Rule 37303.A.).

37304.
37305.
37306.

[RESERVED][RESERVED]BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONSAll BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

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37306.A. BTIC Block Trade Requirements
BTIC block trades must be executed in accordance with the requirements of Rule 526.
For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled closeof the Primary Listing Exchange, the corresponding futures price shall be made by reference to theIndex closing value for the current Trading Day.
For a BTIC or BTIC block trade executed after the scheduled close of the Primary Listing Exchange,
the corresponding futures price shall be made by reference to the Index closing value for the next
Trading Day.
37306.B. BTIC Price Assignment Procedures
The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.
37306.C. BTIC Minimum Price Increments
The minimum price increment shall be 0.50 basis points, per contract, for any basis adjustment thatis applied to an Index closing price to establish a BTIC transaction price.
37306.D. Market Disruption Events
In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC
transactions in the corresponding futures contract shall be cancelled by the Exchange. Suchdisruption shall be declared by the Exchange in its sole discretion, and may include, without limitation,
an unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt
declared in response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an earlyclose of the Primary Listing Exchange.
37306.E. [Reserved](End Chapter 373)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 373
1. Trading Specifications
Until such time as the Exchange shall enable outright trading in futures contracts made under these Rules, trading
shall be permitted only where such futures contracts are traded through Basis Trade at Index Close transactions,pursuant to Rules 524.B. (Basis Trade at Index Close (“BTIC”) Transactions) and Rules 37306. of this Chapter,
provided that in any instance where such futures contracts are traded as the futures component of an EFRP
transaction, pursuant to Rule 538. (Exchange for Related Positions), the price of such futures contracts may bemade either in Index terms outright, pursuant to Rules 37302. of this Chapter, or in BTIC terms, pursuant to Rules
524.B. and Rules 37306. of this Chapter.
Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing Exchange on
the Exchange business day first preceding the day of Final Settlement Price determination for such futurescontract.

DISCLAIMER
Neither Frank Russell Company’s publication of the Russell Indexes nor its licensing of its trademarks
for use in connection with securities or other financial products derived from a Russell Index in any
way suggests or implies a representation or opinion by Frank Russell Company as to theattractiveness of investment in any securities or other financial products based upon or derived fromany Russell Index. Frank Russell Company is not the issuer of any such securities or other financial
products and makes no express or implied warranties of merchantability or fitness for any particularpurpose with respect to any Russell Index or any data included or reflected therein, nor as to results
to be obtained by any person or any entity from the use of the Russell Index or any data included orreflected therein.

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