Chapter 391
E-mini® FTSE® Emerging Index Futures
39100.

SCOPE OF CHAPTER
This chapter is limited in application to E-mini FTSE Emerging Index futures (“futures”). In addition
to this chapter, futures shall be subject to the general rules and regulations of the Exchange asapplicable.
Unless otherwise specified, times referred to herein shall refer to and indicate Chicago Time.

39101.

CONTRACT SPECIFICATIONSEach futures contract shall be valued at USD 100 times the FTSE Emerging Index (“Index”).

39102.

TRADING SPECIFICATIONS
39102.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.
39102.B.
Trading Unit
The unit of trade shall be USD 100 times the Index.
39102.C.
Price Increments
Bids and offers shall be quoted in Index points. Subject to Rule 39106.C., the minimum priceincrement shall be 0.10 Index points, equal to USD 10 per contract, except for intermonth spreads
executed pursuant to Rule 542.A., for which the minimum price increment shall be 0.01 Index
points, equal to USD 1 per intermonth spread.
39102.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 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.
39102.E.
[Reserved]39102.F.
[Reserved]39102.G.
Termination of Trading
Trading in expiring futures shall terminate at 3:00 p.m. on the Business Day scheduled for
determination of the Final Settlement Price (Rule 39103.A.) of such futures.
39102.H.
[Reserved]39102.I.
Price Limits
Futures trading shall be subject to Price Limits as set forth in this Rule.
For the purpose of this Rule the Exchange shall determine, in its sole discretion, the futuresdelivery month that represents the Primary Futures Contract Month and when such Primary
Futures Contract Month is limit bid or limit offered.
1. Daily Determination of Price Limits
For a given Business Day, Price Limits applicable to a futures contract for a given delivery monthshall be calculated on the basis of the corresponding Reference Price (Rule 39102.I.1.a.) and thecorresponding Offsets (Rule 39102.I.1.b.), as follows:
7% Price Limit=
Reference Price minus 7% Offset
13% Price Limit =Reference Price minus 13% Offset
20% Price Limit =Reference Price minus 20% Offset© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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1.a. Reference Prices for Price Limits
For a given Business Day, for futures for a given delivery month, the Exchange shall set a contract
Reference Price on the first preceding Business Day, as follows:
Tier 1 Such Reference Price shall be based on the volume-weighted average price oftransactions in futures for such delivery month on the CME Globex electronic trading
platform between 2:59:30 p.m. and 3:00:00 p.m. (“reference interval”).
Tier 2 If no such transaction occurs during the reference interval, then such Reference Priceshall be based on the average of midpoints of bid/ask spreads for such futures quoted
on CME Globex during the reference interval, provided that the Reference Pricecalculation shall exclude the midpoint value for any such bid/ask spread that is wider
than 0.20 Index points.
Tier 3 If such Reference Price cannot be determined pursuant to Tier 1 or Tier 2, then theExchange, in its sole discretion, shall set such Reference Price by alternative means
which may include, but are not limited to, derivation by reference to the basis
relationship between such futures contract’s price and the Index, or application of Tier
1 and Tier 2 calculations to successive time intervals of increasing length, in integer
multiples of thirty (30) seconds, until suitable price data are obtained.
The resultant Reference Price value shall be rounded down to the nearest integer multiple of 0.10
Index point. Such Reference Price, so rounded, shall be used for determination of thecorresponding Price Limits.
For newly listed futures for a given delivery month, the Exchange shall set, in its sole discretion, aReference Price value for the purpose of determining Price Limits for the first day of trading in suchfutures.
1.b. Offsets for Price Limits
For a given Business Day, the Exchange shall determine Offsets on the basis of the Index closingvalue (“I”) for the first preceding Business Day, as follows:
7% Offset= 0.07 x I
13% Offset = 0.13 x I
20% Offset = 0.20 x I
Each Offset value shall be rounded down to the nearest integer multiple of 0.10 Index point. Each
such Offset, so rounded, shall be used in determination of the corresponding Price Limits.
2. Application of Price Limits
From the commencement of any Trading Day there shall be no futures trading at any price strictly
lower than the corresponding 7% Price Limit.
At such time as the Primary Futures Contract Month becomes limit offered at its 7% Price Limit, theExchange shall initiate a 10-minute observation interval. At the conclusion of such observationinterval:
If the Primary Futures Contract Month is not limit offered at its 7% Price Limit, futures trading
shall continue subject to the corresponding 13% Price Limit.
If the Primary Futures Contract Month remains limit offered at its 7% Price Limit, futures
trading shall halt for two (2) minutes, and shall then resume subject to the corresponding 13%
Price Limit.
At such time as the Primary Futures Contract Month becomes limit offered at its 13% Price Limit,
the Exchange shall initiate a 10-minute observation interval. At the conclusion of such observationinterval:
If the Primary Futures Contract Month is not limit offered at its 13% Price Limit, futures trading shallcontinue subject to the corresponding 20% Price Limit.
If the Primary Futures Contract Month remains limit offered at its 13% Price Limit, futures
trading shall halt for two (2) minutes, and shall then resume subject to the corresponding 20%Price Limit.
There shall be no futures trading at any price strictly lower than the corresponding 20% Price Limit.

39103.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.

© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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39103.A.
Final Settlement Price
For a futures contract for a given delivery month, the Final Settlement Price shall be determined on
the third Friday of such delivery month, and shall be equal to the Index closing value for the third
Friday of such delivery month.
If the Index is not scheduled to be published on the third Friday of such delivery month, then such
Final Settlement Price shall be scheduled for determination on the first preceding Business Day on
which the Index is scheduled to be published.
39103.B.
Final Settlement
Clearing members holding open positions in an expiring futures contract at its termination of trading(Rule 39102.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 39103.A.).

39104.
39105.
39106.

[RESERVED][RESERVED]BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONSAll BTIC transactions must be executed in accordance with the requirements of Rule 524.B.
39106.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 3:00 p.m., thecorresponding futures price shall be assigned by reference to the Index closing value for thecurrent Business Day. For a BTIC or BTIC block trade executed on a given Business Day after 3:00
p.m., the corresponding futures price shall be assigned by reference to the Index closing value forthe next following Business Day.
39106.B.
BTIC Price Assignment Procedures
The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.
39106.C.
BTIC Minimum Price Increments
The valid basis or price increment applied to the Index closing value to establish the BTIC futures
price must be stated in increments of 0.01 Index points.
39106.D.
Market Disruption Events
In the event of a market disruption, which precludes a valid Index closing value calculation, allpending and executed BTIC transactions in the corresponding futures contract shall be cancelledby the Exchange. Such disruption shall be declared by the Exchange in its sole discretion, and may
include, without limitation, an unscheduled early close of the futures trading.

(End Chapter 391)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 391
E-mini FTSE Emerging Index futures are not in any way sponsored, endorsed, sold or promoted by FTSE
International Limited (“FTSE”) or the London Stock Exchange Group companies (“LSEG”) (together the “LicensorParties”), and none of the Licensor Parties makes any claim, prediction, warranty or representation whatsoever,expressly or impliedly, either as to (i) the results to be obtained from the use of the FTSE Emerging Index(“Index”) (upon which E-mini FTSE Emerging Index futures are based), (ii) the figure at which the Index is said tostand at any particular time on any particular day or otherwise, or (iii) the suitability of the Index for the purposeto which it is being put in connection with the E-mini FTSE Emerging Index futures. None of the Licensor Parties
has provided or will provide any financial or investment advice or recommendation in relation to the Index to
CME or to its clients. The Index is calculated by FTSE or its agent. None of the Licensor Parties shall be (a)liable (whether in negligence or otherwise) to any person for any error in the Index or (b) under any obligation toadvise any person of any error therein.
All rights in the Index vest in FTSE. “FTSE®” is a trade mark of LSEG and is used by FTSE under license.

© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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