CME Rulebook
Chapter 367
E-mini S&P Europe 350 ESG Index Futures
36700.

SCOPE OF CHAPTER
This chapter is limited in application to E-mini S&P Europe 350 ESG Index futures (“futures”).
In addition to this chapter, futures shall be subject to the general rules and regulations of theExchange as applicable.
Unless otherwise specified, times referred to herein shall refer to and indicate Chicago time.

36701.

CONTRACT SPECIFICATIONSEach futures contract shall be valued at EUR 500.00 times the S&P Europe 350 ESG Index(“Index”).

36702.

TRADING SPECIFICATIONS
36702.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.
36702.B. Trading Unit
The unit of trade shall be EUR 500.00 times the Index.
36702.C. Price Increments
Bids and offers shall be quoted in Index points. Subject to Rule 36706.C., the minimum priceincrement shall be 0.05 Index points, equal to EUR 25.00 per contract, except for intermonthspreads executed pursuant to Rule 542.A., for which the minimum price increment shall be 0.01
Index points, equal to EUR 5.00 per intermonth spread.
36702.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.
36702.E. [Reserved]
36702.F. [Reserved]
36702.G. Termination of Trading
Trading in expiring futures shall terminate at 4:35 p.m. London time on the third Friday of thecontract delivery month. If that day is a non-business day for the Primary Listing Exchange forevery constituent of the underlying index, trading shall terminate on the preceding day that is abusiness day for a Primary Listing Exchange of at least one constituent of the underlying index.
36702.H. [Reserved]
36702.I. Price Limits and Trading Halts
Futures trading shall be subject to Price Limits as set forth in this Rule. At the commencement ofeach Trading Day, the contract shall be subject to special price fluctuation limits and daily pricelimits 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.
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.

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

Page 1 of 4

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 36702.I.1.a.) and thecorresponding Offsets (Rule 36702.I.1.b.), as follows:
7% Price Limits = Reference Price minus 7% Offset, and Reference Price plus 7% Offset
1.a. Reference Prices for Price LimitsFor 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 of transactions in such
futures for such delivery month on the CME Globex electronic trading platform (“CME Globex”)
during the interval between 4:29:30 p.m. and 4:30:00 p.m. London time (“Reference Interval”).
Tier 2
If no such transaction occurs during the Reference Interval, then such Reference Price shall bebased on the average of midpoints of bid/ask spreads for such futures quoted on CME Globex
during the Reference Interval.
Tier 3
If such Reference Price cannot be determined pursuant to Tier 1 or Tier 2, then the Exchange, in its
sole discretion, shall set such Reference Price by alternative means which may include, but are notlimited to, derivation by reference to the basis relationship between such futures contract’s priceand the Index, or application of Tier 1 and Tier 2 calculations to successive time intervals ofincreasing length, in integer multiples of thirty (30) seconds, until suitable price data are obtained.
For Tier 1, Tier 2 and Tier 3, the resultant Reference Price value shall be rounded down to thenearest integer multiple of 0.05 Index points. Such Reference Price, so rounded, shall be used for
determination of the corresponding 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 such
futures.
1.b. Offsets for Price Limits
For a given Business Day, the Exchange shall determine the Offset on the basis of the Index
closing value (“I”) for the first preceding Business Day, as follows:
7% Offset = 7% of I (0.07 x I)
The resultant Offset value shall be rounded down to the nearest integer multiple of 0.05 Index
points. Such Offset, so rounded, shall be used in determination of the corresponding Price Limits.
1. Application of Price Limits from Start of Trading Day to 8:00 a.m. London Time
Without limitation to the following, the start of a Trading Day generally shall coincide with the startof the corresponding CME Globex trading session at 5:00 p.m. Chicago time on the evening firstpreceding such Trading Day.
From the start of any Trading Day until 8:00 a.m. London time, there shall be no trading in futures
for a given delivery month at any price outside the range defined by the 7% Price Limits (Rule36702.I.1.) applicable to such futures on such Trading Day, where such 7% Price Limits areestablished on the basis of (i) the Reference Price most recently determined by the Exchange as of
4:30 p.m. London time and (ii) the Offset derived by the Exchange on the basis of the most recently
published Index closing value as of 4:30 p.m. London time.
During this period of time, the contract shall also be subject to dynamic price fluctuation limits as
set forth in Rule 589.D. and in the Special Price Fluctuation Limits and Daily Price Limits Table in
the Interpretations & Special Notices Section of Chapter 5.
2. Application of Price Limits and Trading Halts from 8:00 a.m. London Time to 4:30 p.m.
London Time
During this period of time, the contract shall be subject to dynamic price fluctuation limits as set
forth in Rule 589.D. and in the Special Price Fluctuation Limits and Daily Price Limits Table in theInterpretations & Special Notices Section of Chapter 5.
Price Limits shall not apply.

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

Page 2 of 4

3.

Application of Price Limits and Trading Halts from 4:30 p.m. London Time to Close ofTrading Day
Without limitation to the following, the close of the current Trading Day generally shall coincide withthe close of the CME Globex trading session on such Trading Day.
There shall be no trading in futures for a given delivery month at any price outside the rangedefined by the 7% Price Limits (Rule 36702.I.1.) applicable to such futures on such Trading Day,
where such 7% Price Limits are established on the basis of (i) the Reference Price most recently
determined by the Exchange as of 4:30 p.m. London time and (ii) the Offset derived by theExchange on the basis of the most recently published Index closing value as of 4:30 p.m. London
time.
During this period of time, the contract shall also be subject to dynamic price fluctuation limits as
set forth in Rule 589.D. and in the Special Price Fluctuation Limits and Daily Price Limits Table in
the Interpretations & Special Notices Section of Chapter 5.

36703.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.
36703.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 (Rule 36702.G) 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 suchFinal Settlement Price shall be scheduled for determination on the first preceding day on which theIndex is scheduled to be published. The Final Settlement Price will be the Index closing value on
the Business Day scheduled for determination of the Final Settlement Price of such futures.
36703.B. Final Settlement
Clearing members holding open positions in an expiring futures contract at its termination of trading(Rule 36702.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 36703.A.).

36704.
36705.
36706.

[RESERVED][RESERVED]BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONSAll BTIC transactions must be executed in accordance with the requirements of Rule 524.B.
36706.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 4:30 p.m. London time, thecorresponding futures price shall be made by reference to the Index closing value for the current
Trading Day.
For a BTIC or BTIC block trade executed on a given Trading Day after 4:30 p.m. London time, thecorresponding futures price shall be made by reference to the Index closing value for the next
Trading Day.
36706.B. BTIC Price Assignment Procedures
The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.
36706.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.

36706.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 367)

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

Page 3 of 4

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 367
Standard & Poor's, a division of the McGraw–Hill Companies, Inc. ("S&P"), licenses the Exchange touse various S&P stock indices ("S&P Stock Indices") in connection with the trading of futurescontracts and options on futures contracts based upon such indices. S&P shall have no liability fordamages, claims, losses or expenses caused by any errors or delays in calculating or disseminating
the S&P Stock Indices.
Standard & Poor's, a division of the McGraw–Hill Companies, Inc. ("S&P"), does not guarantee theaccuracy and/or completeness of the S&P Stock Indices or any data included therein. S&P makes nowarranty, express or implied, as to the results to be obtained by any person or any entity from the useof the S&P Stock Indices or any data included therein in connection with the trading of futurescontracts, options on futures contracts and any other use. S&P makes no express or implied
warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose
or use with respect to the S&P Stock Indices or any data included therein. Without limiting any of theforegoing, in no event shall S&P have any liability for any special, punitive, indirect or consequential
damages (including lost profits), even if notified of the possibility of such damages.

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

Page 4 of 4