Chapter 390
E-mini® FTSE® Developed Europe Index Futures
39000.

SCOPE OF CHAPTER
This chapter is limited in application to E-mini® FTSE® Developed Europe 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 referenced herein shall indicate Chicago time.

39001.

CONTRACT SPECIFICATIONSEach futures contract shall be valued at EUR 200 times the FTSE ® Developed Europe Index(“Index”).

39002.

TRADING SPECIFICATIONS
39002.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.
39002.B.
Trading Unit
The unit of trade shall be EUR 200 times the Index.
39002.C.
Price Increments
Bids and offers shall be quoted in Index points. Subject to Rule 39006.C., the minimum priceincrement shall be 0.05 Index points, equal to EUR 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 EUR 2 per intermonth spread.
39002.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.
39002.E.
[Reserved]
39002.F.
[Reserved]
39002.G.
Termination of Trading
Trading in expiring futures shall terminate at 4:30 p.m. London Time on the Business Day
scheduled for determination of the Final Settlement Price (Rule 39003.A.) of such futures.
39002.H.
[Reserved]
39002.I.
Price Limits and Trading Halts
Futures trading shall be subject to Price Limits as set forth in this Rule.
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 39002.I.1.a.) and thecorresponding Offsets (Rule 39002.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 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 of transactions in© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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futures for such delivery month on the CME Globex electronic trading platform between 4:29:30
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, provided that the Reference Price calculation shall exclude themidpoint value for any such bid/ask spread that is wider than 0.10 Index points.
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.
The resultant Reference Price value shall be rounded down to the nearest integer multiple of 0.05
Index points. 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 the Offset on the basis of the Index
closing value (“I”) for the first preceding Business Day, as follows:
7% Offset=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.
2. 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, wheresuch 7% Price Limits are established on the basis of (i) the Reference Price most recently
determined by the Exchange as of 5:00 p.m. Chicago time and (ii) the Offset derived by theExchange on the basis of the most recently published Index closing value as of 5:00 p.m. Chicago
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 inthe Interpretations & Special Notices Section of Chapter 5.
3. Application of Price Limits from 8:00 a.m. London Time to 4:30 p.m. London Time:
Price Limits shall not apply.
4. Application of Price Limits from 4:30 p.m. London Time to 5:00 p.m. Chicago Time:
There shall be no trading of futures at any price outside the range defined by the 7% Price Limits,
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. Londontime.
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 inthe Interpretations & Special Notices Section of Chapter 5.

39003.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.
39003.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

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Final Settlement Price shall be scheduled for determination on the first preceding Business Day on
which the Index is scheduled to be published.
39003.B.
Final SettlementClearing members holding open positions in an expiring futures contract at its termination of trading(Rule 39002.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 39003.A.).

39004.

[RESERVED]

39005.
39006.

[RESERVED]BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONSAll BTIC transactions must be executed in accordance with the requirements of Rule 524.B.
39006.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, the corresponding futures price shall be assigned by reference to the Index closing value forthe current Business Day. For a BTIC or BTIC block trade executed on a given Business Day after
4:30 p.m. London time, the corresponding futures price shall be assigned by reference to the Index
closing value for the next following Business Day.
39006.B.
BTIC Price Assignment Procedures
The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.
39006.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 an integer multiple of 0.01 Index points.
39006.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 390)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 390
E-mini FTSE Developed Europe 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“Licensor Parties”), 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 Developed
Europe Index (“Index”) (upon which E-mini FTSE Developed Europe Index futures are based), (ii) the figure atwhich the Index is said to stand at any particular time on any particular day or otherwise, or (iii) the suitability ofthe Index for the purpose to which it is being put in connection with the E-mini FTSE Developed Europe Indexfutures. None of the Licensor Parties has provided or will provide any financial or investment advice orrecommendation 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 inthe Index or (b) under any obligation to advise 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.

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