Chapter 300A
CME WM/Reuters OTC Options Contracts
300A.00. SCOPE OF CHAPTER
This chapter is limited in application to CME WM/Reuters OTC Option Contracts (“CME WMR OptionContracts”), based on specified currency pairs, cash-settled by reference to WM/Reuters Spot Rates (“WMRRates”)1. Parties to transactions in CME WMR Option Contracts shall be limited to “eligible contract participants”
as defined in Section 1a(18) of the Commodity Exchange Act.
Transactions in CME WMR O p t i o n Contracts shall also be subject to the general rules of the Exchangeinsofar as applicable. The clearing and settlement of transactions in CME WMR O p t i o n Contracts shallalso be subject to the provisions 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 andindicate Chicago time.

300A.01. CONTRACT SPECIFICATIONS
300A.01.A.

Contract Summary

CME WMR Option 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 Option
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 Option
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 Option Contract
shall be deemed to be the notional value contract equivalent as specified in the Appendix to this Chapter.
300A.01.B.

Hours for Trading and Clearing Entry

The Exchange shall determine the hours during which CME WMR Option Contracts may be traded and submitted
to the Clearing House.
300A.01.C.

Valid Value Dates for Cash Settlement

CME WMR Option Contracts shall be cash settled for any valid value date mutually agreed to by buyer and seller,
and accepted by the Exchange for the applicable currency pair as a valid value date(s) for cash settlement andclearing.
300A.01.D.

Delivery Price and Delivery Value

Delivery for CME WMR Option Contracts assigned pursuant to Chapter 300A shall be by cash settlement according
to Rule 300A.02.
300A.01.E.

Position Limits, Exemptions, Position Accountability and Reportable Levels

1

The WM/Reuters Spot Rates are provided by The World Markets Company PLC (WM) in conjunction with Reuters and are used for certain
currencies (the “Rates”) displayed herein. WM and Reuters shall not be liable for any errors in or delays in providing or making available theWM/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 ofChapter 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.
300A.01.F.

Last Day of Trading

The last day on which a transaction in a CME WMR Option 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.
300A.01.G.

Liquidation and Delivery Standards(1)
At Maturity. After clearing of CME WMR Option Contracts in respect of a specified cash settlement datehas ceased, in accordance with Rule 300A.01.G. of this chapter, outstanding contracts for such cash settlement
date shall be liquidated by cash settlement through procedures as prescribed in Rule 300A.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 Option 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.
300A.01.H.

Exercise Prices

Exercise prices shall be stated in terms of the minimum price fluctuations as specified in the Appendix to thisChapter.

300A.02. CASH SETTLEMENT
300A.02.A.

Day of Cash Settlement

Each CME WMR Option Contract, for a valid value date for cash settlement in one Business Day, shall beliquidated by cash settlement at a price equal to the daily Final Settlement Price for that day. The daily Final
Settlement Price shall be equal to the WM/Reuters Spot Rate at the specified fixing time for that day for thespecific currency pair in question, rounded to the nearest integral multiple of the minimum price increment asidentified per the Appendix 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, “minimumprice fluctuations”) as identified per the Appendix to this Chapter. For example, the Euro / British pound(EUR/GBP) Final Settlement Price shall be calculated by multiplying the Euro (EUR) / U.S. dollar (USD) Final
Settlement Price in units of USD per EUR by the U.S. dollar (USD) / British pound (GBP) Final Settlement Pricein units of GBP per USD and rounding the result to seven (7) decimal places.
300A.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.
300A.02.C.
Amendments to Timings
The Exchange may amend the timings of notifications, deliveries, and transfers under this Rule 300A.02 toreflect as appropriate the adoption of daylight savings time in the relevant countries of delivery.

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300A.03. EXERCISE AND CASH SETTLEMENT AMOUNTThe option style for each WMR Option Contract shall be European.
300A.03.A.

ExerciseAll in-the-money options are automatically exercised by the Clearing House on the day of expiration for theoptions. All out-of-the-money options are abandoned by the Clearing House on the day of expiration for theoption. An option is in-the-money if the WM/Reuters Spot Rate lies above the exercise price in the case of a call,or lies below the exercise price in the case of a put.
300A.03.B.

Cash Settlement AmountAll 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 WM/Reuters Spot Price for the valid value date for cash
settlement and the original exercise price as submitted for clearing, times the notional value of the transaction in
the clearing unit currency.
In the event this final payment is positive from the buyer’s perspective, then the Clearing House shall debit theseller’s clearing member account and credit the buyer’s clearing member account for this final payment amount.

300A.04. DISPUTESAll disputes between interested parties may be settled by arbitration as provided in the Rules.
(End Chapter 300A)
Appendix to Chapter 300A: Contract Specifications
Currency
Pairing
GBP/USD
USD/CAD
USD/JPY
USD/CHF**
AUD/USD
EUR/USD
EUR/GBP**

Unit of Trading and Precision
Clearing
1 GBP
0.01 GBP
1 USD
0.01 USD
1 USD
0.01 USD
1 USD
0.01 USD
1 AUD
0.01 AUD
1 EUR
0.01 EUR
1 EUR
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 USD/EUR
0.0000001 GBP/EUR

Contract
Equivalent
62,500 GBP
100,000 CAD
12,500,000 JPY
125,000 CHF
100,000 AUD
125,000 EUR
125,000 EURFixing 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 300A.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
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.
NOTES
AUD = Australian Dollar
CAD = Canadian Dollar
CHF = Swiss FrancEUR = Euro
GBP = British Pound
JPY = Japanese Yen
USD = U.S. Dollar© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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