Chapter 357B
Adjusted Interest Rate S&P 500 Total Return Index (EFFR) Futures
357B00.

SCOPE OF CHAPTER
This chapter is limited in application to Adjusted Interest Rate S&P 500 Total Return Effective
Federal Funds Rate (“EFFR”) Index futures (“AIR S&P500 TRF (EFFR)” or “futures”).
The AIR S&P 500 TRF (EFFR) valuation has three components; an equity index component, adaily Benchmark financing component and a financing spread adjustment component.
AIR S&P 500 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.
357B00.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.
357B00.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 totime (SEC, SRO Rulemaking, National Market System Plans, File 4-631).
357B00.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 2012by the SEC, as amended from time to time (SEC, SRO Rulemaking, National Market SystemPlans, File 4-631) and as implemented under New York Stock Exchange Rule 7.12 for Trading
Halts Due to Extraordinary Volatility or under Nasdaq Stock Market Rule 4121 for Trading Halts
Due to Extraordinary Volatility.

357B01.

CONTRACT SPECIFICATIONS
The contract structure is subject to the following definitions:
1. Definitions
a. Equity Index shall mean S&P 500 Total Return Index (“SPTR Index”, “SPTR” 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 the Standard & Poor’s Dow Jones Indices, who isresponsible for the calculation and dissemination of the Equity Index;
d. Benchmark Funding Reference Rate shall mean the Overnight Effective Federal
Funds Rate (EFFR) published by the Federal Reserve Bank of New York on thecurrent business day of the value on the previous business day, expressed on perannum basis;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;g. 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© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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h.

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2.

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 Amountsince the listing of a contract. On the first day of trading, CME Clearing shalldetermine and publish the initial value of the Accrued Financing for the contract.
Thereafter, on each business day, the Accrued Financing of the contract shall be
determined by adding the current day’s Daily Financing Amount to the Accrued
Financing of the contract as of the 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 TRF
Spread 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 toMaturity

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

3.

357B02.

For trades pursuant to 357B06. BTIC Transactions, the Exchange shall apply the Pricing
Formula to trades consummated using TRF Spread Prices to determine the Absolute Price,subject to rounding to the nearest Price Increment. For trades pursuant to Exchanges For
Related Positions, trade counterparties shall submit to CME Clearing the Absolute Priceagreed upon by the counterparties.

TRADING SPECIFICATIONS
357B02.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 Standard and Poor’s 500
Stock Price Index futures pursuant to Rule 35802.I.
357B02.B. Trading Unit
The unit of trading shall be $25.00 times the Adjusted Interest Rate S&P 500 Total Return (EFFR)
Futures.
357B02.C. Price Increments
The price for the AIR S&P 500 TRF (EFFR) shall be in index points. The minimum price fluctuation
shall be 0.01 index points.
The quoting notation for the AIR S&P 500 TRF (EFFR) Spread will be expressed in basis points
and shall be transacted via BTIC (rule 357B06). The minimum price fluctuation shall be 0.5 basis
points.
357B02.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.

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357B02.E. [Reserved]
357B02.F. [Reserved]
357B02.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 35703.A.) for such futures.
If an unscheduled Market Holiday is declared on the day of Final Settlement Price determination(Rule 357B03.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.
357B02.H. [Reserved]
357B02.I.
Price Limits and Trading Halts
There shall be no trading of AIR S&P 500 TRF (EFFR) when trading is restricted as set forth inRule 35802.I.

357B03.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.
357B03.A. Final Settlement Price
For a futures contract for a given delivery month, the Final Settlement Price shall be determinedbased using the Pricing Formula, with the special opening quotation of the S&P 500 Total ReturnIndex (SPTR SOQ) in place of the Index Close. For the avoidance of doubt, the Final Settlement
Price shall be
SPTR 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
month and 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
Day on 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 theprice of 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 on
the Business Day immediately preceding the original day of Final Settlement Price determination.
357B03.B. Final Settlement
Clearing members holding open positions in an expiring futures contract at its termination of trading(Rule 357B02.G.) shall make payment to or receive payment from the Clearing House inaccordance with normal variation margin procedures based on such expiring contract’s FinalSettlement Price (Rule 357B03.A.).

357B04.

[RESERVED]

357B05.

[RESERVED]© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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357B06.

BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONSAll BTIC transactions must be executed in accordance with the requirements of Rule 524.B.
357B06.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.
357B06.B. BTIC Price Assignment Procedures
The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.
357B06.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.
357B06.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 anearly close of the Primary Listing Exchange.
357B06.E. [Reserved](End Chapter 357B)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 357B
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 Closetransactions, pursuant to Rules 524.B. (Basis Trade at Index Close (“BTIC”) Transactions) and Rules 35706. ofthis Chapter, provided that in any instance where such futures contracts are traded as the futures component ofan EFRP transaction, pursuant to Rule 538. (Exchange for Related Positions), the price of such futures contracts
may be made either in Index terms outright, pursuant to Rules 35702. of this Chapter, or in BTIC terms, pursuant
to Rules 524.B. and Rules 35706. 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
Standard & Poor's, a division of the McGraw–Hill Companies, Inc. ("S&P"), licenses the Exchange to use various
S&P stock indices ("S&P Stock Indices") in connection with the trading of futures contracts and options on
futures contracts based upon such indices. S&P shall have no liability for damages, 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 the accuracy
and/or completeness of the S&P Stock Indices or any data included therein. S&P makes no warranty, express orimplied, as to the results to be obtained by any person or any entity from the use of the S&P Stock Indices or any
data included therein in connection with the trading of futures contracts, options on futures contracts and anyother use. S&P makes no express or implied warranties, and expressly disclaims all warranties of© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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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 the foregoing, 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 suchdamages.

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