Chapter 387
E-mini® FTSE® 100 Index Futures
38700.

SCOPE OF CHAPTER
This chapter is limited in application to E-mini® FTSE® 100 Index futures (“futures”). In addition tothis 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.

38701.

CONTRACT SPECIFICATIONSEach futures contract shall be valued at GBP 10.00 times the FTSE ® 100 Index (“Index”).

38702.

TRADING SPECIFICATIONS
38702.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.
38702.B.
Trading Unit
The unit of trade shall be GBP 10.00 times the Index.
38702.C.
Price Increments
Bids and offers shall be quoted in Index points. Subject to Rule 38706.C., the minimum priceincrement shall be 0.50 Index points, equal to GBP 5.00 per contract, except for intermonthspreads executed pursuant to Rule 542.A., for which the minimum price increment shall be 0.25
Index points, equal to GBP 2.50 per intermonth spread.
38702.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.
38702.E.
[Reserved]
38702.F.
[Reserved]
38702.G.
Termination of Trading
Trading in expiring futures shall terminate at 10:30 a.m. London time on the Business Day
scheduled for determination of the Final Settlement Price (Rule 38703.A.) for such futures.
38702.H.
[Reserved]
38702.I.
Price Limits and Trading Halts
The primary futures contract expiration month, as referenced in this rule, shall be determined by theExchange. The Exchange shall also determine when the primary futures contract month is limit bidor limit offered.
Reference Price for Exchange Price Limits and Exchange Trading Halts:
Daily price limits in futures will be established on the basis of a Reference Price (“P”) which shall be
determined by the Exchange as follows:
Tier 1
Such Reference Price shall be the volume-weighted average price of transactions in futures
executed on Globex during the 30 seconds immediately preceding commencement of the closing
auction for SETS securities on the London Stock Exchange Main Market (“LSE closing auction”),
generally, and without limitation to the foregoing, between 4:29:30 and 4:30:00 p.m. London time.
Tier 2
If no such transaction occurs, such Reference Price shall be the average of the midpoints of eachbid/ask spread in futures during the 30 seconds immediately preceding commencement of the LSE© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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closing auction closing auction, provided that bid/ask spread pairs wider than one (1) Index point
shall not be included in the calculation to determine such Reference Price.
Tier 3
If such Reference Price cannot be determined pursuant to Tiers 1 and 2 above, then the Exchange,
in its sole discretion, shall set such Reference Price by alternative means which may include, butare 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 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 one(1) Index point. Such Reference Price, so rounded, shall be used for determination of thecorresponding Price Limits.
In the event of an early close of the London Stock Exchange (“LSE”), such Reference Price shallbe made on the basis of the thirty (30) seconds immediately preceding the LSE closing auction.
For newly listed futures, the Exchange shall set, in its sole discretion, a Reference Price value forthe purpose of determining Price Limits for the first day of trading in such futures.
Exchange Price Limit Levels: The Price Limits shall be calculated daily based upon the Reference
Price, P, and the value of the Index based upon LSE closing auction prices of Index component
stocks (“I”). The Offset used to derive the daily Price Limits shall be calculated as follows:
7% Offset = 7% of l, or (0.07 x l) rounded down to the nearest 0.5 point increment
The daily Price Limits for futures shall be calculated as follows:
7% Price Limit = P plus 7% Offset, and P minus 7% Offset
Exchange Price Limits from 5:00 p.m. Chicago Time to 8:00 a.m. London 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 calculated on the basis of (i) the Reference Price determined by
the Exchange immediately prior to the most recent LSE closing auction and (ii) the Offset derived
by the Exchange from the Index value based on the most recent LSE closing auction.
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.
Exchange Price Limits from 8:00 a.m. to 4:35 p.m. London Time:
Price Limits shall not apply during LSE Main Market hours.
Exchange Price Limits from 4:35 p.m. London Time to 4:00 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 calculated on the basis of (i) the Reference Price determined by
the Exchange immediately prior to the most recent LSE closing auction and (ii) the Offset derived
by the Exchange from the Index value based on the LSE closing auction first preceding the mostrecent LSE closing auction.
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.

38703.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.
38703.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 made on the basis of the corresponding
London Stock Exchange (“LSE”) Exchange Delivery Settlement Price for that day.
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.
38703.B.
Final Settlement
Clearing members holding open positions in an expiring futures contract at its termination of trading(Rule 38702.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 38703.A.).

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38704.
38705.
38706.

[RESERVED][RESERVED]BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONSAll BTIC transactions must be executed in accordance with the requirements of Rule 524.B.
38706.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 that is executed on a given Trading Day after the scheduled closeof the Primary Listing Exchange, the corresponding futures price shall be made by reference to theIndex closing value for the next Trading Day.
38706.B.
BTIC Price Assignment Procedures
The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.
38706.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 full tick increments of 0.25 Index points.
38706.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.

(End Chapter 387)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 387
E-mini® FTSE® 100 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 make 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® 100 Index (the“Index”) (upon which E-mini® FTSE® 100 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 purpose
to which it is being put in connection with the E-mini® FTSE® 100 Index futures Index. None of the Licensor
Parties have provided or will provide any financial or investment advice or recommendation in relation to theIndex to CME or to its clients. The Index is calculated by FTSE® or its agent. None of the Licensor Parties shallbe (a) liable (whether in negligence or otherwise) to any person for any error in the Index or (b) under anyobligation 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 licence.

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