Chapter 371
Yen Denominated TOPIX Index Futures
37100.

SCOPE OF CHAPTER
This chapter is limited in application to Yen Denominated TOPIX Index futures. In addition to thischapter, futures shall be subject to the general rules and regulations of the Exchange as applicable.
Unless otherwise specified, times referenced herein shall refer to and indicate Chicago time.

37101.

CONTRACT SPECIFICATIONSEach futures contract shall be valued at ¥5,000 times the TOPIX Index (“Index”).

37102.

TRADING SPECIFICATIONS
37102.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.
37102.B.
Trading Unit
The unit of trading shall be ¥5,000 times the Index.
37102.C.
Price Increments
Bids and offers shall be quoted in Index points. Subject to Rule 37106.C., the minimum priceincrement shall be 0.5 Index points, equal to ¥2,500 per contract.
37102.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.
37102.E.
[Reserved]
37102.F.
[Reserved]
37102.G.
Termination of Trading
Trading in expiring futures shall terminate at the close of trading on the Business Day immediately
preceding the Business Day scheduled for determination of the Final Settlement Price of suchfutures (Rule 37103.A.).
37102.H.
[Reserved]
37102.I.
Price Limits and Trading Halts
The primary futures contract 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. There shall be no Daily Price Limits in a contract on its last day of trading.
Reference Prices for Price Limits and Exchange Trading HaltsDaily price limits in futures will be established relative to the contract rounded Reference Price (“P”)
which shall be determined by the Exchange as follows:
Tier 1

Tier 2

Such Reference Price shall be based on the volume-weighted average price oftransactions in TOPIX futures for the same delivery month, executed on the Osaka Stock
Exchange (“OSE”) either during the interval between 2:59:30 to 3:00:00 p.m. Tokyo timeor, in the event of an early close of the OSE, during the last thirty (30) seconds of the OSE
trading day (“Reference Interval”).
If no such transaction occurs during the Reference Interval, then such Reference Priceshall be the average of midpoints of bid/ask spreads in TOPIX futures for the samedelivery month, as quoted on the OSE during the Reference Interval, provided that theReference Price calculation shall exclude the midpoint value for any such bid/ask spreadthat is wider than 1.5 Index points (equal to 3 minimum price increments).

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Tier 3

If such Reference Price cannot be determined pursuant to Tiers 1 and 2 above, then theExchange, in its sole discretion, shall set such Reference Price by alternative means
which may include, but are not limited to, derivation by reference to the basis relationshipbetween such futures contract’s price and the Index, or application of Tier 1 and Tier 2
calculations to successive time intervals of increasing 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 0.5
Index points. Such Reference Price, so rounded, shall be used for determination of thecorresponding Price Limits.
If, on any CME Business Day, the OSE TOPIX futures market is closed for trading, then the
Reference Price used for the calculation of daily Price Limits shall be the most recently calculated
Reference Price.
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.
Exchange Price Limit Levels: Price Limits shall be calculated daily based upon the rounded
Reference Price, P, and Offset levels.
There will be three (3) Offset levels used to determine the three daily upward and the three daily
downward Price Limits.
The three Offset levels will be:
8% Offset = (8% × P)
12% Offset = (12% × P)
16% Offset = (16% × P)
Each resultant Offset value shall be rounded down to the nearest integer multiple of 0.5 Index
points. Each such Offset, so rounded, shall be used in determination of the corresponding Price
Limits, in accord with Rule 37102.I.1.
The Daily Price Limits for Nikkei Stock Average futures shall be calculated as follows:
1st Price Limits
equals Rounded Reference Price (P) ± 8% Offset level
2nd Price Limits
equalsRounded Reference Price (P) ± 12% Offset levelrd
3 Price Limits
equalsRounded Reference Price (P) ± 16% Offset levelIf, on any CME Business Day, the OSE TOPIX futures market is closed for trading, then theReference Price used for the calculation of daily Price Limits shall be the most recently calculated
Reference Price.
Downward Price Limits
At such time as the Primary Futures Contract becomes limit offered at the downward 8% PriceLimit, the Exchange shall initiate a 2-minute observation interval. At the conclusion of suchobservation interval:
If the Primary Futures Contract is not limit offered at its downward 8% Price Limit, futures
trading shall continue subject to the corresponding downward 12% Price Limit.
If the Primary Futures Contract remains limit offered at its downward 8% Price Limit, futures
trading shall halt for two (2) minutes, and shall then resume subject to the corresponding
downward 12% Price Limit.
At such time as the Primary Futures Contract becomes limit offered at its downward 12% PriceLimit, the Exchange shall initiate a 2-minute observation interval. At the conclusion of suchobservation interval:
If the Primary Futures Contract is not limit offered at its downward 12% Price Limit, futures
trading shall continue subject to the corresponding 16% Price Limit.
If the Primary Futures Contract remains limit offered at its downward 12% Price Limit, futures
trading shall halt for two (2) minutes, and shall then resume subject to the corresponding
downward 16% Price Limit.
There shall be no futures trading at any price strictly lower than the corresponding downward 16%Price Limit.

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Upward Price Limits
At such time as the Primary Futures Contract becomes limit bid at the upward 8% Price Limit, theExchange shall initiate a 2-minute observation interval. At the conclusion of such observationinterval:
If the Primary Futures Contract is not limit bid at its upward 8% Price Limit, futures trading shallresume subject to the corresponding upward 12% Price Limit.
If the Primary Futures Contract remains limit bid at its upward 8% Price Limit, futures trading shallhalt for two (2) minutes, and shall then resume subject to the corresponding upward 12% PriceLimit.
At such time as the Primary Futures Contract becomes limit bid at its upward 12% Price Limit, theExchange shall initiate a 2-minute observation interval. At the conclusion of such observationinterval:
If the Primary Futures Contract is not limit bid at its upward 12% Price Limit, futures trading shallresume subject to the corresponding upward 16% Price Limit.
If the Primary Futures Contract remains limit bid at its upward 12% Price Limit, futures trading shallhalt for two (2) minutes, and shall then resume subject to the corresponding upward 16% PriceLimit.
There shall be no futures trading at any price strictly higher than the corresponding upward 16%Price Limit.

37103.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.
37103.A.
Final Settlement Price
For a futures contract for a given delivery month, the Final Settlement Price shall be based on thespecial quotation of the Index, determined by the TSE on the basis of opening prices on the TSE ofeach Index component stock. The Final Settlement Price shall be such special quotation of theIndex rounded to the nearest 0.01 Index points.
Such special quotation of the Index and the corresponding Final Settlement Price typically shall bedetermined on the second Friday of such delivery month. When the second Friday of such delivery
month is not a TSE business day, such special quotation of the Index and the corresponding Final
Settlement Price shall be determined on the TSE business day immediately preceding the second
Friday of such delivery month.
37103.B.
Final Settlement
Clearing members holding open positions in an expiring futures contract at its termination of trading(Rule 37102.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 37103.A.).

37104.

[RESERVED]

37105[RESERVED]

37106.

BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONSAll BTIC transactions must be executed in accordance with the requirements of Rule 524.B.
Notwithstanding the provisions in Rule 524.B.2., BTIC transactions are permitted on the last day of
trading for the contract.
37106.A. Reserved
37106.B. BTIC Price Assignment Procedures
The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.
37106.C. BTIC Minimum Price Increments
The minimum price increment shall be 0.025 Index points, equal to ¥125 per contract, for any basis
adjustment that is applied to the Index closing level to establish the futures price of a BTIC
transaction.
37106.D. Market Disruption Events© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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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 regulatory trading halt
necessitating an early closure of the Primary Listing Exchange.
37106.E. [Reserved](End Chapter 371)

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