Chapter 700
SECURITY FUTURES PRODUCT LISTING STANDARDS
70000.

SCOPE OF CHAPTER
This chapter is limited in application to initial and maintenance listing standards for Security Futures
Products (“SFPs”) listed on Chicago Mercantile Exchange (the “Exchange”).

70001.

SINGLE SECURITY FUTURES – INITIAL LISTING STANDARDS
For a Security Futures Product, that is physically settled, to be eligible for initial listing, the security
underlying the futures contract must meet each of the following requirements:
1. It must be a common stock, an American Depositary Receipt (“ADR”) representing common
stock or ordinary shares, a share of an exchange traded fund (“ETF Share”), a trust issued
receipt (“TIR”) or a share of a registered closed-end management investment company(“Closed-End Fund Share”).
2. It must be registered under Section 12 of the Securities Exchange Act of 1934 (as amended
from time to time, the “Exchange Act”), and its issuer must be in compliance with any
applicable requirements of the Exchange Act.
3. It must be listed on a national securities exchange or traded through the facilities of a national
securities association and reported as a “national market system” security as set forth in Rule
11Aa3-1 under the Exchange Act (“NMS security”).
4. There must be at least seven million shares or receipts evidencing the underlying security
outstanding that are owned by persons other than those required to report their security
holdings pursuant to Section 16(a) of the Exchange Act.

INTERPRETATION OF REQUIREMENT 4 AS APPLIED TO
RESTRUCTURE SECURITIESIn the case of an equity security that a company issues or anticipates issuing as the result of aspin-off, reorganization, recapitalization, restructuring or similar corporate transaction (“Restructure
Security”), the Exchange may assume that this requirement is satisfied if, based on a reasonable
investigation, it determines that, on the product’s intended listing date: (A) at least 40 million sharesof the Restructure Security will be issued and outstanding; or (B) the Restructure Security will belisted on an exchange or automated quotation system that is subject to an initial listing requirementof no less than seven million publicly owned shares.
In the case of a Restructure Security issued or distributed to the holders of the equity security thatexisted prior to the ex-date of a spin-off, reorganization, recapitalization, restructuring or similar
corporate transaction (“Original Equity Security”), the Exchange may consider the number ofoutstanding shares of the Original Equity Security prior to the spin-off, reorganization,
recapitalization, restructuring or similar corporate transaction (“Restructuring Transaction”).
5. In the case of an underlying security other than an ETF Share, TIR or Closed-End Fund Share,
there must be at least 2,000 security holders.

INTERPRETATION OF REQUIREMENT 5 AS APPLIED TO
RESTRUCTURE SECURITIES
If the security under consideration is a Restructure Security, the Exchange may assume that thisrequirement is satisfied if, based on a reasonable investigation, the Exchange determines that, on
the product’s intended listing date: (A) at least 40 million shares of the Restructure Security will be
issued and outstanding; or (B) the Restructure Security will be listed on an exchange or automatedquotation system that is subject to an initial listing requirement of at least 2,000 shareholders. In
the case of a Restructure Security issued or distributed to the holders of the Original Equity
Security, the Exchange may consider the number of shareholders of the Original Equity Security
prior to the Restructuring Transaction.
6. In the case of an underlying security other than an ETF Share, TIR or Closed-End Fund Share,
it must have had total trading volume (in all markets in which the underlying security is traded)© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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of at least 2,400,000 shares or receipts evidencing the underlying security in the preceding 12months.

INTERPRETATION OF REQUIREMENT 6 AS APPLIED TO
RESTRUCTURE SECURITIES
Look-Back Test: In determining whether a Restructure Security that is issued or distributed to theshareholders of an Original Equity Security (but not a Restructure Security that is issued pursuant
to a public offering or rights distribution) satisfies this requirement, the Exchange may “look back” tothe trading volume history of the Original Equity Security prior to the ex-date of the Restructuring
Transaction if the following Look-Back Test is satisfied:a. The Restructure Security has an aggregate market value of at least $500 million;b. The aggregate market value of the Restructure Security equals or exceeds the Relevant
Percentage (defined below) of the aggregate market value of the Original Equity Security;c. The aggregate book value of the assets attributed to the business represented by the
Restructure Security equals or exceeds $50 million and the Relevant Percentage of theaggregate book value of the assets attributed to the business represented by the OriginalEquity Security; ord. The revenues attributed to the business represented by the Restructure Security equal or
exceed $50 million and the Relevant Percentage of the revenues attributed to thebusiness represented by the Original Equity Security.
For purposes of determining whether the Look-Back Test is satisfied, the term “Relevant
Percentage” means: (i) 25%, when the applicable measure determined with respect to the OriginalEquity Security or the business it represents includes the business represented by the Restructure
Security; and (ii) 33-1/3%, when the applicable measure determined with respect to the OriginalEquity Security or the business it represents excludes the business represented by the Restructure
Security.
In calculating comparative aggregate market values, the Exchange will use the Restructure
Security’s closing price on its primary market on the last business day prior to the date on which the
Restructure Security is selected as an underlying security for a SFP (“Selection Date”), or the
Restructure Security’s opening price on its primary market on the Selection Date, and will use thecorresponding closing or opening price of the related Original Equity Security.
Furthermore, in calculating comparative asset values and revenues, the Exchange will use theissuer’s (i) latest annual financial statements or (ii) most recently available interim financial
statements (so long as such interim financial statements cover a period of not less than threemonths), whichever are more recent. Those financial statements may be audited or unaudited andmay be pro forma.
Limitation on Use of Look-Back Test: Except in the case of a Restructure Security that is
distributed pursuant to a public offering or rights distribution, the Exchange will not rely upon the
trading volume history of an Original Equity Security for any trading day unless it also relies upon
the market price history for that trading day.
In addition, once the Exchange commences to rely upon a Restructure Security’s trading volume
and market price history for any trading day, the Exchange will not rely upon the trading volume
and market price history of the Original Equity Security for any trading day thereafter.
7. In the case of an underlying security that is an ETF Share, TIR or Closed-End Fund Share, it
must have had a total trading volume (in all markets in which the underlying security has
traded) of at least 2,400,000 shares or receipts evidencing the underlying security in thepreceding 12 months.
8. If the underlying security is a “covered security as defined under Section 18(b)(1)(A) of the
Securities Act of 1933, the market price per share of the underlying security has been at least$3.00 for the previous five consecutive business days preceding the date on which the
Exchange commences to list and trade the Security Futures Product on said underlying
security. For purposes of this provision, the market price of such underlying security ismeasured by the closing price reported in the primary market in which the underlying security
is traded.

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INTERPRETATION OF REQUIREMENT 8 AS APPLIED TO
RESTRUCTURE SECURITIES
Look-Back Test: In determining whether a Restructure Security that is issued or distributed to theshareholders of an Original Equity Security (but not a Restructure Security that is issued pursuant
to a public offering or rights distribution) satisfies this requirement, the Exchange may “look back” tothe market price history of the Original Equity Security prior to the ex-date of the Restructuring
Transaction if the following Look-Back Test is satisfied:a. The Restructure Security has an aggregate market value of at least $500 million;b. The aggregate market value of the Restructure Security equals or exceeds the Relevant
Percentage (defined below) of the aggregate market value of the Original Equity Security;c. The aggregate book value of the assets attributed to the business represented by the
Restructure Security equals or exceeds both $50 million and the Relevant Percentage ofthe aggregate book value of the assets attributed to the business represented by the
Original Equity Security; ord. The revenues attributed to the business represented by the Restructure Security equals or
exceeds both $50 million and the Relevant Percentage of the revenues attributed to thebusiness represented by the Original Equity Security.
For purposes of determining whether the Look-Back Test is satisfied, the term “Relevant
Percentage” means: (i) 25%, when the applicable measure determined with respect to the OriginalEquity Security or the business it represents includes the business represented by the Restructure
Security; and (ii) 33-1/3%, when the applicable measure determined with respect to the OriginalEquity Security or the business it represents excludes the business represented by the Restructure
Security.
In calculating comparative aggregate market values, the Exchange will use the Restructure
Security’s closing price on its primary market on the last business day prior to the Selection Date,or the Restructure Security’s opening price on its primary market on the Selection Date, and will
use the corresponding closing or opening price of the related Original Equity Security.
Furthermore, in calculating comparative asset values and revenues, the Exchange will use theissuer’s (i) latest annual financial statements or (ii) most recently available interim financial
statements (so long as such interim financial statements cover a period of not less than threemonths), whichever are more recent. Those financial statements may be audited or unaudited andmay be pro forma.
Restructure Securities Issued in Public Offering or Rights Distribution: In determining
whether a Restructure Security that is distributed pursuant to a public offering or a rights
distribution satisfies requirement 8, the Exchange may look back to the market price history of theOriginal Equity Security if: (i) the foregoing Look-Back Test is satisfied; (ii) the Restructure Security
trades “regular way” on an exchange or automatic quotation system for at least five trading days
immediately preceding the Selection Date; and (iii) at the close of trading on each trading day on
which the Restructure Security trades “regular way” prior to the Selection Date, as well as at the
opening of trading on Selection Date, the market price of the Restructure Security was at least$3.00.
Limitation on Use of Look-Back Test: Except in the case of a Restructure Security that is
distributed pursuant to a public offering or rights distribution, the Exchange will not rely upon themarket price history of an Original Equity Security for any trading day unless it also relies upon the
trading volume history for that trading day. In addition, once the Exchange commences to rely
upon a Restructure Security’s trading volume and market price history for any trading day, theExchange will not rely upon the trading volume and market price history of the related OriginalEquity Security for any trading day thereafter.
9. If the underlying security is not a “covered security as defined under Section 18(b)(1)(A) of the
Securities Act of 1933, the market price per share of the underlying security has been at least$7.50 for the previous five consecutive business days preceding the date on which the
Exchange commences to list and trade the Security Futures Product on said underlying
security. For purposes of this provision, the market price of such underlying security is© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

Page 3 of 9measured by the closing price reported in the primary market in which the underlying security
is traded.

INTERPRETATION OF REQUIREMENT 9 AS APPLIED TO
RESTRUCTURE SECURITIES
Look-Back Test: In determining whether a Restructure Security that is issued or distributed to theshareholders of an Original Equity Security (but not a Restructure Security that is issued pursuant
to a public offering or rights distribution) satisfies this requirement, the Exchange may “look back” tothe market price history of the Original Equity Security prior to the ex-date of the Restructuring
Transaction if the following Look-Back Test is satisfied:a. The Restructure Security has an aggregate market value of at least $500 million;b. The aggregate market value of the Restructure Security equals or exceeds theRelevant Percentage (defined below) of the aggregate market value of the OriginalEquity Security;c. The aggregate book value of the assets attributed to the business represented by the
Restructure Security equals or exceeds both $50 million and the Relevant Percentageof the aggregate book value of the assets attributed to the business represented by
the Original Equity Security; ord. The revenues attributed to the business represented by the Restructure Security
equals or exceeds both $50 million and the Relevant Percentage of the revenues
attributed to the business represented by the Original Equity Security.
For purposes of determining whether the Look-Back Test is satisfied, the term “Relevant
Percentage” means: (i) 25%, when the applicable measure determined with respect to the OriginalEquity Security or the business it represents includes the business represented by the Restructure
Security; and (ii) 33-1/3%, when the applicable measure determined with respect to the OriginalEquity Security or the business it represents excludes the business represented by the Restructure
Security.
In calculating comparative aggregate market values, the Exchange will use the Restructure
Security’s closing price on its primary market on the last business day prior to the Selection Date,or the Restructure Security’s opening price on its primary market on the Selection Date, and will
use the corresponding closing or opening price of the related Original Equity Security.
Furthermore, in calculating comparative asset values and revenues, the Exchange will use theissuer’s (i) latest annual financial statements or (ii) most recently available interim financial
statements (so long as such interim financial statements cover a period of not less than threemonths), whichever are more recent. Those financial statements may be audited or unaudited andmay be pro forma.
Restructure Securities Issued in Public Offering or Rights Distribution: In determining
whether a Restructure Security that is distributed pursuant to a public offering or a rights
distribution satisfies requirement 9, the Exchange may look back to the market price history of theOriginal Equity Security if: (i) the foregoing Look-Back Test is satisfied; (ii) the Restructure Security
trades “regular way” on an exchange or automatic quotation system for at least five trading days
immediately preceding the Selection Date; and (iii) at the close of trading on each trading day on
which the Restructure Security trades “regular way” prior to the Selection Date, as well as at the
opening of trading on Selection Date, the market price of the Restructure Security was at least$7.50.
Limitation on Use of Look-Back Test: Except in the case of a Restructure Security that is
distributed pursuant to a public offering or rights distribution, the Exchange will not rely upon themarket price history of an Original Equity Security for any trading day unless it also relies upon the
trading volume history for that trading day. In addition, once the Exchange commences to rely
upon a Restructure Security’s trading volume and market price history for any trading day, theExchange will not rely upon the trading volume and market price history of the related OriginalEquity Security for any trading day thereafter.

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10. If the underlying security is an ADR:
a. The Exchange must have an effective surveillance sharing agreement with theprimary exchange in the home country where the stock underlying the ADR is traded;b. The combined trading volume of the ADR and other related ADRs and securities in
the U.S. ADR market, or in markets with which the Exchange has in place an effective
surveillance sharing agreement, represents (on a share equivalent basis) at least
50% of the combined worldwide trading volume in the ADR, the security underlying
the ADR, other classes of common stock related to the underlying security, and ADRs
overlying such other stock over the three-month period preceding the dates of
selection of the ADR for futures trading (“Selection Date”);c.
(1)
The combined trading volume of the ADR and other related ADRs andsecurities in the U.S. ADR market, and in markets where the Exchange has inplace an effective surveillance sharing agreement, represents (on a shareequivalent basis) at least 20% of the combined worldwide trading volume in
the ADR and in other related ADRs and securities over the three-month period
preceding the Selection Date;(2)
The average daily trading volume for the ADR in the U.S. markets over thethree-month period preceding the Selection Date is at least 100,000 receipts;
and(3)
The daily trading volume for the ADR is at least 60,000 receipts in the U.S.
markets on a majority of the trading days for the three-month period preceding
the Selection Date.
Or
d. The Securities and Exchange Commission and Commodity Futures Trading
Commission have otherwise authorized the listing.
11. The Exchange will not list for trading any SFP where the underlying security is a Restructure
Security that is not yet issued and outstanding, regardless of whether the Restructure Security
is trading on a “when issued” basis or on another basis that is contingent upon the issuance or
distribution of securities.

70002.

SINGLE SECURITY FUTURES – MAINTENANCE LISTING STANDARDS
1.

The Exchange will not open for trading any SFP, that is physically settled, with a new delivery
month, and may prohibit any opening purchase transactions in the SFP already trading, to theextent it deems such action necessary or appropriate, unless the underlying security meets
each of the following maintenance requirements; provided that, if the underlying security is an
ETF Share, TIR or Closed-End Fund Share, the applicable requirements for initial listing of therelated SFP (as described in Rule 70001 above) shall apply in lieu of the following
maintenance requirements:
a. It must be registered under Section 12 of the Exchange Act.
b. There must be at least 6,300,000 shares or receipts evidencing the underlying
security outstanding that are owned by persons other than those who are required toreport their security holdings pursuant to Section 16(a) of the Exchange Act.
c. There must be at least 1,600 securityholders.
d. It must have had an average daily trading volume (across all markets in which theunderlying security is traded) of least 82,000 shares or receipts evidencing theunderlying security in each of the preceding 12 months.

INTERPRETATION OF REQUIREMENT 1.d AS APPLIED TO
RESTRUCTURE SECURITIES
If a Restructure Security is approved for a SFP trading under the initial listing standards in Rule
70001, the average daily trading volume history of the Original Equity Security (as defined in Rule
70001) prior to the commencement of trading in the Restructure Security (as defined in Rule

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70001), including “when-issued” trading, may be taken into account in determining whether thisrequirement is satisfied.
e. The market price per share or receipt of the underlying security has not closed below$3.00 on the previous trading day to the Expiration Day of the nearest expiring
Contact on the underlying security. The market price per share of the underlying
security will be measured by the closing price reported in the primary market in which
the underlying security traded.

INTERPRETATION OF REQUIREMENT 1.e AS APPLIED TO
RESTRUCTURE SECURITIES
If a Restructure Security is approved for SFP trading under the initial listing standards per Rule
70001, the market price history of the Original Equity Security prior to the commencement oftrading in the Restructure Security, including “when-issued” trading, may be taken into account indetermining whether this requirement is satisfied.
f. If the underlying security is an ADR and was initially deemed appropriate for SFP
trading per Rule 70001.10.b or Rule 70001.10.c., the Exchange will not open fortrading SFPs having additional delivery months on the ADR unless:(1)
The percentage of worldwide trading volume in the ADR and other related
securities that takes place in the U.S. and in markets with which the Exchange
has in place effective surveillance sharing agreements for any consecutive
three-month period is: (1) at least 30%, without regard to the average daily
trading volume in the ADR; or (2) at least 15% when the average U.S. daily
trading volume in the ADR for the previous three months is at least 70,000
receipts;(2)
The Exchange has in place an effective surveillance sharing agreement withthe primary exchange in the home country where the security underlying the
ADR is traded; or(3)
The Securities and Exchange Commission and Commodity Futures Trading
Commission have otherwise authorized the listing.
1. The Exchange will not open trading in a SFP with a new delivery month unless:a. The issuer of the underlying security satisfies applicable Exchange Act reporting
requirements, or corrects any failure within 30 days after the date the report was due
to be filed; andb. The underlying security is listed on a national securities exchange or is principally
traded through the facilities of a national securities association and is designated as
an NMS security.
c. The underlying security is registered under Section 12 of the Securities Exchange Actof 1934 (as amended from time to time, the “Exchange Act”), and its issuer is incompliance with applicable requirements of the Exchange Act.
2. If prior to the withdrawal from trading of a SFP covering an underlying security that has beenfound not to meet the Exchange’s requirements for continued approval, the Exchange
determines that the underlying security again meets the Exchange’s requirements, theExchange may open for trading new delivery months in such SFP and may lift any restriction
on opening purchase transactions.
3. Whenever the Exchange announces that approval of an underlying security has been
withdrawn for any reason or that the Exchange has been informed that the issuer of anunderlying security has ceased to be in compliance with Exchange Act reporting requirements,
each Clearing Member and Exchange Member (as such terms are defined in the Rules of the
Exchange as in effect from time to time) shall, prior to effecting any transaction in SFPs withrespect to such underlying security for any customer, inform such customer of such fact andthat the Exchange may prohibit further transactions in such SFPs as it determines is necessary
and appropriate.

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70003.

SFPs BASED ON INDEX COMPOSED OF TWO OR MORE SECURITIES –INITIAL LISTING STANDARDS
For a SFP based on an index, that is physically settled, composed of two or more securities to beeligible for initial listing, the index must:
1. Meet the definition of a narrow-based security index in Section 1a(35) of the Commodity
Exchange Act and Section 3(a)(55) of the Exchange Act; and2. Meet the following requirements:
a. It must be capitalization-weighted, modified capitalization-weighted, price-weighted orequal dollar-weighted or, in the case of an index underlying physically settled security
futures products only, approximately equal dollar-weighted.

INTERPRETATION OF REQUIREMENT 2.a. AS APPLIED TO
APPROXIMATELY EQUAL DOLLAR-WEIGHTED INDICES UNDERLYINGPHYSICALLY SETTLED SFPs.
In the case of a physically settled SFP based on an approximately equal dollar-weighted index
composed of one or more securities, each component security will be weighted equally based on
its market price on the Selection Date, subject to rounding up or down the number of shares or
receipts evidencing such security to the nearest multiple of 100 shares or receipts.
a. Its component securities must be registered under Section 12 of the Exchange Act.
b. Subject to e and l below, the component securities that account for at least 90% of
the total index weight and at least 80% of the total number of component securities in
the index must meet the requirements for listing a single-security future, as set forth inRule 70001.
c. Each component security in the index must have a minimum market capitalization ofat least $75 million, except that each of the lowest weighted securities in the index
that in the aggregate account for no more than 10% of the weight of the index may
have a minimum market capitalization of only $50 million.
d. The average daily trading volume in each of the preceding six months for eachcomponent security in the index must be at least 45,500 shares or receipts, exceptthat each of the lowest weighted component securities in the index that in theaggregate account for no more than 10% of the weight of the index may have an
average daily trading volume of only 22,750 shares or receipts for each of the last six
months.
e. Each component security in the index must be listed on a national securities
exchange or traded through the facilities of a national securities association andreported as an NMS security.
f. Foreign securities or ADRs thereon that are not subject to comprehensive
surveillance sharing agreements must not represent more than 20% of the weight of
the index.
g. The current underlying index value must be reported at least once every 15 seconds
during the time the SFP is traded on the Exchange.
h. An equal dollar-weighted index must be rebalanced at least once every calendar
quarter, except that an approximately equal dollar-weighted index underlying aphysically settled SFP need only be rebalanced as provided in (j) below.
i. An approximately equal dollar-weighted index underlying a physically settled security
futures product must be rebalanced annually if the aggregate value (i.e., the original
number of shares multiplied by their current price) of the security position with thehighest value is two or more times greater than the aggregate value of the security
position with the lowest value in the index for any period of 10 consecutive trading
days within the last month preceding the date of determination. In addition, theExchange may from time to time, but no frequently than quarterly, elect to rebalance
any approximately equal dollar-weighted index underlying a physically settled security
futures product depending on several factors, including the relative price changes of© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

Page 7 of 9the component securities, the levels of volume and open interest in the contracts andinput from market participants.

INTERPRETATION OF REQUIREMENT 2.j. REGARDING
PROCEDURES FOR REBALANCING
The date of determination for the mandatory annual rebalancing of a approximately equal dollarweighted index underlying a physically settled security futures product as described in the first
sentence of (j) will initially be the last trading day of the year, except that, if the Exchange has
rebalanced such index on an interim basis as described in the second sentence of (j), any following
annual rebalancing of such index will occur on the anniversary date of the interim rebalancing.
New contracts issued on or after a date on which the corresponding index is rebalanced inaccordance with (j) will be based on an index consisting of the original component securities,
weighted applying the methodology described under (a) above on the basis of security prices on
the rebalancing date. Outstanding contracts will not be affected by any rebalancing.
a. If the underlying index is maintained by a broker-dealer, the index must be calculated
by a third party who is not a broker-dealer, and the broker-dealer must have in place
an information barrier around its personnel who have access to information
concerning changes in and adjustments to the index.
b. In a capitalization-weighted index, the lesser of: (1) the five highest weighted
component securities in the index each have had an average daily trading volume ofat least 90,000 shares or receipts over the past six months; or (2) the highest
weighted component securities in the index that in the aggregate represent at least
30% of the total number of securities in the index each have had an average daily
trading volume of at least 90,000 shares or receipts over the past six months.

70004.

SFPs BASED ON INDEX COMPOSED OF TWO OR MORE SECURITIES –MAINTENANCE LISTING STANDARDSThe Exchange will not open for trading SFPs, that are physically settled, based on an index
composed of two or more securities with a new delivery month unless the underlying index:
1. Meets the definition of a narrow-based security index in Section 1a(35) of the Commodity
Exchange Act and Section 3(a)(55) of the Exchange Act; and2. Meets the following requirements:
a. Its component securities must be registered under Section 12 of the Exchange Act;b. Subject to (d) and (k) below, the component securities that account for at least 90% of
the total index weight and at least 80% of the total number of component securities in
the index must meet the requirements for listing a single-security future, as set forth in
70001.
c. Each component security in the index must have a market capitalization of at least$75 million, except that each of the lowest weighted component securities that in theaggregate account for no more than 10% of the weight of the index may have amarket capitalization of only $50 million.
d. The average daily trading volume in each of the preceding six months for eachcomponent security in the index must be at least 22,750 shares or receipts, exceptthat each of the lowest weighted component securities in the index that in theaggregate account for no more than 10% of the weight of the index may have an
average daily trading volume of at least 18,200 shares or receipts for each of the last
six months.
e. Each component security in the index must be listed on a national securities
exchange or traded through the facilities of a national securities association andreported as an NMS security.
f. Foreign securities or ADRs thereon that are not subject to comprehensive
surveillance sharing agreements must not represent more than 20% of the weight of
the index.

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g.
h.

i.

The current underlying index value must be reported at least once every 15 seconds
during the time the SFP is traded on the Exchange.
An equal dollar-weighted index will be rebalanced at least once every calendar
quarter, except that an approximately equal dollar-weighted index underlying aphysically settled security futures product need only be rebalanced as provided in (i)below.
An approximately equal dollar-weighted index underlying a physically settled security
futures product must be rebalanced annually if the aggregate value (i.e., the original
number of shares multiplied by their current price) of the security position with thehighest value of the security position with the lowest value in the index for any periodof 10 consecutive trading days within the last month preceding the date ofdetermination. In addition, the Exchange may from time to time, but not more
frequently than quarterly, elect to rebalance any approximately equal dollar-weighted
index underlying a physically settled security futures product depending on several
factors, including the relative price changes of the component securities, the levels of
volume and open interest in the contracts and input from market participants.

INTERPRETATION OF REQUIREMENT 2.i. REGARDING
PROCEDURES FOR REBALANCING
In the case of a physically settled SFP based on an approximately equal dollar-weighted index
composed of one or more securities, each component security will be weighted equally based on
its market price on the Selection Date, subject to rounding up or down the number of shares or
receipts evidencing such security to the nearest multiple of 100 shares or receipts.
a. If the underlying index is maintained by a broker-dealer, the index must be calculated
by a third party who is not a broker-dealer, and the broker-dealer must have in place
an information barrier around its personnel who have access to information
concerning changes in and adjustments to the index.
b. In a capitalization-weighted index, the lesser of: (1) the five highest weighted
component securities in the index each have had an average daily trading volume ofat least 45,500 shares or receipts over the past six months; and (2) the highest
weighted component securities in the index that in the aggregate represent at least
30% of the total number of stocks in the index each have had an average daily
trading volume of at least 45,500 shares or receipts over the past six months.
c. The total number of component securities in the index must not increase or decreaseby more than 33-1/3% from the number of component securities in the index at thetime of its initial listing.
If the foregoing maintenance standards are not satisfied, the Exchange will not open for trading a
SFP based on an index composed of two or more securities with a new delivery month, unless it
receives the approval of the Securities and Exchange Commission and the Commodity Futures
Trading Commission.
(End of Chapter 700)

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