Chapter 495
Effective Federal Funds Rate Variation Futures

49500.

SCOPE OF CHAPTER
This chapter is limited in application Effective Federal Funds Rate Variation Futures (“futures” or“contract”). In addition to this chapter, futures shall be subject to the general rules and regulations of
the Exchange insofar as applicable.
Unless otherwise specified, times referenced herein shall indicate Central Prevailing Time (“CPT”).

49501.

CONTRACT SPECIFICATIONSEach contract is valued at $2,500 times the contract-grade IMM Index (Rule 49502.C.).

49502.

TRADING SPECIFICATIONS
49502.A.
Trading Schedule
Futures contracts shall be scheduled for trading and delivery during such hours and in such months
as may be determined by the Exchange. Contracts listed for a scheduled Federal Open MarketCommittee meeting will remain listed for trading according to Rule 49502.B, even in the event of thecancellation or rescheduling of a previously scheduled Federal Open Market Committee meeting.
49502.B.
Trading Unit
For a contract for a given delivery, prices shall be quoted as the value of the Effective Federal Funds
Rate published two Business Days after the final day of a scheduled Federal Open Market Committee
meeting less the Effective Federal Funds Rate published one Business Day after the final day of ascheduled Federal Open Market Committee meeting, such that each basis point per annum ofinterest = $25 per contract.
49502.C.
Price Increments
Daily contract prices shall be quoted as the value of the expected difference in Effective Federal
Funds Rates as specified in Rule 49502.B.
Example: If the value of the Effective Federal Funds Rate published two Business Days
after the final day of a scheduled Federal Open Market Committee meeting less theEffective Federal Funds Rate published one Business Day after the final day of ascheduled Federal Open Market Committee meeting is 0.2500, the daily price shall bequoted as 0.2500.
The minimum price fluctuation shall be 0.005, equal to $12.50 per contract.
49502.D.
Position Limits, Exemptions, Position Accountability and Reportable Levels
The applicable position limits and/or accountability levels, in addition to the reportable levels, are set
forth in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations& 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 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.
49502.E.
[Reserved]49502.F.
Special Price Fluctuation Limits
At the commencement of each trading day, the contract shall be subject to special price fluctuation
limits as set forth in Rule 589 and in the Special Price Fluctuation Limits and Daily Price Limits Tablein the Interpretations & Special Notices Section of Chapter 5.
49502.G.
Termination of Trading
Trading in an expiring contract shall terminate at approximately 9:00 a.m. Eastern Prevailing Timeon the second Business Day immediately following the final day of a scheduled Federal Open© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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Markets Committee meeting.
49502.H.
[Reserved]49503.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.
49503.A.

Final Settlement Price

Final settlement price, occurring two Business Days after the final day of a Federal Open Markets
Committee meeting, shall be equal to the daily settlement price on this day.
Example: If the value of the Effective Federal Funds Rate published two Business Days
after the final day of a scheduled Federal Open Market Committee meeting less theEffective Federal Funds Rate published one Business Day after the final day of ascheduled Federal Open Market Committee meeting is 0.2500, the daily price shall bequoted as 0.2500.
49503.B.
Final Settlement
Clearing members holding open positions in a contract at the time of termination of trading in that
contract shall make payment to or receive payment from the Clearing House in accordance withnormal variation performance bond procedures based on a settlement price equal to the final
settlement price.

49504. [RESERVED](End Chapter 495)

© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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