Chapter 357
S&P 500 Total Return Index Futures
35700.

SCOPE OF CHAPTER
This chapter is limited in application to S&P 500 Total Return 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 referenced herein shall refer to and indicate Chicago time.
35700.A.
Market Decline
For the purposes of this chapter a Market Decline shall be as defined in New York Stock Exchange
Rule 80B for Trading Halts Due to Extraordinary Volatility or in Nasdaq Stock Market Rule 4121 forTrading Halts Due to Extraordinary Volatility.
35700.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).
35700.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 System
Plans, File 4-631) and as implemented under New York Stock Exchange Rule 80B for Trading
Halts Due to Extraordinary Volatility or under Nasdaq Stock Market Rule 4121 for Trading Halts
Due to Extraordinary Volatility.

35701.

CONTRACT SPECIFICATIONSEach futures contract shall be valued at $25.00 times the S&P 500 Total Return Index (“Index”).

35702.

TRADING SPECIFICATIONS
35702.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 S&P 500 Stock Price Index
futures pursuant to Rule 35802.I.
35702.B.
Trading Unit
The unit of trading shall be $25.00 times the Index.
35702.C.
Price Increments
Subject to the Interpretations & Special Notices Relating to Chapter 357, bids and offers shall bequoted in Index points, and the minimum price increment shall be 0.05 Index points, equal to $1.25
per contract.
35702.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 tothe 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.
35702.E.
[Reserved]
35702.F.
[Reserved]© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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35702.G.
Termination of Trading
Subject to the Interpretations & Special Notices Relating to Chapter 357, there shall be no tradingof expiring futures contracts after the open of the Primary Listing Exchange on the day of Final
Settlement Price determination for such contracts (Rule 35703.A.).
If an unscheduled Market Holiday is declared on the day of Final Settlement Price determination(Rule 35703.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.
35702.H.
[Reserved]
35702.I.
[Reserved]35703.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.
35703.A.
Final Settlement Price
For a futures contract for a given delivery month, the Final Settlement Price shall be a special
opening quotation of the Index. Such special opening quotation shall be determined on the third
Friday of such delivery month and shall be based on opening prices of the component stocks of theIndex.
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 such
Final Settlement Price 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 Final Settlement Price the price of such stock shall be its last saleprice, provided that the Exchange in its sole discretion may instruct that the price 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.
35703.B.
Final Settlement
Clearing members holding open positions in an expiring futures contract at its termination of trading(Rule 35702.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 35703.A.).

35704.

[RESERVED]

35705.

[RESERVED]

35706.

BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONSAll BTIC transactions must be executed in accordance with the requirements of Rule 524.B.
35706.A. BTIC Block Trade Requirements
BTIC block trades must be executed in accordance with the requirements of Rule 526. For a BTICor BTIC block trade executed on a given Trading Day on or before the scheduled close of thePrimary Listing Exchange, the corresponding futures price shall be made by reference to the Index
closing value for the current Trading Day. For a BTIC or BTIC block trade executed on a given
Trading Day 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.
35706.B. BTIC Price Assignment Procedures
The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.
35706.C. BTIC Minimum Price Increments
The minimum price increment shall be 0.05 Index points, equal to $1.25 per contract, for any basis© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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adjustment that is applied to an Index closing price to establish a BTIC transaction price.
35706.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.
(End Chapter 357)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 357
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
S&P Dow Jones Indices LLC directly or through one or more affiliates (collectively, "S&P") licenses theExchange to use various S&P stock indices ("S&P Stock Indices") in connection with the trading of futurescontracts and options on futures contracts based upon such indices. S&P shall have no liability for anydamages, claims, losses or expenses caused by any errors or delays in calculating or disseminating theS&P Stock Indices.
S&P Dow Jones Indices LLC and its affiliates (collectively, "S&P") do 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 orany data included therein in connection with the trading of futures contracts, options on futures contracts orany other use. S&P makes no express or implied warranties, and expressly disclaims all warranties ofmerchantability 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 possibilityof such damages.

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

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