Chapter 354
USD Denominated Ibovespa Futures
35400.

SCOPE OF CHAPTER
This chapter is limited in application to Bovespa Index (“Ibovespa”) futures. In addition to this chapter,
Ibovespa futures shall be subject to the general rules and regulations of the Exchange as applicable.
For purposes of this chapter, unless otherwise specified, times referred to herein shall refer to andindicate Chicago time.

35401.

CONTRACT SPECIFICATIONSEach USD Denominated Ibovespa futures contract shall be valued at $1.00 times the Ibovespa.

35402.

TRADING SPECIFICATIONS
35402.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.
35402.B.

Trading Unit

The unit of trading shall be 1.00 USD times the Ibovespa.
35402.C.

Price Increments1

Bids and offers shall be quoted in terms of the USD Denominated Ibovespa. The minimum fluctuation ofthe futures contract shall be 5 index points, equivalent to 5 USD per contract.
35402.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.
35402.E.
[Reserved]
35402.F.

[Reserved]

35402.G.

Termination of Trading

Futures trading shall terminate at the same time as the close of trading at BM&FBovespa (“BVMF”) on
the day of determination of the Final Settlement Price. The last trading day for USD Denominated
Ibovespa Futures is the Wednesday closest to the 15th calendar day of the contract month. If it is a
non-trading day at BVMF, the last trading day shall be the next BVMF trading day.
35402.H.
[Reserved]
35402.I.
Price Limits, Trading Halts, and/or Trading Hours
For purposes of rules determining price limits and trading halts ETH refers to the Electronic Trading
Hours of the USD Denominated Ibovespa Futures. At the open of ETH, there shall be price limits
corresponding to a 10.0% increase above and a 10.0% decrease below the previous day’s Ibovespa
futures settlement price at BVMF.
1

See Rule 35406.C. (BTIC Orders Minimum Price Increment) for information on the minimum price increment or Tick Size for
BTIC Transactions. BTIC trades that are completed are based on the closing stock index value, and will be cleared in priceincrements of 0.01 index points, because the underlying stock price index is reported to a two decimal place level of precision.
© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

Page 1 of 3

USD Denominated Ibovespa futures price limits shall be calculated daily at the end of each ETH trading
day based on the settlement price of Ibovespa futures (“F”) at BVMF, as follows:
where:
F = Ibovespa futures daily settlement price at BVMF
L = 10% × F

10.0% Price Limits

equalF plus and minus L, or (F ± L), subject to rounding
as follows:

If the lower price limit (F – L) is not evenly divisible by 5, then the lower price limit shall be rounded up tothe nearest 5 point increment. If the upper price limit (F + L) is not evenly divisible by 5, then the upper
price limit shall be rounded down to the nearest 5 point increment.
If there is no trading in Ibovespa futures at BVMF on a CME, Inc. trading day, then the price limits for
USD Denominated Ibovepsa futures shall be the trading limits based on the settlement price for
Ibovespa futures at BVMF during the most recent BVMF trading day. Price limits and trading halts do
not apply to the expiring USD Denominated Ibovespa futures contract during the last three trading daysof the contract.

35403.

SETTLEMENT PROCEDURES
Delivery under the USD Denominated Ibovespa Futures contract shall be by cash settlement.
35403.A.

Final Settlement Price

The Final Settlement Price shall be based on the final settlement price of Ibovespa futures at BVMF.
35403.B.

Final Settlement

Clearing members holding open positions in USD Denominated Ibovespa futures contracts at the timeof termination of trading in that contract shall make payment to or receive payment from the Clearing
House in accordance with normal variation performance bond procedures based on a settlement priceequal to the final settlement price.

35404.- 05. [RESERVED]
35406.

BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONSAll BTIC transactions must be executed in accordance with the requirements of Rule 524.B.
35406.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 close ofthe Primary 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 thePrimary Listing Exchange, the corresponding futures price shall be made by reference to the Index
closing value for the next Trading Day.
35406.B.

BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.
35406.C.

BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures pricemust be stated in full tick increments of five (5) Index points.
35406.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. Such disruption
shall be declared by the Exchange in its sole discretion, and may include, without limitation, an© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

Page 2 of 3

unscheduled early close of the Primary Listing Exchange or a regulatory trading halt necessitating an
early closure of the Primary Listing Exchange.

(End Chapter 354)

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

Page 3 of 3