€2) (II) 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.

 (xiv)The total number of component securities in the index must
not increase or decrease by more than 33-1/3% from the
number of component securities in the index at the time of
its initial listing.

E (2) If the foregoing maintenance standards in subparagraph (b) are not

satisfied, QneChieage the Exchange will not open for trading a
security futures product 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.

1007 LISTING STANDARDS
For MicroSectors
CASH SETTLED NARROW-BASED INDEX FUTURES

¥. (a) Initial eligibility criteria for a MicroSector security futures product, based on
an index composed of two or more securities.

Ae Notwithstanding Rule 1006, Ffor a cash settled Dow Jones MicroSector
security futures product, the Dow Jones MicroSector Index must:

4) (1)Meet the definition of a narrow-based security index in Section

1a(25) of the Commodity Exchange Act and Section 3(a)(55) of
the Exchange Act; and

4 (2)Meet the following requirements:

fa) (A)It must be approximately equal dollar-weighted composed
of one or more securities in which each component security
will be weighted equally based on its market price on the
Selection Date.

{6) (B)Each of its component securities must be registered under
Section 12 of the Exchange Act.

€e) (C)Each of its component securities must be a component
security in the Dow Jones US Total Market Index or an
ADR linked to a security in the Dow Jones Global Index.

-20-


1006 HE. Listing Standards

(a) Initial eligibility criteria for a security futures product based on an index
composed of two or more securities.

A“; For a security futures product [that is physically settled] based on an index
composed of two or more securities to be eligible for initial listing, the
index must:

(1) Meet the definition of a narrow-based security index in Section
1a(25) of the Commodity Exchange Act and Section 3(a)(55) of the
Exchange Act; and

49 (2) Meet the following requirements:

(a)(A)(i) It must be capitalization-weighted, modified
capitalization-weighted, price-weighted, share-weighted,
equal dollar-weighted er, in-the-ease-of an-index-underlying

physically settled seeurity futures products-only,
approximately equal dollar-weighted, or modified equal-
dollar weighted.

(ii)

In the case of a physieally-settled security futures product
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 index Sselection Ddate, subject to rounding up or
down the number of shares or receipts evidencing such
security to the nearest multiple of 100 shares or receipts.

(iii) __In the case of a modified equal-dollar weighted index, each
underlying component represents a pre-determined
weighting percentage of the entire index. Each component
is assigned a weight that takes into account the relative
market capitalization of the securities comprising the index.

(iv) __In the case of a share-weighted index, the index is
calculated by multiplying the price of the component
security by an adjustment factor. Adjustment factors are
chosen to reflect the investment objective deemed
appropriate by the designer of the index and will be

-14-


volume of at least 18,200 shares for each of the last six
months.

e) (E) Each component security in the index must be G} (i) listed

on an Exchange or traded through the facilities of an
Association and @) (ii) reported as an NMS security.

€ (£) The current underlying index value must be reported at least

once every 15 seconds during the time the security futures
product is traded on OneChieage the Exchange.

€g) (G)An approximately equal dollar weighted index underlying a

MicroSector future must be reconstituted and rebalanced if
the notional value of the largest component is at least twice
the notional volume of the smallest component for. 50 per
cent or more of the trading days in the three months prior to
December 31 of each year. For purposes of this provision
the “notional value” is the market price of the component
times the number of shares of the underlying component in
the index. Reconstitution and rebalancing are also
mandatory if the number of component securities in the
index is greater than five at the time of rebalancing. In

addition, QneChieage the Exchange reserves the right to
rebalance quarterly at its discretion.

8) (H)The total number of component securities in the index must

@ @)

not increase or decrease by more than 33-1/3% from the
number of component securities in the index at the time of
its initial listing.

4 (i) The Exchange GneChieage must have in

place an effective surveillance sharing agreement
with the primary exchange in the home country
where the stock underlying each component ADR is
traded;

2} (ii) The combined trading volume of each
component ADR and other related ADRs and
securities in the U.S. ADR market, or in markets
with which OneGhicage the Exchange has in place
an effective surveillance sharing agreement,
represents (on a share equivalent basis) at least 50
per cent of the combined worldwide trading volume
in the ADR, the security underlying the ADR, other
classes of common stock related to the underlying

-24-


¢2} (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;

#3) (©) 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 the
aggregate book value of the assets attributed to the
business represented by the Original Equity Security; or

¢¥ (D) 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 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 Original
Equity 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 Original
Equity Security or the business it represents excludes the business
represented by the Restructure Security.

In calculating comparative aggregate market values, QneChieago
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 security futures product (“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, OneChieage the Exchange will use the issuer’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 three months), whichever are more
recent. Those financial statements may be audited or unaudited
and may 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, QneChieage the Exchange will not
rely upon the trading volume history of an Original Equity Security

5.


4) (D)Each of its component securities must be the subject of a
US exchange-traded option on the date of selection for
inclusion in the index.

€e) (E)Each of its component securities must have a trading history
ona US exchange for at least 12 months.

9 (F)Each of its component securities must have a “float market
capitalization” of at least one billion dollars.

¢g) (G)Each of its component securities close at or above $7.50 for
each of the trading days in the three months prior to
selection for the index.

4) (H)Subject to ¢¢},4)-and-49 (G), (I and (K) below, component

securities that account for at least 90 per cent of the total
index weight and at least 80 per cent of the total number of
component securities in the index must meet the
requirements for listing a single-security future contract, as
set forth in Seetion-t Rule 906(a).

) ()_ Each of its component securities must have an average
daily trading volume in each of the preceding 12 months
prior to selection for inclusion in the index greater than
109,000 shares (an ADR must have an average daily
trading volume greater than 100,000 receipts).

&} (J) Each of its component securities must be €4 (i) listed on an
Exchange or traded through the facilities of an Association
and @) (ii) reported as an NMS security.

x) (K)G) (i) OneChicage The Exchange must have in place an
effective surveillance sharing agreement with the primary

exchange in the home country where the stock underlying
each component ADR is traded;

2) (ii) The combined trading volume of each component
ADR and other related ADRs and securities in the
U.S. ADR market, or in markets with which
OneGhieage 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

-21-


reasonable time, the next available opening price of such security or securities will be
used to calculate the special opening quotation.

(C) No Change

(D) No Change

seed ok

-27-


number of component securities in the index is greater than
five at the time of rebalancing. In addition, QneChieage
the Exchange reserves the right to rebalance quarterly at its
discretion.

a) (N)The MicroSector futures products will be AM settled.

{e) (O)The initial indexes underlying MicroSector futures products
will be created only for industry groups that have five or
more qualifying securities.

M4 (b)Maintenance standards for a MicroSector futures product based on an index
composed of two or more securities.

A”

OneChicage The Exchange will not open for trading MicroSector futures
products that are cash settled based on an index composed of two or more
securities with a new delivery month unless the underlying index:

49 (1) Meets the definition of a narrow-based security index in Section
1a(25) of the Commodity Exchange Act and Section 3(a)(55) of
the Exchange Act; and

8 (2) Meets the following requirements:

a) (A) All of its component securities must be registered under
Section 12 of the Exchange Act;

6) (B) Subject to (d)-and-49 (D) and (K) below, component

securities that account for at least 90 per cent of the total
index weight and at least 80 per cent of the total number of
component securities in the index must meet the
requirements for listing a single-security future, as set forth
in Seetiont Rule 906(a).

fe) (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 the aggregate
account for no more than 10 per cent of the weight of the
index may have a market capitalization of only $50 million.

¢@) (D) The average daily trading volume in each of the preceding
six months for each component security in the index must
be at least 22,750 shares or receipts, except that each of the
lowest weighted component securities in the index that in
the aggregate account for no more than 10 per cent of the
weight of the index may have an average daily trading

-23-


¢a) (i)Its component securities must be registered under Section 12
of the Exchange Act;

£6) (ii)Subject to ¢d) (iv) and 4x) (xiii) 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 Seetiont Rule

906(a).

{¢} (iii)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 the aggregate
account for no more than 10% of the weight of the index
may have a market capitalization of only $50 million.

4) (iv)The average daily trading volume in each of the preceding
six months for each component security in the index must
be at least 22,750 shares or receipts, except that each of the
lowest weighted component securities in the index that in
the aggregate 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) (v)Each component security in the index must be G) (I) listed
on an Exchange or traded through the facilities of an
Association and @) (II) reported as an NMS security.

€ (vi)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)(vii)The current underlying index value must be reported at
least once every 15 seconds during the time the security

futures product is traded on OneChieage the Exchange.

8) (viii)An equal dollar-weighted index must be rebalanced at
least once every calendar quarter, except that an
approximately equal dollar-weighted index underlying a

physically-settled security futures product need only be
rebalanced as provided in 4} (I) below.

8 (ix) An approximately equal dollar-weighted index underlying a
physically settled security futures product must be
rebalanced annually on December 31 of each year if the

en —
-18-


OneChieage the Exchange will not rely upon the trading volume
and market price history of the related Original Equity Security for
any trading day thereafter.

€%) (10) If the underlying security is an ADR:

a) (A) OneChicage The Exchange must have in place an effective
surveillance sharing agreement with the primary exchange in the
home country where the stock underlying the ADR is traded;

b) (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 OneChieage 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)C)] (C)G) The combined trading volume of the ADR and other
telated ADRs and securities in the U.S. ADR market, and in
markets with which QneChieage the Exchange has in place an
effective surveillance sharing agreement, represents (on a share
equivalent 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) (ii)The average daily trading volume for the ADR in the
U.S. markets over the three-month period preceding the
Selection Date is at least 100,000 receipts; and

3) (iii)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

4) (D) The Securities and Exchange Commission and Commodity
Futures Trading Commission have otherwise authorized the listing.

€«) (11) OneChieage The Exchange will not list for trading any security
futures product 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.

-10-


Corporate Action Summary B for Share-Weighted Indexes

Type Adjustments Notes
Component Price Adjustment Factor
Action Company Change Change
Special Cash | Component of | New Close = Prev. New Adj. Factor = (Prev.
Dividend Index Close - Dividend Adj. Factor * Prev.
Close)/New Close
; - , . For example, in the case of a 2-for-1 split, the Split Ratio
Stock a or | Component of preencenn Rae ped Piet Sait Rang | would be 2. In the case fa 5% stock dividend, the split ratio
s would be 1.05
New Close =Prev. | New Adj. Factor =
Component of Close - (Price (Prev, Adj. Factor * Prev.
Index (A) pain due value Close) / New Close Price Adjustment due to value of spun-off company =
of spun-off company) (Market capitalization of parent company — market
Spin Off capitalization of spun-off company)/number of outstanding
shares of the parent company. Spun-off Company is not
added..
New Adj, Factor = Prev.
Adj. Factor + ((Acquired
Acquiring Company's Close *
Two Company Acquired Company's Adj.
Components Factor\/Acquiring
verge nen Gompany’s Close) The weight of the Acquired Company is added to the weight
Cash or” of the Acquiring Company.
Combination Acquired
Deal osntires DELETED
New Adj. Factor =
Non- ((Acquired Company's
Component Close * Acquired
ANon ‘Acquiring ADDED Company's Adj.
Component | Company Factory/Acquiring Non-Component Acquiring Company added to index at
Takes Over a Company's Close) Acquired Company's weight.
Component .
Acquired
Component of DELETED
Index
New Close = Prev. " 7 Price Adjustment due to value of rights offerin,
Rights Component of Close — Price New aa. Fi ined pre capitalization of parent company — market capitalization of
Offering Index Adjustment due to GeseyNew Close rights/number of outstanding shares of the parent
value of offering company.
The Adjustment Factors for
each remaining component
Index will be increased to reflect
Component DELETED an equal distribution of the
weight of a deleted
; component An Index Component will be removed for bankruptcy
Exvaordinary proceedings, financial distress, or delisting from a national
market (NYSE, Nasdaq, Amex)

-30-



¢@) (D)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 Original
Equity 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 Original
Equity Security or the business it represents excludes the business
represented by the Restructure Security.

In calculating comparative aggregate market values, QneChicago
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, OneChieage the Exchange will use the issuer’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 three months), whichever are more
recent. Those financial statements may be audited or unaudited
and may 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 {viii} (8), QneChieage the Exchange may
look back to the market price history of the Original 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, @neChieage the Exchange will not
-7-


for any trading day unless it also relies upon the market price
history for that trading day.

In addition, once OneChieage the Exchange commences to rely
upon a Restructure Security's trading volume and market price
history for any trading day,OneChieage the Exchange will not
rely upon the trading volume and market price history of the
Original Equity Security for any trading day thereafter.

4 (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 the preceding 12 months.

viii) (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 submits a certificate to
The Options Clearing Corporation for listing and trading. For purposes of this
provision, the market price of such underlying security is measured by the closing
price reported in the primary market in which the underlying security is traded.

Requirement {viii} (8) as Applied to Restructure Securities:

Look-Back Test: In determining whether a Restructure Security
that is issued or distributed to the shareholders of an Original
Equity Security (but not a Restructure Security that is issued
pursuant to a public offering or rights distribution) satisfies this
requirement, OneChieage the Exchange may “look back” to the
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:

fa} (A)The Restructure Security has an aggregate market value of
at least $500 million;

¢b} (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;

fe}-(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 of
the aggregate book value of the assets attributed to the
business represented by the Original Equity Security; or

-6-


(x)

Htinkied-by-th: " ofth " +
bes iped-by thet cur price} yp
1 the index k d-of40- tive tradi:
+ thet yp fa “adah;
det inati Jn-addition-OneChi - front t
a dditien, hieage-may trem €
time—but-ne-more fe thy-th: terly—elect-t

ft ties, the levels ofvol

33 mpenent 5H

changes- a
participants. the notional value of the largest component is
at least twice the notional value of the smallest component
for 50 per cent or more of the trading days in the three
months prior to December 31 of each year. For purposes of
this provision the “notional value” is the market price of the
component times the number of shares of the underlying
component in the index. In addition, the Exchange reserves
the right to rebalance quarterly at its discretion.

In a modified equal-dollar weighted index the Exchange

(xi)

will re-balance the index quarterly.

In a share-weighted index, if a share-weighted Index fails

to meet the maintenance listing standards under Rule
1006(b), the Exchange will not re-balance the index and
will not issue Contracts for new delivery months for that
index.

4 (xii) 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.

8 (xiii)In a capitalization-weighted index, the lesser of: 4) (1) the

five highest weighted component securities in the index

each have had an average daily trading volume of at least

45,500 shares or receipts over the past six months; and or
-19-


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 Original
Equity 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 Original
Equity Security or the business it represents excludes the business
represented by the Restructure Security.

In calculating comparative aggregate market values, QneChieago
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, OneChieage the Exchange will use the issuer’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 three months), whichever are more
recent. Those financial statements may be audited or unaudited
and may 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 {ix} (9), OneChieage the Exchange may look
back to the market price history of the Original 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, QneChieage the Exchange will not
rely upon the market 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 QneChieage the
Exchange commences to rely upon a Restructure Security's
trading volume and market price history for any trading day,

-9-


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”);

) (iii)[(a)] (The combined trading volume of the
ADR and other related ADRs and securities
in the U.S. ADR market, and in markets
with which OneChieage the Exchange has in
place an effective surveillance sharing
agreement, represents (on a share equivalent
basis) at least 20 per cent 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;

6) (I) The average daily trading volume for
the ADR in the U.S. markets over the
three-month period preceding the Selection
Date is at least 100,000 receipts; and

{e) (II) 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;

¢4) (iv) The Securities and Exchange Commission
and Commodity Futures Trading Commission have
otherwise authorized the listing, or

5) (v) Foreign securities or ADRs thereon that are
not subject to comprehensive surveillance sharing
agreements must not represent more than 20 per
cent of the weight of the index.

B- (2) If the foregoing maintenance standards are not satisfied prior to opening a
MicroSector futures product with a new delivery month, OneChieago the
Exchange will either (i) replace the component security or securities that
fail to meet the maintenance standards with a security or securities that
qualify under the initial listing standards for MicroSector futures products
set forth in Seetion-V paragraph (a) of this Rule, or (ii) receive the
approval of the Securities and Exchange Commission and the Commodity
Futures Trading Commission.

-25-


9 M809

An
wut

285

<n
IC Office of In-House Counsel, LLC

— 1300 Pennsylvania Avenue, N.W., Suite 700,
Washington, DC 20004
Phone: 202-204-3088 * Fax: 202-318-9105

Madge M. Piro®
Chief Executive Officer

July 18, 2005

C. OF THE SECRETARIAT

OF

Ms. Jean A. Webb

Secretary

Commodity Futures Trading Commission
Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: Security Futures Products Rule Submission and Rule Certification

Dear Ms. Webb:

Pursuant to section 5c(c)(1) of the Commodity Exchange Act, as amended (the
“Act”), and section 41.24 of the regulations promulgated by the Commission under the
Act, submitted herewith is a rule amendment to the OneChicago, LLC (“OneChicago”)
listing standards for a security futures product, Rule 1002(h) and (i), Corporate Summary
Action A for Approximately Equal Dollar Weighted Indexes and Corporate Summary
Action B for Share-Weighted Indexes. The rule amendment will be effective on July 20,
2005. .

OneChicago is amending its Eligibility and Maintenance Criteria for Security
Futures Products (“Listing Standards”) by incorporating them in the rules of the
Exchange, deleting all references to “physically settled” in the Listing Standards
pertaining to futures on narrow based indexes (“NBI’), permitting futures on modified
equal-dollar weighted and share-weighted indexes, amending provisions related to the
rebalancing of various NBI and other conforming changes.

OneChicago is also amending Rule 1002(h) dealing with contract adjustments by
deleting the reference to Clearing Corporation and replacing it with the Exchange.
OneChicago is also amending Rule 1002(i)(2)(B) regarding the determination of when an
opening price for one or more securities underlying a futures on a narrow-based security

* Practice Limited to Federal Securities and Commodity Futures Law. Not Licensed in
DC


(4 (E)The market price per share of the underlying security has not closed
below $3.00 on the previous trading day to the Expiration Day of
the nearest expiring Contract 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.

Requirement (+) (5) as Applied to Restructure Securities:

If a Restructure Security is approved for security futures product
trading under the initial listing standards in Seetion4 paragraph
(a) of this Rule, the market price history of the Original Equity
Security prior to the commencement of trading in the Restructure
Security, including “when-issued” trading, may be taken into
account in determining whether this requirement is satisfied.

¢¥4) (F)If the underlying security is an ADR and was initially deemed
appropriate for security futures product trading under paragraph
848) (10)(B) or <}fe} (10)(C) in Seetiont paragraph (a) of this
Rule, QneChieage the Exchange will not open for trading security
futures products having additional delivery months on the ADR
unless:

a) (i)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 OneChieage the Exchange has in place
an effective surveillance sharing agreement for any
consecutive three-month period is: } (I) at least 30%,
without regard to the average daily trading volume in the
ADR; or €2) (I) 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;

€b) (ji) The Exchange OneChieage has in place an effective
surveillance sharing agreement with the primary exchange
in the home country where the security underlying the
ADR is traded; or

{€) (iii)The Securities and Exchange Commission and Commodity
Futures Trading Commission have otherwise authorized the
listing.

B- (2) The Exchange OneChieage will not open trading in a security futures

product with a new delivery month unless:

-12-


45. (b) Maintenance standards for a security futures product based on a single
security.

(1) The Exchange OneChieage will not open for trading any security futures
product that is physically settled with a new delivery month, and may prohibit any

opening purchase transactions in the security futures product already trading, to
the extent 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 the related security futures product
(as described in LA; 906(a) above) shall apply in lieu of the following
maintenance requirements:

9 (A) It must be registered under Section 12 of the Exchange Act.

8 (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 to report their security holdings
pursuant to Section 16(a) of the Exchange Act.

i (C) There must be at least 1,600 securityholders.

4) (D) It must have had an average daily trading volume (across all
markets in which the underlying security is traded) of least 82,000
shares or receipts evidencing the underlying security in each of the
preceding 12 months.

Requirement fi} (D) as Applied to Restructure Securities:

If a Restructure Security is approved for a security futures product
trading under the initial listing standards in Seetion4 paragraph
(a) of this Rule, the average daily trading volume history of the
Original Equity Security (as defined in Seetion-I paragraph (a) of
this Rule) prior to the commencement of trading in the Restructure
Security (as defined in Seetion4 paragraph (a) of this Rule),
including “‘when-issued” trading, may be taken into account in
determining whether this requirement is satisfied.

-ll-


-31-


rely upon the market 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 OneChieage the
Exchange commences to rely upon a Restructure Security's
trading volume and market price history for any trading day,
OneChieage the Exchange will not rely upon the trading volume
and market price history of the related Original Equity Security for
any trading day thereafter.

4x) (9)If the underlying security is not a “covered security” as defined
under Section 18(b)(1)(A) of the Securities Act of 1933, it must
have had a market price per security of at least $7.50, as measured
by the lowest closing price reported in any market in which it has
traded, for the majority of business days during the three calendar
months preceding the date of selection.

Requirement fix} (9) as Applied to Restructure Securities:

Look-Back Test: In determining whether a Restructure Security
that is issued or distributed to the shareholders of an Original
Equity Security (but not a Restructure Security that is issued
pursuant to a public offering or rights distribution) satisfies this
requirement, OneChieage the Exchange may “look back” to the
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} (A) The Restructure Security has an aggregate market value of
at least $500 million;

¢b} (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;

fe} (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 of
the aggregate book value of the assets attributed to the
business represented by the Original Equity Security; or

¢@) (D)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.

-8-


period preceding the dates of selection of the ADR
for futures trading (“Selection Date”);

3}€A) (iii) (1) The combined trading volume of each
component ADR and other related ADRs and
securities in the U.S. ADR market, and in markets
with which OneChieage the Exchange has in place
an effective surveillance sharing agreement,
represents (on a share equivalent 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;

B) (ID The average daily trading volume for the
ADR in the U.S. markets over the
three-month period preceding the Selection
Date is at least 100,000 receipts; and

{© Ill 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;

4) (iv) The Securities and Exchange Commission and
Commodity Futures Trading Commission have
otherwise authorized the listing; or

€S) (v) 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.

9 (L)The current underlying index value must be reported at least
once every 15 seconds during the time the MicroSector

futures product is traded on OneChieage the Exchange.

(3) (M)An index underlying a MicroSector future must be
reconstituted and rebalanced if the notional value of the
largest component is at least twice the notional velime
value of the smallest component for 50 per cent or more of
the trading days in the three months prior to December 31
of each year. For purposes of this provision the “notional
value” is the market price of the component times the
number of shares of the underlying component in the index.
Reconstitution and rebalancing are also mandatory if the

-22-


Corporate Action Summary A for Approximately Equal Dollar Weighted Indexes

Type Adjustments Notes
Action Company | Close Price! Action Share Lot «»
, , Adj. Share lot = Prev. , spstion to j ,
Special Cash | Component of | Adj. Close =Prev. | gyatict's (Prev. Share lot | _COmPanies contribution to index not affected by Special
Dividend Index Close - Dividend © Diving) Close dividend
, Adj. Close = Prev. Adj. Round Lot = Prev.
Stock Split or | Component of | Ciose / Adjustment Share Lot * Adjustment Adjustment Factor = # of New Shares for 1 Old Share
Dividend Index
Factor Factor
Component of | Adi, Close = Close -
Index (A) (Ratio * Spun o io = a
Company's Price) Ratio = # of shares of spun off company received for every
share of parent company owned. Spun off company will be
Spin Off added at a weight such that the index contribution of the
: two companies after the event is equal to the index
Share lot = ((Share lot A’ pani is
¢ Spun Of ADDED Prev. Close Ap (Share lot contribution of the parent prior to the event.
pany (B) AtAdj. Close A))/Close B
Remainit Adj. Share Lot = Share Lot
a ining + ((B’s Close * B’s Share
Two a) Lot)) / # of remaining
Components components )/ A's Close
Merge in an All remaining companies will be adjusted using the formula
Alll Stock, to the left. Their shares will increase based on their price so
Cash or as to distribute the weight of the acquired company evenly.
Combination |p cauired
Deal company (8) DELETED
. Share Lot = (B's Round Lot
ry A ADDED ks }
ANon- ‘equirer (A) B's Close)/ A's Close | The acquiring company will replace the acquired company.
Component Its share lot will be set to contribute the same amount to the
Takes Over a index as the acquired company contributed prior to the
Component Acquired acquisition.
‘Component of DELETED
Index (B)
Adj. Close = (Close + : - .
Rights Issue Goreponent of | (Ratio* Subscription Shee tay Aah ase Ratio = # of rights received for 1 share of A.
Price)) / (1 + Ratio) 4.
Fy: Company B may be removed for any of the
Adj. Share Lot (A) = following reasons: Bankruptcy proceedings, Financial
- Prev. Share Jot | distress, Delisting from a primary exchange (NYSE,
(1) Remaining (A) + (B's share lot * B's | Nasdaq, Amex), or Illiquidity (10 consecutive no trade
Securities (A) | Closey (# of Remaining | days).
or (2) ADDED if (2) Components “A's Close)
Replacement ;
Company (A) Hex The Exchange would either:
Extraordinary Share lot A = (B's Share ot | (4) Divide B's index contribution evenly between
Removal * B's Close) A’s Close remaining components or
(2) if Replacement Company A is added, Replacement A
would be the highest ranked (as of the most recent
Component of DELETED selection date) of the remaining securities in the
Index (B) industry group which qualify for inclusion.
-28- The method to be utilized will be described in the index’s
contract specification.

(1) Share lots will be rounded to the nearest hundred at rebalance. Odd lots may exist between rebalances.


In the case of a Restructure Security issued or distributed to the
holders of the equity security that existed prior to the ex-date of a
spin-off, reorganization, recapitalization, restructuring or similar
corporate transaction (“Original Equity Security”), OneChieage
the Exchange may consider the number of outstanding shares of
the Original Equity Security prior to the spin-off, reorganization,
recapitalization, restructuring or similar corporate transaction
(‘Restructuring Transaction”).

4 (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 securityholders.

Requirement ¢¥} (5) as Applied to Restructure Securities:

If the security under consideration is a Restructure Security,
OneChieage the Exchange may assume that this requirement is
satisfied if, based on a reasonable investigation, QneChieage 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 automated quotation 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,
OneChieage-the Exchange may consider the number of
shareholders of the Original Equity Security prior to the
Restructuring Transaction.

+3) (6) In the case of an underlying security other than an ETF Share, TIR
or Closed-End Fund Share, it must have trading volume (in all markets in which
the underlying security is traded) of at least 2,400,000 shares in the preceding 12
months.

Requirement {vi} (6) as Applied to Restructure Securities:

Look-Back Test: In determining whether a Restructure Security
that is issued or distributed to the shareholders of an Original
Equity Security (but not a Restructure Security that is issued
pursuant to a public offering or rights distribution) satisfies this
requirement, OneChieage the Exchange may “look back” to the
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:

(4) (A)The Restructure Security has an aggregate market value of
at least $500 million;

-4.


published by the Exchange as part of the contract
specifications. The value of the index is calculated by
adding the weight of each component security and dividing
the total by an index divisor, calculated to yield a
benchmark index level as of a particular date. A share-
weighted index is not adjusted to reflect changes in the
number of outstanding shares of its components.

b) (B) Its component securities must be registered under Section
12 of the Exchange Act.

fe) (C) Subject to Subparagraphs (e} (E) and @) (N) 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 Seetion-} Rule 906(a).

(a) (D)Each component security in the index must have a
minimum market capitalization of at 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.

¢e) (E)The average daily trading volume in each of the preceding
six months for each component security in the index must
be at least 45,500 shares or receipts, except that each of the
lowest weighted component securities in the index that in
the aggregate 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.

€§ (F) Each component security in the index must be ) (i) listed
on an Exchange or traded through the facilities of an
Association and 2) (ii) reported as an NMS security.

¢g) (G) 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.

€h) (H) The current underlying index value must be reported at
least once every 15 seconds during the time the security
futures product is traded on OneChieage the Exchange.

-15-


(M)___An underlying index may be rebalanced on interim basis if
warranted as a result of extraordinary changes in the
relative values of the component securities. To the extent
investors with open position must rely upon the continuity
of the security futures Contract on the index, outstanding
Contracts are unaffected by rebalancings.

&) (N) 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.

€) (O) In a capitalization-weighted index, the lesser of: 4) (i) the
five highest weighted component 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; or €2} (ii) 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.

(P) _If a security future on an index is cash settled, it must be
designated as AM-settled.

(b) Maintenance standards for a security futures product based on an index
composed of two or more securities.

A; (1) OneChieage The Exchange will not open for trading security futures
products that-are-physically-settled- based on an index composed of two or more

securities with a new delivery month unless the underlying index:

9 (A.)Meets the definition of a narrow-based security index in Section

1a(25) of the Commodity Exchange Act and Section 3(a)(55) of
the Exchange Act; and

4 (B.) Meets the following requirements:

-17-


Appendix A

FERIGHBEEEPY AND MEAN FEN AN CE-CREPEREA
For SECURIFY FUTURES PRODUCTS

906 ¥Listing Standards

(a) Initial listing standards for a security futures product based on a single
security.

*¢- Fora 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:

9 (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”).

G¥ (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.

44 (3) It must be listed on a national securities exchange (“Exchange”) or
traded through the facilities of a national securities association (“Association”)
and reported as a “national market system” security as set forth in Rule 11Aa3-1
under the Exchange Act (“NMS security’).

9) (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.

Requirement fi») (4) as Applied to Restructure Securities:

In the case of an equity security that a company issues or
anticipates issuing as the result of a spin-off, reorganization,
recapitalization, restructuring or similar corporate transaction
(‘Restructure Security”), QneChieage LLC (“OneChicage-} 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 shares of the
Restructure Security will be issued and outstanding; or (B) the
Restructure Security will be listed on an Exchange or automated
quotation system that is subject to an initial listing requirement of
no less than seven million publicly owned shares.

-3-


FORFAR

1002. Contract Specifications

(a) No Change

(b) No Change

(c) No Change

(d) No Change

(e) No Change

(f) No Change

(g) No Change

(h) Contract Adjustments. Adjustments to Stock Index Futures related to

actions or transactions by or affecting any issuer of Underlying Securities shall be
made under the circumstances and in the manner from time to time prescribed by

the Clearing Corporation Exchange.

(i) Settlement Price.
(1) No Change
(2) Final Settlement Price. (A) No Change

(B) Notwithstanding subparagraph (2)(A) of this Rule, if an opening price for one or
more securities underlying a Stock Index Future is not readily available, the-Chief

Bs ret OFF. £ the-E: hi his-desi £, 1 freferred teh: es?
rs oF purpese-(referr hereafter
inthis Rule 1002(4) as the“Designated Officer’) the Exchange will determine whether

the security or securities are likely to open within a reasonable time.

(i) If the Designated-Officer Exchange determines that one or more component securities
are not likely to open within a reasonable time, then for the component security or
securities which the Designated-Officer Exchange determined were not likely to open
within a reasonable time, the last trading price of the underlying security or securities
during the most recent regular trading session for such security or securities will be used
to calculate the special opening quotation.

(ii) If the Designated-Officer Exchange determines that the security or securities are
likely to open within a reasonable time, then for the component security or securities

which the Designated-Officer Exchange determined were likely to open within a
-26-


index stock (“Stock Index Futures”) is not available to determine the final settlement
price of the Stock Index Future.

OneChicago is attaching Corporate Action Summary A for Approximately
Equal Dollar-Weighted Indexes and Corporate Action Summary B for Share-Weighted
Indexes. Depending on the index design, Corporate Action Summary A or B may be
modified. The Exchange will notify the public of the Corporate Actions that will be
taken in regards to an index before the index begins trading.

There are no opposing views that are not incorporated into this rule
amendment.

On behalf of OneChicago, I hereby certify that that the amendment to the
initial listing standard for single stock futures complies with the Act and regulations
promulgated thereunder.

/s/ Madge M. Piro

-2-


-29-


9 (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; and

G¥ (B) 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.

& (3) If prior to the withdrawal from trading of a security futures product
covering an underlying security that has been found not to meet OneChieage’s the
Exchange’s requirements for continued approval, OneChieage the Exchange
determines that the underlying security again meets OneChieage’s the Exchange’s
requirements, QneChieage the Exchange may open for trading new delivery
months in such security futures product and may lift any restriction on opening
purchase transactions.

BD. (4) Whenever OneGhicage the Exchange announces that approval of an
underlying security has been withdrawn for any reason or that OneChieage the
Exchange _has been informed that the issuer of an underlying 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
OneChieago the Exchange as in effect from time to time) shall, prior to effecting
any transaction in security futures products with respect to such underlying
security for any customer, inform such customer of such fact and that
OneChieage the Exchange may prohibit further transactions in such security
futures products as it determines is necessary and appropriate.

-13-


€ (D_An equal dollar-weighted index must be rebalanced at least

once every calendar quarter, except that an approximately
equal dollar-weighted index underlying a [physically
settled] security futures product need only be rebalanced as
provided in [@)] (L) below.

(J)___A modified equal-dollar weighted index must be
rebalanced quarterly.
(K)__A share-weighted index will not be rebalanced.

4B (L) An approximately equal dollar-weighted index underlying a

physiealy-settled security futures product must be

rebalanced annually on December 31 of each year if the
+, 1. t 5 +h. isinal by £ ch:

aeStee'
with the hichest-valueis+ i ter-than-th:

participants: notional value of the largest component is at
least twice the notional value of the smallest component for
50 per cent or more of the trading days in the three months
prior to December 31 of each year. For purposes of this
provision the “notional value” is the market price of the
component times the number of shares of the underlying
component in the index. In addition, the Exchange reserves
the right to rebalance quarterly at its discretion.