20

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) __Its component securities must be registered under Section 12 of the
Exchange Act.

(C)___Subject_to_(E) and (O) 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 Stock Future, as set forth in
Regulation 5719.01 (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) 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 a
national securities exchange or traded through the facilities of a
national securities association and (ii) reported as a “national
market system” security as set forth in Rule 242.600 under the
Exchange Act (“NMS security”).

(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)___ The current underlying index value must be reported at least once

every 15 seconds during the time the Narrow-Based Stock Index
Future is traded on the Exchange.

qd) An equal dollar-weighted index must be rebalanced at least once
every calendar quarter, except that an approximately equal dollar-



14

5808.01 Minimum Price Fluctuations - The minimum price fluctuation for
Narrow-Based Stock Index Futures shall be $0.01 per contract.

5809.01 Price Limits — There is no daily price limit for Narrow-Based Stock Index
Futures.

5810.01 Position Limits - For purposes of Regulations 425.01 through 425.05, the
position limit applicable to positions in any physically settled Narrow-Based Stock Index
Future held during the last five trading days of an expiring Narrow-Based Stock Index
Future shall be the position limit adopted by the Exchange in accordance with CFTC
Regulation 41.25. Pursuant to CFTC Regulation 41.25, the applicable position limit shall
apply with respect to the security in the index underlying the Narrow-Based Stock Index
Future having the lowest average daily trading volume. Each such position limit shall be
published by the Exchange.

For purposes of Regulations 425.01 through 425.05, the Exchange shall establish position
limits for cash settled Narrow-Based Stock Index Futures held during the last five trading
days of an expiring Narrow-Based Stock Index Future, according to the following
methodology. The position limit for each cash settled Narrow-Based Stock Index Future
shall be the number of contracts calculated according to formula (i) “Market Cap Position
Limit” or (ii) “SSF Position Limit” below, whichever is less, rounded to the nearest
multiple of 1,000 contracts; provided, however, that if formula (i) or (ii), whichever is
less, calculates a number less than 500 but not less than 400 for any such Narrow-Based
Stock Index Future, the position limit will be 1,000 contracts.

(i) “Market Cap Position Limit”

(A)___ The Exchange will determine the market capitalization of the Standard &
Poor’s 500 index (the “S&P 500”) as of the selection date for the
component securities of the index_underlying the Narrow-Based Stock
Index Future (the “Selection Date”) (the “S&P 500 Market Cap”); then

(B)___ The Exchange will calculate the notional value of a futures position in

Chicago Mercantile Exchange Inc.’s (“CME”) S&P 500 futures contract at
its maximum limit (the “S&P 500 Notional Value Limit”) by multiplying
the S&P 500 by the position limit for CME’s S&P 500 futures contract
(20,000 contracts in all months combined) and by the S&P 500 contract

multiplier ($250) to calculate:
S&P 500 Notional Value Limit = S&P 500 * 20,000 * $250

then

(C)___ The Exchange will divide the S&P 500 Market Cap by the S&P 500
Notional Value Limit to calculate the “Market Cap Ratio”:



24

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.

(2) ___If the foregoing maintenance standards in paragraph (b)(1) are not
satisfied, the Exchange will not open for trading a Narrow-Based Stock

Index Future with a new delivery month, unless it receives the approval of
the Securities and Exchange Commission and the Commodity Futures

Trading Commission.



(5)

issuing as the result of a spin-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 Single Stock Future'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 national securities exchange or automated quotation
system that is subject to an initial listing requirement of 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 that existed 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 of outstanding shares of the Original Equity Security prior to the
spin-off, reorganization, recapitalization, restructuring or similar
corporate transaction (“Restructuring Transaction”).

In the case of an underlying security other than an ETF Share, TIR or

(6)

Closed-End Fund Share, there must be at least 2,000 security holders.

Requirement (5) as Applied to Restructure Securities:

If the security under consideration is a Restructure Security, the Exchange
may assume that this requirement is satisfied if, based on a reasonable
investigation, the Exchange determines that, on the Single Stock Future'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 a national securities 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, the Exchange may consider
the number of shareholders of the Original Equity Security prior to the

Restructuring Transaction.

In the case of an underlying security other than 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 in the preceding 12 months.

Requirement (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



21

weighted index underlying a Narrow-Based Stock Index Future

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,

(L)___An approximately equal dollar-weighted index underlying a
Narrow-Based Stock Index Future must be rebalanced annually on
December 31 of each year if the notional value of the largest
component is at least twice the notional value of the smallest
component for 50% 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.

(M)___An underlying index may be rebalanced on an interim basis if
warranted as a result of extraordinary changes in the relative values
of the component securities. To the extent investors with open
positions must rely upon the continuity of the Narrow-Based Stock
Index Future, outstanding Narrow-Based Stock Index Futures
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.

(QO) _In a capitalization-weighted index, the lesser of: (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 (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 Narrow-Based Stock Index Future is cash settled, it must be
designated as AM-settled.

In addition, the Exchange will not list a Narrow-Based Stock Index Future that is
physically-settled until it has arrangements in place with a registered clearing



(vi)

23

Foreign securities or ADRs thereon that are not subject to

(vii)

comprehensive surveillance sharing agreements must_not
represent more than 20% of the weight of the index.

The current underlying index value must_be reported_at

(viii)

least once every 15 seconds during the time the Narrow-
Based Stock Index Future is traded on the Exchange.

An equal dollar-weighted index must be rebalanced at least

(ix)

once every calendar quarter, except that an approximately
equal dollar-weighted index underlying a Narrow-Based
Stock Index Future need only be rebalanced as provided in

ix) below.

An approximately equal dollar-weighted index underlying a

Narrow-Based Stock Index Future _must_be_rebalanced
annually on December 31 of each year if the notional value
of the largest component is at least twice the notional value
of the smallest component for 50% 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.

If _a_share-weighted index fails to meet _the_maintenance

(xii)

listing standards under paragraph (b) of this Regulation, the
Exchange will not re-balance the index and will not list a
Narrow-Based Stock Index Future for new delivery months
based on that index.

If the underlying index is maintained by a broker-dealer.

(xiii)

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.

In a capitalization-weighted index, the lesser of: (I) 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; or (II) the



18

5814.01 Delivery - Delivery of the underlying securities upon termination of any
physically settled Narrow-Based Stock Index Future, and payment of the price in respect
thereof, shall be made in accordance with the Rules of the Exchange’s Clearing Services
Provider. As promptly as possible after the receipt of a notice of delivery from the
Clearing Services Provider with respect to a Narrow-Based Stock Index Future held by a
member firm for a customer, such member firm shall require such customer to deposit the
underlying securities (in the case of a short position) or pay the aggregate price in respect
thereof, in full and in cash (in the case of a long position), or in either case, if the
transaction is effected in a margin account, to make the required margin deposit in
accordance with the applicable regulations of the Federal Reserve Board.

5815.01 Contract Modifications - The specifications for a particular Narrow-
Based_Stock Index Future shall be as set forth in the filing made with respect thereto

pursuant to CFTC Regulation 41.23. If any U.S. governmental agency or body issues a
law, order, ruling or directive that conflicts with the requirements of this Chapter or
specifications set forth in any Specifications Supplement, such law, order, ruling or
directive shall be deemed to take precedence over such requirements or specifications and
shall become part of this Chapter or of such Specifications Supplement and all open and
new contracts shall be subject thereto.

5816.01 Contract Adjustments - Adjustments to Narrow-Based Stock Index
Futures related to actions or transactions by or affecting any issuer of the underlying

securities shall be made under the circumstances and in the manner prescribed by the
Exchange or its Clearing Services Provider.

5817.01 Form of Specifications Supplement

Supplement No.
Title of Narrow-Based Stock Index Future:

Underlying Securities (including

numbers of values thereof):

Weighting Methodology:
Trading Hours:

Delivery Months:

Last Trading Day:

Delivery Day:

Minimum Price Fluctuation:

Reportable Position:


1)

10

(C)(i)_The combined trading volume of the ADR and other related ADRs
and securities in the U.S. ADR market, and in markets with which
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;

(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

(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

(D) The SEC and Commodity Futures Trading Commission (“CFTC”)
have otherwise authorized the listing.

The Exchange will not list for trading any Single Stock Future 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.

(b) __ Maintenance standards for Single Stock Futures

qd)

The Exchange will not open for trading any Single Stock Future with a

new delivery month, and may prohibit any opening purchase transactions
in the Single Stock Future 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 Single Stock
Future (as described in paragraph (a) above) shall apply in lieu of the
following maintenance requirements:

(A) __ The underlying security 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 to report their security holdings
pursuant to Section 16(a) of the Exchange Act.

(C) __ There must be at least 1,600 security holders.



on)

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 de

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

In the case of an underlying security that is an ETF Share, TIR or Closed-

(8)

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.

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 Single Stock
Future is listed by the Exchange. 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 (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, 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 Look-Back Test

described in paragraph (a)(6)(A) through (a)(6)(D) above is satisfied.

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 the Original Equity
Security if: (i) the foregoing Look-Back Test is satisfied; (ii) the
Restructure Security trades “regular way” on a national securities
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
the Selection Date, the market price of the Restructure Security was at
least $3.00.

Limitation on Use of Look-Back Test: Except in thé case of a Restructure



or rights distribution) satisfies this requirement, 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:

(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;

©. 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 equal or exceed 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, 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 Single Stock Future (‘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 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



Position Limit in Expiring Contract

during Last Five Trading Days:

Other Specifications:

5818.01 Listing Standards

(a)

Initial listing standards for Narrow-Based Stock Index Futures

For a Narrow-Based Stock Index Future to be eligible for initial listing, the

underlying index must:

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

Securities Exchange Act of 1934 (as amended from time to time, the

“Exchange Act”); and

(2) ___ Meet the following requirements:

(A)

It_must_be_capitalization-weighted, modified__capitalization-

weighted, price-weighted, share-weighted, equal_dollar-weighted.
approximately equal _dollar-weighted, or modified _equal-dollar

weighted.

(i) In the case of a Narrow-Based Stock Index Future 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

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.

ii 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.

(iii) __In the case of a share-weighted index, the index is
calculated by multiplying the prices of the component
securities by an adjustment factor. Adjustment factors are
chosen to reflect the investment objective deemed
appropriate by the designer of the index and will be
published by the Exchange as part of the Specifications
Supplement for the Narrow-Based Stock Index Future. The
value of the index is calculated by adding the weight of



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) __ 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) 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 date of selection of the ADR as
the underlying security for a Single Stock Future (“Selection

Date”);



February 16, 2006

Ms. Jean A. Webb

Secretary coe
Commodity Futures Trading Commission _
Three Lafayette Center

1155 21* Street, N.W.

Washington, D.C. 20581

Reference File # 2637.01
Security Futures Product Rule Submission
Rule Certification

Dear Ms. Webb:

Pursuant to Commission Regulations 40.6(a) and 41.24, the Chicago Board of Trade (CBOT®)
hereby submits the following:

- New Chapters 57 and 58 relating to listing standards for security futures
products per the attached texts (additions underlined).

These new regulations adopt general listing standards and related regulations that will permit the
trading on the Exchange of physically settled single security futures products, and the trading of
security futures products based on narrow-based securities indices.

The Exchange certifies that it has also submitted these regulations to the Securities and Exchange
Commission, by letter dated February 16, 2006, pursuant to Section 19(b)(7) of the Securities
Exchange Act of 1934 and Rule 19b-7 thereunder (File No. SR-CBOT-2006-03).

There were no opposing views concerning these new regulations.

The CBOT intends to implement these new regulations one day after the Commission’s receipt
of this filing.

The CBOT certifies that these new regulations comply with the Commodity Exchange Act and
the rules thereunder.

Sincerely,

Paul J. Draths
Vice President and Secretary

031803


12

regard to the average daily trading volume in the ADR; or
(b) 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;

(ii) ___ The Exchange 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 SEC and CFTC have otherwise authorized the listing.

Q) The Exchange will not open trading in a Single Stock Future 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; and

(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 Single Stock Future covering

an underlying security that has been found not to meet the Exchange’s
requirements for continued approval, the Exchange determines that the
underlying security again meets the Exchange’s requirements, the
Exchange may open for trading new delivery months in such Single Stock
Future and may lift any restriction on opening purchase transactions.

(4) ___ 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 an underlying security has ceased to be in
compliance with Exchange Act reporting requirements, each member firm
shall, prior to effecting any transaction in Single Stock Futures with
respect to such underlying security for any customer, inform such
customer of such fact and that the Exchange may prohibit further
transactions in such Single Stock Futures as it determines is necessary and

appropriate.



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

Requirement (D) as Applied to Restructure Securities:

Ifa Restructure Security is approved as an underlying security for
a Single Stock Future under the initial listing standards in
paragraph (a) of this Regulation, the average daily trading volume
history of the Original Equity Security (as defined in paragraph (a)
of this Regulation) prior to the commencement of trading in the
Restructure Security (as defined in paragraph (a) of this

Regulation), including “when-issued” trading, may be taken into

account in determining whether this requirement is satisfied.

(E) __ The market price per share of the underlying security has not
closed below $3.00 on the previous trading day to the Last Trading
Day, as set forth in the Specifications Supplement, of the nearest
expiring Single Stock Future 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 (E) as Applied to Restructure Securities:

Ifa Restructure Security is approved as an underlying security for
a Single Stock Future under the initial listing standards in
paragraph (a) of this Regulation, 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.

(F)___If the underlying security is an ADR and was initially deemed
appropriate as an underlying security for a Single Stock Future
under paragraph (a)(10)(B) or (a)(10)(C) of this Regulation, the
Exchange will not open for trading Single Stock Futures having
additional delivery months on the ADR unless:

(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 the Exchange has in place an
effective surveillance sharing agreement for any
consecutive three-month period is: (a) at least 30%, without



(9)

Security that is distributed pursuant to a public offering or rights

distribution, 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 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 related

Original Equity Security for any trading day thereafter.

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 (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, 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 Look-Back Test
described in paragraph (a)(6)(A) through (a)(6) (D) above is satisfied.

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 the Original Equity
Security if: (i) the foregoing Look-Back Test is satisfied, (ii) the
Restructure Security trades “regular way” on a national securities
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

the 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 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 the
Exchange commences to rely upon a Restructure Security’s trading
volume and market price history for any trading day, the Exchange will



(b)

22

agency for the payment and delivery of the underlying securities pursuant to
Section 6(h)(3)(B) of the Exchange Act, and has made a rule submission required
by the Securities and Exchange Commission (“SEC”) regarding such

arrangements.

Maintenance standards for Narrow-Based Stock Index Futures

(1) ___ The Exchange will not open for trading a Narrow-Based Stock Index
Future with a new delivery month unless the underlying index:

(A) ___ Meets the definition of a narrow-based security index _in Section

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

(B) Meets the following requirements:

a) Its component securities must be registered under Section
12 of the Exchange Act.

(ii) __ Subject _to (iv) and (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

Stock Future, as set forth in Regulation 5719.01(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.

(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.

(v)___ Each component security in the index must be (1) listed on
a national securities exchange or traded through the
facilities of a national securities association and (Il)
reported as an NMS security.



Last Trading Day:

Delivery Day:

Minimum Price Fluctuation:

Reportable Position:

Position Limit in Expiring Contract
during Last Five Trading Days:

Other Specifications:

5719.01 Listing Standards

(a)

Initial listing standards for Single Stock Futures

For a Single Stock Future to be eligible for initial listing, the security underlying the Single Stock

Future must meet each of the following requirements. In addition, the Exchange will not list a

Single Stock Future until it has arrangements in place with a registered clearing agency for the

ent and delivery of the underlying security pursuant to Section 6(h)(3)(B) of the Securities

Exchange Act of 1934 (as amended from time to time, the “Exchange Act”), and has made a rule

submission required by the Securities and Exchange Commission (“SEC”) regarding such

arrangements.

qd)

The underlying security _must_be_a_common_stock, an American

(2)

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”).

It must be registered under Section 12 of the Exchange Act, and its issuer

GB)

must be in compliance with any applicable requirements of the Exchange
Act.

It must be listed on a national securities exchange or traded through the

(4)

facilities of a national securities association and reported as a “national
market system” security as set forth in Rule 242.600 under the Exchange

Act (“NMS security”).

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 (4) as Applied to Restructure Securities:

In the case of an equity security that a company issues or anticipates



Market Cap Ratio= _ S&P 500 Market Cap/
S&P 500 Notional Value Limit

then

(D)_ __ The Exchange will calculate the market capitalization of the stock index

underlying the Narrow-Based Stock Index Future by adding together the
market capitalization of each stock comprising the stock index (the “Stock

Index Market Cap”); then

(E The Exchange will calculate the notional value of the Narrow-Based Stock

Index Future (the “Notional Value”) as follows:

Notional Value = Level of index underlying Narrow-Based Stock Index
Future * contract multiplier

(F)___The_ Exchange will calculate the Market Cap Position Limit of the
Narrow-Based_ Stock Index Future by dividing the Stock Index Market
Cap by the product of the Notional Value of the Narrow-Based Stock
Index Future and the Market Cap Ratio:

Market Cap Position Limit = Stock Index Market Cap/
Notional Value * Market Cap Ratio

(ii) __ “SSF Position Limit”

(A) __ The Exchange will calculate the notional value of the Narrow-Based Stock
Index Future (same as (i)(E) above):

Notional Value = Level of index underlying Narrow-Based Stock Index
Future * contract multiplier

(B) For each component security in the index underlying the Narrow-Based
Stock Index Future, the Exchange will multiply its index weight" by the
Notional Value to determine that security’s proportion of the Narrow-
Based Stock Index Future.

(C) For each component security, the Exchange will divide the result in (ii)(B)
by the security’s price. This equals the number of shares of that security
represented in the Narrow-Based Stock Index Future.

' Index weight of the component security = (assigned shares « price) of the component security / the sum of
(assigned shares « price) for each component security.


(c)

17

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 Exchange determines that the security or securities are likely to open
within a reasonable time, then for the underlying security or securities
which the Exchange determined were likely to open within a reasonable
time, the next available opening price of such security or securities will be
used to calculate the special opening quotation.

For purposes of paragraph (b) above:

(d)

(0) “Opening price” means the official price at which a security opened for
trading during the regular trading session of the national securities
exchange or national securities association that lists the security. If the
security is not listed on a national securities exchange or a national
securities association, then “opening price” shall mean the price at which a
security opened for trading on the primary market for the security. Ifa
component security is an American Depositary Receipt (““ADR”) traded
on a national securities exchange or national securities association, the
opening price for the ADR would be derived from the national securities
exchange or national securities association that lists it.

(ii) __ “Special opening quotation” means the Narrow-Based Stock Index value
that is derived from the sum of the opening prices of each component
security in the Narrow-Based Stock Index.

(iii) __ “Regular trading session” of a security means the normal hours for

business of a national securities exchange or national securities association

that lists the security.

(iv) __ The price of a security is “not readily available” if the national securities
exchange or national securities association that lists the security does not
open on the day scheduled for determination of the final settlement price.
or if the security does not trade on the national securities exchange or
national securities association that lists the security during the regular
trading session.

Notwithstanding any other provision of this Regulation, this Regulation shall not

be used to calculate the final settlement price of a security futures product if the
Exchange’s Clearing Services Provider fixes the final settlement price of such
security futures product in accordance with its rules and as permitted by CFTC
Regulation 41.25(b) and SEC Rule 6h-1(b)(3).



5712.01 Regulatory Trading Halts - Trading in a Single Stock Future shall be halted at all times that a
regulatory halt, as defined in CFTC Regulation 41.1(1), has been instituted for the underlying security.

5713.01 Daily Settlement Price

(a) The daily settlement price for each Single Stock Future will be the average of the final bid and
final offer of the Single Stock Future at the close of trading.

tb) If there is no bid or offer at the close of trading, then the Exchange shall set a reasonable
settlement price by adjusting the average of the last bid and offer disseminated to the market and
captured by an independent price reporting system during the trading day by the difference
between the consolidated price of the underlying security at the time that the last bid or offer was
quoted on the Exchange and the consolidated price of the underlying security at the close of

regular trading hours.

{c) Notwithstanding the above, the Exchange may in its sole discretion establish a settlement price
that it deems to be a fair and reasonable reflection of the market. The Exchange will consider all
relevant factors, including those discussed in this provision, when establishing such a settlement
pice.

5714.01 Final Settlement Price - The final settlement price of a Single Stock Future shall be calculated in
accordance with Regulation 5713.01, unless the final settlement price is fixed in accordance with the Rules
of the Exchange’s Clearing Services Provider.

5715.01 Delivery - Delivery of the underlying securities upon termination of a Single Stock Future, and
payment of the price in respect thereof, shall be made in accordance with the Rules of the Exchange’s
Clearing Services Provider. As promptly as possible after the receipt of a notice of delivery from the
Clearing Services Provider with respect to a Single Stock Future held by a member firm for a customer,
such member firm shall require such customer to deposit the underlying securities (in the case of a short
position) or pay the aggregate price in respect thereof, in full and in cash (in the case of a long position), or
in either case, if the transaction is effected in a margin account, to make the required margin deposit in
accordance with the applicable regulations of the Federal Reserve Board.

5716.01 Contract Modifications - The specifications for a particular Single Stock Future shall be as set
forth in the filing made with respect thereto pursuant to CFTC Regulation 41.23. If any U.S. governmental
agency or body issues a law, order, ruling or directive that conflicts with the requirements of this Chapter
or specifications set forth in any Specifications Supplement, such law, order, ruling or directive shall be
deemed to take precedence over such requirements or specifications and shall become part of this Chapter
or of such Specifications Supplement and all open and new contracts shall be subject thereto.

5717.01 Contract Adjustments - Adjustments to Single Stock Futures related to actions or transactions by
or affecting the issuer of the underlying securities shall be made under the circumstances and in the manner
prescribed by the Exchange or its Clearing Services Provider.

5718.01 Form of Specifications Supplement

Supplement No.
Title of Single Stock Future:

Underlying Security:
Trading Unit:
Trading Hours:

Delivery Months:


Additions are underlined.

Chapter 57
Single Stock Futures

5701.01 Scope of Chapter - This chapter is limited in application to trading in any contract that is a
security future (as such term is defined in Section 1a(31) of the Commodity Exchange Act) and that
provides for the physical delivery of a single security (each, a “Single Stock Future”). The procedures for
trading, clearing, settlement, and any other matters not specifically covered herein shall be-governed by the
other Rules and Regulations of the Exchange.

5702.01 Emergencies, Acts of God, Acts of Government - If delivery or acceptance or any precondition
or requirement of either, is prevented by strike, fire, accident, act of government, act of God, or other
emergency, the seller or buyer shall immediately notify the Chairman. If the Chairman determines that
emergency action may be necessary, he shall call a special meeting of the Board and arrange for the
presentation of evidence respecting the emergency condition. If the Board determines that an emergency
exists, it shall take such action under Rule 180.00 as it deems necessary under the circumstances and its
decision shall be binding upon all parties to the contract.

5703.01 Specifications Supplements - The general specifications set forth in this Chapter shall be subject
to, and qualified by, the specific terms applicable to trading, clearing or settlement of particular Single
Stock Futures, as provided in Specifications Supplements adopted by the Exchange. Each Specifications
Supplement for a Single Stock Future shall be substantially in the form set forth in Regulation 5718.01 or
such other form as the Exchange may approve. No Specifications Supplement shall become effective until
the Exchange has submitted to the CFTC (i) a certification satisfying the requirements set forth in CFTC
Regulation 41.22 and (ii) a filing satisfying the requirements set forth in CFTC Regulation 41.23, with
respect to the Single Stock Future to which it relates.

5704.01 Underlying Securities - Each Single Stock Future shall be based on an underlying
security, which satisfies the requirements set forth in CFTC Regulation 41.21(a), as determined by the

Exchange.

5705.01 Trading Unit- Each Single Stock Future shall require the delivery of a particular number of
shares of the underlying security, as determined by the Exchange.

5706.01 Trading Hours - Single Stock Futures shall be traded during such hours, as determined by the
Exchange.

5707.01 Delivery Months - Single Stock Futures shall be traded for delivery in such months, as
determined by the Exchange.

5708.01 Last Trading Day- All trading in a particular Single Stock Future shall terminate at the close of
business on such dates, as determined by the Exchange.

5709.01 Minimum Price Fluctuations — The minimum price fluctuation for each Single Stock Future
shall be equivalent to $0.01 per share.

5710.01 Price Limits - There is no daily price limit for Single Stock Futures.

5711.01 Position Limits - For purposes of Regulations 425.01 through 425.05, the position limit
applicable to positions in any Single Stock Future held during the last five trading da’ an expirins
contract month shall be the position limit adopted by the Exchange in accordance with CFTC Regulation
41.25.



13

Chapter 58

Narrow-Based Stock Index Futures

5801.01 Scope of Chapter - This chapter is limited in application to trading in any
contract that is a security future (as such term is defined in Section 1a(31) of the
Commodity Exchange Act (“CEA”)) based on a “narrow-based security index” (as such
term is defined in Section 1a(25) of the CEA)(each, a “‘Narrow-Based Stock Index
Future”). The procedures for trading, clearing, settlement, and any other matters not
specifically covered herein shall be governed by the other Rules and Regulations of the
Exchange.

5802.01 Emergencies, Acts of God, Acts of Government - If delivery or
acceptance or any precondition or requirement of either, is prevented by strike, fire

accident, act of government, act of God, or other emergency, the seller or buyer shall
immediately notify the Chairman. If the Chairman determines that emergency action
may be necessary, he shall call a special meeting of the Board and arrange for the
presentation of evidence respecting the emergency condition. If the Board determines
that an emergency exists, it shall take such action under Rule 180.00 as it deems
necessary under the circumstances and its decision shall be binding upon all parties to the
contract.

5803.01 Specifications Supplements - The general specifications set forth in this
Chapter shall be subject to, and qualified by, the specific terms applicable to trading.

clearing or settlement of particular Narrow-Based Stock Index Futures, as provided in
Specifications Supplements adopted by the Exchange. Each Specifications Supplement
for a Narrow-Based Stock Index Future shall be substantially in the form set forth in
Regulation 5817.01 or such other form as the Exchange may approve. No Specifications
Supplement shall become effective until the Exchange has submitted to the CFTC (i) a
certification satisfying the requirements set forth in CFTC Regulation 41.22 and (ii) a
filing satisfying the requirements set forth in CFTC Regulation 41.23, with respect to the
Narrow-Based Stock Index Future to which it relates.

5804.01 Underlying Securities - Narrow-Based Stock Index Futures shall be
based on such indices consisting of two or more underlying securities, which satisfy the

requirements set forth in CFTC Regulation 41.21(b), as determined by the Exchange.

5805.01 Trading Hours - Narrow-Based Stock Index Futures shall be traded
during such hours, as determined by the Exchange.

5806.01 Delivery Months — Narrow-Based Stock Index Futures shall be traded for
delivery in such months, as determined by the Exchange.

5807.01 Last Trading Day — All trading in a particular Narrow-Based Stock Index
Future shall terminate at the close of business on the third Friday of the contract month.


16

(D) For each component security, the Exchange will divide the number of
shares calculated in (ii)(C) by 100 to obtain the implied number of 100-
share contracts per Narrow-Based Stock Index Futures contract.

(E) The Exchange will divide the applicable single stock futures contract
speculative position limit_set_in CFTC Regulation 41.25(a)(3) (either
13,500 or 22,500 contracts) by the number of implied 100-share contracts.
This provides the number of Narrow-Based Stock Index Futures contracts
that_could be held without violating the speculative position limit on a
futures contract on that component security (if such single stock futures
contract existed). If the security qualifies for position accountability under
CFTC Regulation 41.25(a)(3), that security will be ignored for purposes of
this calculation.

(F) The Exchange will publicize the results of (ii)(D) and (ii)(E). The SSF
Position Limit is the minimum number of implied contracts based on these

results.
5811.01 Regulatory Trading Halts - Trading in a Narrow-Based Stock Index

Future shall be halted at all times that a regulatory halt, as defined in CFTC Regulation

41.1(1), has been instituted for one or more underlying securities that constitute 50

percent or more of the market capitalization of the Narrow-Based Stock Index.

$812.01 Daily Settlement Price - The daily settlement price for cash settled
Narrow-Based Stock Index Futures will be calculated in the same manner as set forth in

Regulation 5713.01.

5813.01 Final Settlement Price

(a)

The final settlement price for cash settled Narrow-Based Stock Index Futures

(b)

shall be determined on the third Friday of the contract month. If the Exchange is
not open for business on the third Friday of the contract month, the final
settlement price shall be determined on the Business Day prior to the third Friday
of the contract month. The final settlement price for cash settled Narrow-Based
Stock Index Futures shall be based on a special opening quotation of the
underlying narrow-based securities index (“Narrow-Based Stock Index”).

Notwithstanding paragraph (a) above, if an opening price for one or more

securities underlying a Narrow-Based Stock Index Future is not readily available,
the Exchange will determine whether the security or securities are likely to open

within a reasonable time.

Gi) If the Exchange determines that one or more underlying securities are not

likely to open within a reasonable time, then for the underlying security or
securities which the Exchange determined were not likely to open within a