SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 21-236 (1 of 4)

Organization: Chicago Mercantile Exchange Inc. ("CME")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 07/19/21 Filing Description: Amendments to CME and CBOT 

Rule 524. (“Trading at Settlement (“TAS”), Basis Trade at Index Close (“BTIC) and Basis 

Trade at Cash Open (“TACO”) Transactions”) and Certain CME and CBOT Equity Index 

Futures Contracts Regarding BTIC Transactions, Price Assignment and Disruptive Event 

Procedures. 

SPECIFY FILING TYPE 

Please note only ONE choice allowed per Submission.

Organization Rules and Rule Amendments

Certification § 40.6(a)

Approval § 40.5(a)

Notification § 40.6(d)

Advance Notice of SIDCO Rule Change § 40.10(a)

SIDCO Emergency Rule Change § 40.10(h)

Rule Numbers: See filing.

New Product Please note only ONE product per Submission.

Certification § 40.2(a) 

Certification Security Futures § 41.23(a)

Certification Swap Class § 40.2(d)

Approval § 40.3(a)

Approval Security Futures § 41.23(b)

Novel Derivative Product Notification § 40.12(a)

Swap Submission § 39.5

Product Terms and Conditions (product related Rules and Rule Amendments)

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(c)

Approval Amendments to enumerated agricultural products § 40.4(a), § 40.5(a)

“Non-Material Agricultural Rule Change” § 40.4(b)(5)

Notification § 40.6(d)

Official Name(s) of Product(s) Affected:

Rule Numbers: 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

July 19, 2021

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: CFTC Regulation 40.6(a) Certification. Amendments to CME and CBOT Rule 524. 

(“Trading at Settlement (“TAS”), Basis Trade at Index Close (“BTIC) and Basis 

Trade at Cash Open (“TACO”) Transactions”) and Certain CME and CBOT Equity 

Index Futures Contracts Regarding BTIC Transactions, Price Assignment and 

Disruptive Event Procedures. 

CME Submission No. 21-236 (1 of 4)

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. and The Board of Trade of the City of Chicago, Inc. (collectively, the 

“Exchanges”) certify to the Commodity Futures Trading Commission (“CFTC” or “Commission”) 

amendments to CME and CBOT Rule 524. (“Trading at Settlement (“TAS”), Basis Trade at Index Close 

(“BTIC) and Basis Trade at Cash Open (“TACO”) Transactions”) and certain CME and CBOT equity index 

futures contracts in Table 1. below regarding BTIC transactions, price assignment and disruptive event 

procedures (collectively, the “Rule Amendments”) effective on Sunday, August 8, 2021 for trade date 

Monday, August 9, 2021.

Specifically, the Rule Amendments: (1) remove language regarding disruption event handling from Rule 

524.B. and insert appropriate rule language in each product chapter of the Contracts; (2) standardize the 

price assignment rules regarding BTIC transactions in CME and CBOT Rule 524.B.; (3) include 

administrative amendments to the Contracts’ BTIC transaction rules for harmonization purposes. 

Table 1.

Rulebook 

Chapter Contract Title

CME

352 Nikkei Stock Average Futures

352B Yen Denominated Nikkei Stock Average Futures

354 USD Denominated Ibovespa Futures

355 S&P 500 Growth Index Futures

356 S&P 500 Value Index Futures

357 S&P 500 Total Return Index Futures

357B Adjusted Interest Rate S&P 500 Total Return Index Futures

358 E-mini Standard and Poor's 500 Stock Price Index Futures

359 E-mini Nasdaq 100 Index Futures

360 E-Mini Nasdaq Biotechnology Index Futures

362 E-mini Standard and Poor's Midcap 400 Stock Price Index Futures

364 E-mini S&P 500 ESG Index Futures

367 E-mini S&P Europe 350 ESG Index Futures
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Rulebook 

Chapter Contract Title

368 E-Mini S&P Smallcap 600 Index Futures

369 E-mini Standard and Poor's Select Sector Stock Index Futures

371 Yen Denominated TOPIX Index Futures

372 Adjusted Interest Rate Russell 1000® Total Return Index Futures

373 Adjusted Interest Rate Russell 2000® Total Return Index Futures

374 Adjusted Interest Rate Nasdaq-100 Total Return Index® Futures

375 Adjusted Interest Rate FTSE® 100 Total Return Declared Dividend Index Futures

383 E-mini Russell 1000 Index Futures

384 E-mini Russell 1000 Growth Index Futures

385 E-mini Russell 1000 Value Index Futures

386 E-mini USD Denominated FTSE 100 Index Futures

387 E-mini FTSE 100 Index Futures

388 E-mini FTSE China 50 Index Futures

390 E-mini FTSE Developed Europe Index Futures

391 E-mini FTSE Emerging Index Futures

392 E-mini® IPOX® 100 U.S. Index Futures

393 E-mini® Russell 2000® Index Futures

394 E-mini® Russell 2000® Growth Index Futures

395 E-mini® Russell 2000® Value Index Futures

396 Nasdaq-100 Total Return Index Futures

397 Russell 1000 Total Return Index Futures

398 Russell 2000 Total Return Index Futures

CBOT

27 CBOT E-mini Dow Jones Industrial Average Index Futures ($5 Multiplier)

30 CBOT Dow Jones US Real Estate Index Futures

31 Dow Jones Industrial Average Total Return Index Futures

33 Adjusted Interest Rate Dow Jones Industrial Average TM Total Return Index Futures

 

Exhibit A below provides amendments to CME and CBOT Rule 524. in blackline format. Exhibit B, provided 

under separate cover, provides amendments to the Contracts listed in Table 1. above in blackline format.

The Exchanges reviewed the designated contract market core principles (“DCM Core Principles”) as set 

forth in the Commodity Exchange Act (“CEA” or “Act”) and identified that the Rule Amendments may have 

some bearing on the following Core Principles:

Contract Not Readily Subject to Manipulation: The specification of the Contract market and the 

structural market attributes are designed such that the Contracts are not readily susceptible to 

manipulation. 

Availability of General Information: As required by this Core Principle, the Exchanges will publish a 

Special Executive Report (“SER”) to advise the marketplace of the Rule Amendments. The SER will 

also be available on the CME Group website.

Daily Publication of Trading Information: Block trade volume and pricing information will continue to

be published on the Exchange’s website and via quote vendors.

Pursuant to Section 5c(c) of the Act and CFTC Regulation 40.6(a), the Exchanges hereby certify that the 

Rule Amendments comply with the Act and regulations thereunder. There were no substantive opposing 

views to the Rule Amendments.

The Exchanges certify that this submission has been concurrently posted on the CME Group website at 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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http://www.cmegroup.com/market-regulation/rule-filings.html 

If you require any additional information regarding this submission, please contact the undersigned at (212) 

299-2200 or via email at CMEGSubmissionInquiry@cmegroup.com.

Sincerely, 

/s/ Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Attachments: Exhibit A – Amendments to CME and CBOT Rule 524. (blackline format)

Exhibit B – Amendments to CME Chapters 352, 352B, 354, 355, 356, 357, 357B, 358, 359, 

360, 362, 364, 367, 368, 369, 371, 372, 373, 374, 375, 383, 384, 385, 386, 387, 388, 390, 

391, 392, 393, 394, 395, 396, 397, 398 and CBOT Chapters 27, 30, 31, 33 (blackline 

format) (provided under separate cover)
4

EXHIBIT A

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

(additions underscored; deletions overstruck)

***

524. TRADING AT SETTLEMENT (“TAS”), BASIS TRADE AT INDEX CLOSE (“BTIC”) AND BASIS TRADE 

AT CASH OPEN (“TACO”) TRANSACTIONS

[The introduction and Section A. are unchanged.]

524.B. Basis Trade at Index Close (“BTIC”) Transactions 

A Basis Trade at Index Close (“BTIC”) transaction is an Exchange futures transaction which is priced with 

reference to the closing level of such futures contract’s underlying cash Index on a particular trading day (the 

“Basis”). The following shall govern BTIC transactions: 

1. A BTIC order may be entered on Globex at any time the applicable futures contract is available for BTIC 

trading on Globex and during such BTIC-eligible futures contract’s prescribed pre-open time period. The 

initiation of any BTIC order on Globex outside these time periods is prohibited. 

2. Unless otherwise specified in the Table, a BTIC-eligible product and contract month may be executed as 

a block trade pursuant to the requirements of Rule 526, except that a BTIC block trade cannot be executed 

on the last day of trading in an expiring BTIC-eligible futures contract. 

3. The Basis established in any BTIC transaction must be stated in admissible price increments for the 

applicable futures contract as set forth in the applicable product chapter. The assigned futures price 

corresponding to such BTIC transaction shall be the closing level of the applicable cash Index for that 

trading day adjusted by the Basis established in such BTIC transaction. For any BTIC-eligible futures 

contract, the magnitude of the Basis in a BTIC block trade must be fair and reasonable in light of factors 

including, but not limited to, financing rates, expected dividend income, and time remaining until the 

underlying futures contract expiration. A BTIC futures transaction may result in an assigned futures price 

outside of applicable daily price limits. 

The assigned futures price is deemed final when determined by the Exchange, absent an index price 

correction by the index provider. If the closing level of a cash Index is corrected by the applicable cash 

Index provider prior to 4:00 p.m. CT on the following Business Day, the assigned futures price 

corresponding to such BTIC transaction shall be amended using the corrected closing level of the 

applicable cash Index adjusted by the Basis established in such BTIC transaction, and the assigned 

futures price shall be deemed final at that time.

4. In the event of a disruption in the primary listing exchange for a given cash Index (or a disruption in the 

applicable national bourse or market in the case of a given non-US cash Index), all pending and executed 

BTIC transactions in the corresponding futures contract shall be cancelled by the Exchange. Such 

disruption shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the primary listing exchange (or applicable national bourse or market) or a 

NYSE Rule 80Btrading halt declared in response to a Level 3 (20%) decline in the S&P 500 Index that 

necessitates an early close of the primary listing exchange.

5. Additional product-specific BTIC provisionsrequirements, including those relating to disruptions in the 

publication of an index, are set forth in the applicable product chapter in the Rulebook.

[The remainder of the Rule is unchanged.]
5

CBOT Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

(Additions are underscored, deletions are overstruck)

***

524. TRADING AT SETTLEMENT (“TAS”), BASIS TRADE AT INDEX CLOSE (“BTIC”) AND BASIS TRADE 

AT CASH OPEN (“TACO”) TRANSACTIONS

[The introduction and Section A. are unchanged.]

524.B. Basis Trade at Index Close (“BTIC”) Transactions 

A Basis Trade at Index Close (“BTIC”) transaction is an Exchange futures transaction which is priced with 

reference to the closing level of such futures contract’s underlying cash Index on a particular trading day (the 

“Basis”). The following shall govern BTIC transactions: 

1. A BTIC order may be entered on Globex at any time the applicable futures contract is available for BTIC 

trading on Globex and during such BTIC-eligible futures contract’s prescribed pre-open time period. The 

initiation of any BTIC order on Globex outside these time periods is prohibited. 

2. Unless otherwise specified in the Table, a BTIC-eligible product and contract month may be executed as 

a block trade pursuant to the requirements of Rule 526, except that a BTIC block trade cannot be executed 

on the last day of trading in an expiring BTIC-eligible futures contract. 

3. The Basis established in any BTIC transaction must be stated in admissible price increments for the 

applicable futures contract as set forth in the applicable product chapter. The assigned futures price 

corresponding to such BTIC transaction shall be the closing level of the applicable cash Index for that 

trading day adjusted by the Basis established in such BTIC transaction. For any BTIC-eligible futures 

contract, the magnitude of the Basis in a BTIC block trade must be fair and reasonable in light of factors 

including, but not limited to, financing rates, expected dividend income, and time remaining until the 

underlying futures contract expiration. A BTIC futures transaction may result in an assigned futures price 

outside of applicable daily price limits. 

The assigned futures price is deemed final when determined by the Exchange, absent an index price 

correction by the index provider. If the closing level of a cash Index is corrected by the applicable cash 

Index provider prior to 4:00 p.m. CT on the following Business Day, the assigned futures price 

corresponding to such BTIC transaction shall be amended using the corrected closing level of the 

applicable cash Index adjusted by the Basis established in such BTIC transaction, and the assigned 

futures price shall be deemed final at that time.

4. In the event of a disruption in the primary listing exchange for a given cash Index (or a disruption in the 

applicable national bourse or market in the case of a given non-US cash Index), all pending and executed 

BTIC transactions in the corresponding futures contract shall be cancelled by the Exchange. Such

disruption shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the primary listing exchange (or applicable national bourse or market) or a 

NYSE Rule 80Btrading halt declared in response to a Level 3 (20%) decline in the S&P 500 Index that 

necessitates an early close of the primary listing exchange.

5. Additional product-specific BTIC provisionsrequirements, including those relating to disruptions in the 

publication of an index, are set forth in the applicable product chapter in the Rulebook.

[The remainder of the Rule is unchanged.]
6

EXHIBIT B

Amendments to CME and CBOT Contracts

(additions underscored; deletions struck through)

(attached under separate cover)