SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-264

Organization: Chicago Mercantile Exchange Inc. (“CME”)

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 07/18/23 Filing Description: Increase of All Month Position Limit 

for all Nikkei Stock Average Futures and Options Contracts 

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: 

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: See filing.

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

1

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

July 18, 2023

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

Re: CFTC Regulation 40.6(a) Certification. Increase of All Month Position Limit for all

Nikkei Stock Average Futures and Options Contracts.

CME Submission No. 23-264

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) certifies to the Commodity Futures Trading 

Commission (“CFTC” or the “Commission”) an increase of the all month position limit for the Nikkei Stock 

Average Futures, Yen Denominated Nikkei Stock Average Futures, E-mini Yen Denominated Nikkei Stock 

Average Index Futures, and Quarterly and Serial Options on Yen Denominated Nikkei Stock Average 

Futures contracts (the “Contracts”) effective Sunday, August 6, 2023 for trade date Monday, August 7, 2023

and commencing with the September 2023 contract month and beyond (i.e., all listed contract months) as 

more specifically described in the Table 1. below (collectively, the “Rule Amendments”).

Contract Title Commodity 

Code

Rulebook

Chapter

Current All Month

Limit (in Net 

Futures 

Equivalents)

Increased All 

Month Limit (in Net 

Futures 

Equivalents)

Nikkei Stock Average Futures NK 352 20,000 contracts 40,000 contracts

Yen Denominated Nikkei 

Stock Average Futures N1 352B 20,000 contracts 40,000 contracts

E-mini Yen Denominated 

Nikkei Stock Average Index 

Futures

ENY 370 20,000 contracts 40,000 contracts

Quarterly and Serial Options 

on Yen Denominated Nikkei 

Stock Average Futures

NKW, NKY 352C 20,000 contracts 40,000 contracts

By way of background, the Exchange increased the position limit of the Contracts in 2013. Since that time, 

the market size has increased. The Rule Amendments align the Contracts with current market conditions. 

The aggregate open interest of the Contracts globally is greater than $80 billion. 

The Position Limit, Position Accountability and Reportable Level Table and Header Notes located in the 

Interpretations and Special Notices Section of Chapter 5 of the CME Rulebook (the “Table”) will be 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

2

amended to reflect the increased All Month Limit of the Contracts. Exhibit A reflects the amendments to the 

Table. Exhibit A provides amendments to the Table in blackline format under separate cover. 

Exhibit B provides updated information regarding the Contract’s cash market overview.

The Exchange reviewed the designated contract market core principles (“Core Principles”) as set forth in 

the Commodity Exchange Act (“Act”) and identified that the Rule Amendments may have some bearing on 

the following Core Principles:

Contracts Not Readily Subject to Manipulation: The equity market constituents of the Contracts 

are among the most actively traded equities in the world-wide equity market and therefore the 

Exchange will remain in compliance with this core principle as a result of the Rule Amendments. 

In addition, CME reviewed the broad-based criteria for the Nikkei 225 index. As a result of the 

index passing all of the broad-based criteria as described in Section 1a(35) of the Act, the Exchange 

has concluded that the index and Contracts are not readily subject to manipulation.

Position Limitations or Accountability: The Contracts will be subject to an All Month limit of 

40,000 contracts that will apply to all contracts that aggregate into the Nikkei Stock Average Futures 

contract. Based on a market cap of 566.7 trillion Yen and a dollar/yen exchange rate of 140.44 on 

July 11, 2023, the proposed limit of 40,000 contracts has a cumulative notional value of $4.593 

billion, which currently represents 0.1138% of market cap in both Yen and USD terms.

Prevention of Market Disruption: Trading in the Contracts shall continue to be subject to CME 

Rulebook Chapters 4 which includes prohibitions on manipulation, price distortion, and disruption 

to the expiration process. Trading activity in the Contract shall be subject to monitoring and 

surveillance by the Exchange’s Market Regulation Department.

Availability of General Information: The Exchange will make publicly available the details of the 

Rule Amendments by publishing a Market Surveillance Notice (“MSN”) to the market. The MSN will 

also be available on CME Group’s website.

Pursuant to Section 5c(c) of the Act and CFTC Regulation 40.6(a), the Exchange certifies that the Rule 

Amendments comply with the Act, including regulations under the Act. There were no substantive opposing 

views to the Rule Amendments.

The Exchange certifies that this submission has been concurrently posted on the Exchange’s website at

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

Should you have any questions concerning the above, please contact the undersigned at 212-299-2200 or 

via e-mail at CMEGSubmissionInquiry@cmegroup.com.

Sincerely,

/s/ Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachments: Exhibit A – Amendments to CME Rulebook Chapter 5 Position Limit, Position

 Accountability, and Reportable Level Table (attached under separate cover)

Exhibit B – Cash Market Overview
3

Exhibit A

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability, and Reportable Level Table

(attached under separate cover)
4

Exhibit B

Cash Market Overview

Nikkei 225 Stock Average

History

The Nikkei Stock Average (Nikkei225) is used around the globe as the most popular benchmark of the 

Japanese stock market. It is comprised of 225 stocks listed on the Tokyo Stock Exchange Prime Market 

and calculated as an adjusted price weight index. 

The 225 constituent stocks are reviewed periodically by the liquidity in the market and sector balance. By 

calculating with highly liquid stocks, the index is aimed at fulfilling two objectives, one is to maintain its longterm continuity and the other is to reflect the changes in the industry structure.

The index started on September 7, 1950. It was retroactively calculated back to May 16, 1949 which is the 

day the Tokyo Stock Exchange reopened for the first time after the Second World War. The index has been 

calculated and published by Nikkei since 1970, succeeding it from the Tokyo Stock Exchange.

1: Constituents

The Nikkei225 is calculated with 225 market representative stocks from the Tokyo Stock Exchange Prime 

Market. By calculating with highly liquid stocks, the index is aimed at fulfilling two objectives, one is to 

maintain its long-term continuity and the other is to reflect the changes in the industry structure.

2: Rules of the Periodic Review

Constituents are reviewed twice a year as evaluated at the end of January and July (base dates) in 

accordance with the following rules. Results of the review become effective on the first trading day of April 

and October. The maximum number of constituents reshuffled at a periodic review is 3. However, 

constituent change due to corporate reorganization near the time of periodic review is not included in the 

limit of 3 above.

3: Calculation Method

The Nikkei225 is calculated as a weighted price average where the sum of the constituent stock prices 

adjusted by the price adjustment factor is divided by the divisor.

Adjusted stock price = stock price x price adjustment factor (*) 

Nikkei Stock Average = sum of Adjusted stock price / Divisor

(*) For a constituent to which a capping ratio is applied, price adjustment factor will be replaced by “capped 

price adjustment factor”.

(1) Selection of the prices

Prices to be used for the calculation are selected in the following order of priority.

1. Special Quote or sequential trade quote 

2. Traded price 

3. Base price 

Take an example of the index value at the close of the market. Usually, closing index is calculated by the 

last traded price of each constituent. However, if a constituent stock closes trading with special quote, such 

special quote is used to calculate the closing index even if it had a traded price intraday. Special quote is 

declared by the Tokyo Stock Exchange. Since the Nikkei225 is composed of liquid stocks, prices by the 

above definition 1 or 2 tend to be used intraday, and usually those by the definition 2, and occasionally 

those by the definition 1 are used for the closing index. 

When there are no prices by the definition 1 or 2 during a day, “3. Base price” is used. This is obtained 

based on the priority order of ex-rights theoretical price, the last special quote price or sequential trade 

quote price, and the latest traded price up to the preceding day. 
5

In most cases, the price used for the calculation of the closing index on the preceding day becomes the 

“Base price.” However, the exception case is that there are not any prices and quotes on a day when a 

stock goes ex-right (split, for example). Since the price on the day of ex-right is significantly changed from 

the prices on the preceding day for non-market reasons, the “ex-rights theoretical price” is used for the 

calculation. 

The theoretical price is calculated based on the price (i.e., special quote or sequential trade quote or closing 

price) used for the calculation on the preceding day. For example, if the closing price on the preceding day 

was 1000 yen for a constituent and it goes for 1 to 1.1 split today, the theoretical price for today is 909.1 

yen (=1000 / 1.1) and this is the theoretical price for this constituent.

Also note that ex-dividend is not treated as an ex-right for the calculation of the Nikkei225.

Source: Nikkei Stock Average Index Guidebook (September 29, 2022)

https://indexes.nikkei.co.jp/nkave/archives/file/nikkei_stock_average_guidebook_en.pdf