SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 24-046 (1 of 2)

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 01/23/24 Filing Description: Clarification Amendments to the 

Euro/U.S. Dollar (EUR/USD) Futures, BTIC on Euro/U.S. Dollar (EUR/USD) Futures, EMini Euro/U.S. Dollar (EUR/USD) Futures, and Micro Euro/U.S. Dollar (EUR/USD) Futures 

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: 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:
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

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Timothy Elliott

Managing Director and Chief Regulatory Counsel

Legal Department

January 23, 2024

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. Clarification Amendments to the Euro/U.S. Dollar 

(EUR/USD) Futures, BTIC on Euro/U.S. Dollar (EUR/USD) Futures, E-Mini Euro/U.S. Dollar 

(EUR/USD) Futures, and Micro Euro/U.S. Dollar (EUR/USD) Futures Contracts

CME Submission No. 24-046 (1 of 2)

Dear Mr. Kirkpatrick:

Pursuant to Commodity Futures Trading Commission (“CFTC” or “Commission”) Regulation 40.6(a), Chicago 

Mercantile Exchange Inc. (“CME” or “Exchange”) is certifying to the Commission amendments to Rule 26106. 

(“Basis Trade at Index Close (“BTIC”) Transactions”), Rule 261B03.C. (“Final Settlement”) of the Euro/U.S. Dollar 

(EUR/USD) Futures and BTIC on Euro/U.S. Dollar (EUR/USD) Futures contracts respectively and Rules 26X01.G. 

Termination of Trading of the Euro/U.S. Dollar (EUR/USD) Futures, E-Mini Euro/U.S. Dollar (EUR/USD) Futures 

and Micro Euro/U.S. Dollar (EUR/USD) Futures contracts (the “Contracts”) as noted in the table below (collectively, 

the “Rule Amendments”) effective on Friday, February 9, 2024.

 Table 1.

Contract Title

CME Globex Code /

CME ClearPort Code /

BTIC Code

CME Rulebook 

Chapter

Euro/U.S. Dollar (EUR/USD) Futures 6E / EC / 6EB 261

BTIC+ on Euro/U.S. Dollar (EUR/USD) Futures 6EP / 6EP / n/a 261B

E-Mini Euro/U.S. Dollar (EUR/USD) Futures E7 / E7 / n/a 262

Micro Euro/U.S. Dollar (EUR/USD) Futures M6E / M6E / n/a 292

The Rule Amendments concerning the “BTIC Transactions” and “Final Settlement” sections of the Rule for the 

EUR/USD Futures contracts, and the Rule Amendments concerning the “Final Settlement” section of the Rule for 

BTIC+ on Euro/USD Futures contracts, are intended to clarify that the mid-rate of the WM/Refinitiv Closing Spot 

Rate is used as the reference index for the EUR/USD currency pair for the purpose of settling Basis Trade at Index 

Close (“BTIC”) transactions in those contracts. This codifies the current practice for the use of the index and has 

no impact on the current functionality or economic value of BTIC transactions in the Contracts.

The Rule Amendments concerning the “Termination of Trading” section of the Rule for EUR/USD Futures, E-mini 

EUR/USD Futures, and Micro EUR/USD Futures contracts update the name of the related settlement system 

regarding these contracts.

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

Commodity Exchange Act (“Act” or “CEA”) and identified that the following Core Principles may be impacted by this 

initiative as follows:
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

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• Daily Publication of Trading Information: CME will continue to publish contract trading volumes, 

open interest levels, and price information daily on its website of the Contracts.

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

Amendments by publishing a Special Executive Report (“SER”) to the marketplace. The SER will be 

available on CME Group’s website.

Pursuant to Section 5c(c) of the Act and CFTC Regulations 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 proposal. 

The Exchange certifies that this submission has been concurrently posted on the CME Group website at 

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

Should you have any questions concerning the above, please contact the undersigned at (312) 466-7478 or via email at CMEGSubmissionInquiry@cmegroup.com. 

Sincerely, 

/s/ Timothy Elliott

Managing Director and Chief Regulatory Counsel 

Attachment: Exhibit A: CME Rulebook Chapters 261, 261B, 262 and 292 (blackline format)
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Exhibit A

CME Rulebook

(deletions overstruck, additions underscored)

Chapter 261

Euro/U.S. Dollar (EUR/USD) Futures

***

26101. TRADING SPECIFICATIONS

***

26101.G. Termination of Trading 

Futures trading shall terminate on the second Business Day immediately preceding the third Wednesday of the 

contract month. If this date for termination of trading is not separated from the delivery day by at least 

one Business Day for the Eurosystem real-time gross settlement system ECU Clearing System of the ECU 

Banking Association (EBA), futures trading shall terminate on the next preceding Business Day. If the date for 

termination of trading defined above is a bank holiday in Chicago or New York City, futures trading shall 

terminate on the next preceding Business Day common to Chicago and New York City banks and the 

Exchange. 

***

26106. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

In respect of BTIC transactions in Euro/U.S. Dollar (EUR/USD) Futures contracts, the reference index shall be 

the mid-rate of the WM/Refinitiv London 4:00 p.m. Closing Spot Rate for EUR/USD (the “Index”).

26106.A. Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. For a BTIC or BTIC block 

trade executed on a given Trading Day on or before the commencement of the assessment period of the Index, 

the corresponding futures price shall be made by reference to the Index closing value for the current Trading 

Day. For a BTIC or BTIC block trade executed on a given Trading Day after the commencement of the 

assessment period of the Index, the corresponding futures price shall be made by reference to the Index closing 

value for the next Trading Day. 

26106.B. Price Assignment Procedures 

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

26106.C. Minimum Price Increments 

Bids and offers shall be quoted in U.S. dollars per Euro. For trades executed on CME Globex electronic trading 

platform, minimum price fluctuations shall be in multiples of $0.000005 per Euro, equivalent to $0.625 per 

contract. For transactions submitted through CME ClearPort, the minimum price fluctuation shall be $0.000001 

per Euro. For avoidance of doubt, a BTIC transaction may trade at positive or negative values, or at a value of 

zero, in accordance with Rules 524.B.

[The remainder of Chapter 261 is unchanged]

Chapter 261B

BTIC+ on Euro/U.S. Dollar (EUR/USD) Futures

***

261B03. SETTLEMENT PROCEDURES

***

261B03.C. Final Settlement

Clearing Members holding a long (short) position in an expiring BTIC+ on EC Futures at its Termination of 

Trading (Rule 261B02.G.) will result in the clearing member holding a long (short) position in an EC Futures as 

a BTIC transaction. Such BTIC transaction to buy (sell) shall be assigned with a price equal to the Final 

Settlement Price. Subsequently, and in accordance with Rule 26106.B., BTIC+ on EC Futures will be assigned 

a price reflecting the mid-rate of the WM/Refinitiv Closing Spot Rate for EUR/USD on the Delivery Date.
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[The remainder of Chapter 261B is unchanged]

Chapter 262

E-mini Euro/U.S. Dollar (EUR/USD) Futures

***

26201. TRADING SPECIFICATIONS

***

26201.G. Termination of Trading 

Futures trading shall terminate on the second Business Day immediately preceding the third Wednesday of the contract 

month. If this date for termination of trading is not separated from the delivery day by at least one Business Day for 

the Eurosystem real-time gross settlement system ECU Clearing System of the ECU Banking Association (EBA), 

futures trading shall terminate on the next preceding Business Day. If the date for termination of trading defined above 

is a bank holiday in Chicago or New York City, futures trading shall terminate on the next preceding Business Day 

common to Chicago and New York City banks and the Exchange. 

[The remainder of Chapter 262 is unchanged]

Chapter 292

Micro Euro/U.S. Dollar (EUR/USD) Futures

***

29201. TRADING SPECIFICATIONS

***

29201.G. Termination of Trading 

Futures trading shall terminate on the second Business Day immediately preceding the third Wednesday of the contract 

month. If this date for termination of trading is not separated from the delivery day by at least one Business Day for 

the Eurosystem real-time gross settlement system ECU Clearing System of the ECU Banking Association (EBA), 

futures trading shall terminate on the next preceding Business Day. If the date for termination of trading defined above 

is a bank holiday in Chicago or New York City, futures trading shall terminate on the next preceding Business Day 

common to Chicago and New York City banks and the Exchange.

[The remainder of Chapter 292 is unchanged]