SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-015 (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): 01/05/23 Filing Description: Basis Trade on Index Close 

(“BTIC”) Transaction Eligibility for the Euro/U.S. Dollar (EUR/USD) Futures Contract

and Related Amendments to the Decimal Point Locator

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

Rule Numbers: 261
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

January 5, 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, D.C. 20581

Re: CFTC Regulation 40.6(a) Certification. Basis Trade on Index Close (“BTIC”) Transaction

Eligibility for the Euro/U.S. Dollar (EUR/USD) Futures Contract and Related 

Amendments to the Decimal Point Locator.

CME Submission No. 23-015 (1 of 2)

Dear Mr. Kirkpatrick:

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

Commission (“CFTC” or “Commission”) Basis Trade on Index Close (“BTIC”) transactions eligibility for the 

Euro/U.S. Dollar (EUR/USD) Futures contract (Chapter 261; Code: 6E; BTIC Code: 6EB; Clearing Code: 

EC); (the “Contract”) for trading on the CME Globex electronic trading platform (“CME Globex”) and for 

submission for clearing via CME ClearPort effective Sunday, February 5, 2023 for trade date Monday, 

February 6, 2023. 

In order to accommodate enabling BTIC on the Contract, the Exchange is certifying to the Commission that 

it will expand the decimal point locator on the price format for the Contract from 5 decimal points to 6 decimal 

points effective on trade date January 23, 2022. The CME ClearPort minimum price increment for the 

Contract will be amended from 0.00001 to 0.000010 and the CME Globex minimum price increment will 

change from 0.00005 to 0.000050 (collectively, the “Rule Amendments”). 

This submission shall become effective on January 23, 2023.

BTIC transactions in the Contract will be eligible for the nearby quarterly (i.e., March, June, September, 

December) contract month against the daily WM Refinitiv EUR/USD Closing Spot Rate, which is calculated 

at 4:00 p.m. London time. Following the publication of the current day’s Closing Spot Rate, BTIC 

transactions will be made available against the next Exchange Business Day’s value.

CME is also concurrently certifying the initial listing of the BTIC+ on Euro/U.S. Dollar (EUR/USD) Futures 

contract (See CME Submission No. 23-016 also dated January 5, 2023.

Amendments to CME Rulebook Chapter 261 are provided in Exhibit A in blackline format. Exhibit B contains 

amendments to Rule 588.H. (“Globex Non-Reviewable Trading Ranges”) Table. Exhibit C provides 

amendments to Rule 589. Special Price Fluctuation Limits and Daily Price Limits Table. Exhibit C provides 

the relevant Exchange fees.
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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The Exchange reviewed the designated contract market core principles (“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:

• Availability of General Information: The Exchange shall disseminate a Special Executive Report 

(“SER”) that sets forth information with regard to specifications, terms, and conditions of the 

Contracts. In addition to such SER, daily trading volume, open interest, and price information for 

the Contracts shall be published on the Exchanges’ website. 

• Daily Publication of Trading Information: The Exchange shall publish trading volumes, open 

interest levels, and price information daily of the transactions on the CME Group website.

• Prevention of Market Disruption: Trading will continue to be subject to the rules of the Exchange, 

which include prohibitions on manipulation, price distortion, and disruption to the settlement 

process

• Compliance with Rules: The Exchange will continue its normal practice to establish, monitor, and 

enforce compliance with the rules of the transactions.

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

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

opposing views to this proposal.

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

https://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 K. Bowen

Managing Director and Chief Regulatory Counsel

Attachments: Exhibit A – Amendments to CME Rulebook Chapter 261 (“Euro/U.S. Dollar (EUR/USD)

 Futures”) (blackline format)

Exhibit B - Amendments to CME Rule 588.H. (“Globex Non-Reviewable Trading

 Ranges”) Table 

Exhibit C - Amendments to CME Rule 589. Special Price Fluctuation Limits and Daily 

 Price Limits Table

Exhibit D – Exchange Fees

Exhibit E – Trading and Clearing Hours
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Exhibit A

CME Rulebook

(additions underscored)

Chapter 261

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

*** 

26103. [Reserved]

26104. [Reserved]

26105. [Reserved]

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 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.

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 261

The WM/Refinitiv Closing Spot Rates are provided by Refinitiv. Refinitiv shall not be liable for any errors in or 

delays in providing or making available the WM/Refinitiv Spot Rates, nor for any actions taken in reliance on 

the same. The Closing Spot Rates cannot be used, reproduced, distributed, redistributed, licensed or 

disclosed in any way without a written agreement with Refinitiv.
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Exhibit B

CME Rulebook

(additions underscored)

Chapter 5

(“Trading Qualifications and Practices”)

Rule 588.H. (“Globex Non-Reviewable Trading Ranges”) Table

Outrights Spreads

Instrument Globex 

Symbol

Globex 

NonReviewable 

Ranges 

(NRR)

NRR: 

Globex 

Format

NRR: 

Minimum 

Ticks

NRR: 

Globex 

Format

NRR: Outright 

Minimum Ticks

EUR/USD 

Futures 6E 0.004000 0.000050 80 0.001000 50

BTIC on 

Euro/U.S. 

Dollar 

(EUR/USD) 

Futures

6EB 0.001000 0.000005 200 N/A N/A

Exhibit C

CME Rulebook

(additions underscored)

Chapter 5

(“Trading Qualifications and Practices”) 

Rule 589. Special Price Fluctuation Limits and Daily Price Limits Table

Product Rulebook Commodity 

Code

Primary/Associated Associated 

With

Dynamically 

Calculated Variant 

– All Hours

BTIC on 

Euro/U.S. Dollar 

(EUR/USD) 

Futures

261 6EB Associated 6E Daily Price Limit 

Table
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Exhibit D

Exchange Fees

Membership Type

Venue/Transaction 

Type Fee

Individual Members

Clearing Members

Rule 106.J Equity Member Firms & Rule 106.J Qualified 

Subsidiaries

Rule 106.I Members & Rule 106.I Qualified Affiliates

Rule 106.S Member Approved Funds

CME Globex BTIC $0.65

Block BTIC $1.07

Rule 106.D Lessees

Rule 106.F Employees 

CME Globex BTIC $0.68

Block BTIC $1.27

Rule 106.R Electronic Corporate Members

(For other than CME Globex - Non-Member rates apply)

CME Globex BTIC $0.70

Block BTIC $1.60

Rule 106.H and 106.N Firms 

CME Globex BTIC $0.70

Block BTIC $1.45

International Incentive Program (IIP) Participants

International Volume Incentive Program (IVIP) Participants 

Central Bank Incentive Program (CBIP) Participants

Latin American Fund Manager Incentive Program (FMIP) 

Participants 

CME Globex BTIC $1.60

Block BTIC $1.60

CTA/Hedge Fund Incentive Program Participants

CME Globex BTIC $1.60

Block BTIC $1.60

Members Trading Outside of Division 

(For other than CME Globex During ETH - Non-Member rates 

apply)

CME Globex BTIC $1.60

Block BTIC $1.60

Non-Members

CME Globex BTIC $1.60

Block BTIC $1.60

Processing Fees Fee

Position Adjustment/Position Transfer $0.10

Give-Up Surcharge $0.05

Facilitation Fee $0.40
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Exhibit E

Trading and Clearing Hours

CME Globex Pre-Open:

• Sunday 4:00 p.m. – 5:00 p.m. Central Time 

(CT)

• Monday – Thursday 4:45 p.m. – 5:00 p.m. CT

CME Globex:

• Sunday - Friday 5:00 p.m. - 4:00 p.m. CT

• Daily maintenance period from 4:00 p.m. to 

5:00 p.m. CT

CME ClearPort:

• Sunday - Friday 5:00 p.m. – 5:45 p.m. CT

• No reporting Monday - Thursday from 5:45 

p.m. to 6:00 p.m. CT