SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-073 (2 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): 02/23/23 Filing Description: Addition of the CME Globex

Electronic Trading Platform Venue for Basis Trade at Index Close (“BTIC”) Transactions 

and Administrative Amendments for Various Equity Index 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:

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

February 23, 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. Addition of the CME Globex Electronic 

Trading Platform Venue for Basis Trade at Index Close (“BTIC”) Transactions and 

Administrative Amendments for Various Equity Index Futures Contracts.

CME Submission No. 23-073 (2 of 2)

Dear Mr. Kirkpatrick:

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

Commission (“CFTC” or “Commission”) (1) the addition of the CME Globex electronic trading platform 

(“CME Globex”) for Basis Trade at Index Close (“BTIC”) transactions currently eligible for certain equity 

index futures contracts for submission for clearing via CME ClearPort listed in Table 1. below, and (2) 

administrative amendments to the equity index futures contracts listed in Table 1. below effective Sunday, 

March 12, 2023 for trade date Monday, March 13, 2023.

 

 Table 1.

Contract Title Rulebook 

Chapter

CME Globex 

and CME 

ClearPort Code

BTIC Code

S&P 500 Value Index Futures 356 SU SUT

S&P 500 Growth Index Futures 355 SG SGT

E-mini S&P Smallcap 600 Index Futures 368 SMC SMT

Specifically, the Exchange will:

1. Amend Rules 35502.G. and 35602.G. (“Termination of Trading”) for the S&P Growth Index Futures 

and S&P Value Index Futures contracts to correct the termination of trading time from the Business 

Day before the 3rd Friday of the contract month to the 3rd Friday of the contract month; and

2. Amend Rules 35506.C. and 35606.C. (“BTIC Minimum Price Increments”) for the S&P Growth 

Index Futures and S&P Value Index Futures contracts to decrease the BTIC minimum price 

increment from 0.10 index points to 0.05 index points on both CME Globex and CME ClearPort.

and

3. Implement conforming amendments to Rules 588.H. (“Globex Non-Reviewable Trading Ranges”) 

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

4. Amend the last trade date (“LTD”) rule for BTIC transactions on E-mini S&P Smallcap 600 Index 

Futures contract from the 3rd Friday of the contract month to the Business Day before the 3rd 

Friday of the contract month; and
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

2

5. Implement an operational correction to the BTIC minimum price increment for the E-mini S&P 

Smallcap 600 Index Futures contract to reflect 0.05 index points to appropriately mirror Rule 

36806.C. (“BTIC Minimum Price Increments”) (collectively, the “Rule Amendments”).

The addition of the CME Globex venue will align these contracts with other equity index futures contracts. 

The administrative amendments are corrections to the Exchange’s current practice.

Appendix A provides Rulebook Chapters 355 and 356 in blackline format. Appendices B and C provide 

CME Rule 588.H. and CME Rule 589. in blackline format, respectively. Appendix D provides the Exchange 

Fees.

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 will release a Special Executive Report 

(“SER”) regarding the Rule Amendments. The SER will also be posted on the CME Group website.

Daily Publication of Trading Information: The Exchange will continue to publish contract trading 

volumes, open interest levels, and price information daily on its website and through quote vendors 

for the Contracts.

Prevention of Market Disruption: Trading in the Contracts will continue to be subject to the rules 

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

cash settlement process.

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

enforce compliance with the rules of the Contracts. 

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 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 (212) 299-2200 

or via e-mail at CMEGSubmissionInquiry@cmegroup.com.

Sincerely,

/s/ Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachments: Appendix A Amendments to CME Rulebook Chapters 355 and 356 (blackline format)

Appendix B CME Rule 588.H. – (“Globex Non-Reviewable Trading Ranges”) Table

Appendix C CME Rule 589. – Special Price Fluctuation Limits and Daily Price Limits 

Table

Appendix D Exchange Fees
3

Appendix A

(additions underscored; deletions struck through)

CME Rulebook

Chapter 355

S&P 500 Growth Index Futures

***

35502. TRADING SPECIFICATIONS 

***

35502.G. Termination of Trading

Trading in expiring futures shall terminate at the regularly scheduled start of trading on the New York 

Stock Exchange on the Business Day scheduled for determination of the Final Settlement Price (Rule 

35503.A.) for such futures.

Trading in expiring futures shall terminate at 3:15 p.m. on the Business Day immediately preceding the 

Business Day scheduled for determination of the Final Settlement Price (Rule 35503.A.) for such futures.

***

35506. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

***

35506.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.10 0.05Index points.

[End of Rule changes.]

Chapter 356

S&P 500 Value Index Futures

***

35602. TRADING SPECIFICATIONS 

***

35602.G. Termination of Trading

Trading in expiring futures shall terminate at the regularly scheduled start of trading on the New York 

Stock Exchange on the Business Day scheduled for determination of the Final Settlement Price (Rule 

35603.A.) for such futures.

Trading in expiring futures shall terminate at 3:15 p.m. on the Business Day immediately preceding the 

Business Day scheduled for determination of the Final Settlement Price (Rule 35603.A.) for such futures.

***

35606. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

***

35606.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.100.05 index points.

[End of Rule changes.]
4

Appendix B

(additions underscored)

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

CME 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: 

Minimum 

Ticks

BTIC on S&P 500 Value Index Futures SUT 1 index points 100 20 N/A N/A

BTIC on E-mini S&P Smallcap 600 Index Futures SMT 1 index points 100 20 N/A N/A

BTIC on S&P 500 Growth Index Futures SGT 1 index points 100 20 N/A N/A

Appendix C

(additions underscored)

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

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

Dynamically 

Calculated Variant

Product Rulebook 

Chapter

Commodity 

Code

Primary/ 

Associated

Associated 

With

Daily Price 

Limit

(Excluding Regular 

Trading Hours)

BTIC on S&P 500 Value Index Futures 356 SUT Associated SU Daily Price 

Limit Table

BTIC on E-mini S&P Smallcap 600 Index 

Futures 368 SMT Associated SMC Daily Price Limit Table

BTIC on S&P 500 Growth Index Futures 355 SGT Associated SG Daily Price 

Limit Table
5

Appendix D 

Exchange Fees

Membership Type

Venue/Transaction 

Type

Equity 

Index 

Futures

E-mini 

Equity Index 

Futures

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 $2.05 $1.90

Rule 106.D Lessees

Rule 106.F Employees CME Globex BTIC $2.28 $2.02

Rule 106.H and 106.N Firms CME Globex BTIC $2.43 $2.20

International Incentive Program (IIP) Participants

International Volume Incentive Program (IVIP) Participants

(For other than CME Globex - See Non-Members)

CME Globex BTIC $2.65 $2.25

Central Bank Incentive Program (CBIP) Participants

Latin American Fund Manager Incentive Program (FMIP) Participants

(For other than CME Globex and where N/A - See Non-Members) CME Globex BTIC $2.65 $2.25

CBOE Members

(For S&P products only; for all other products - Non-Member rates 

apply)

CME Globex BTIC $2.55 $2.20

Non-Members CME Globex BTIC $2.65 $2.25

Processing Fees Fee

Position Adjustment/Position Transfer $0.10 

Give-Up Surcharge $0.05 

Facilitation Fee $0.40