SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-079

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 02/01/23 Filing Description: Weekly Notification of 

Amendments Related to Product Terms and Conditions - Week of January 23, 2023

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 1, 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(d) Notification. Chicago Mercantile Exchange Inc. (“CME” or 

“Exchange”) Weekly Notification of Amendments Related to Product Terms and 

Conditions.

CME Submission No. 23-079

Dear Mr. Kirkpatrick:

Pursuant to Commodity Futures Trading Commission (“CFTC” or “Commission”) Regulation 40.6(d), the 

Exchange submits this weekly notification of the following amendments related to product terms and 

conditions made effective during the week of January 23, 2023.

On January 23, 2023, the Exchange implemented administrative changes to Chapter 284L (“U.S. 

Dollar/Offshore Chinese Renminbi (USD/RMB) Futures contract (the “Contract”). Specifically, the 

Exchange implemented harmonization changes to Rule 284L.01.D. (“Position Limits and Position 

Accountability”) to delete specific language in the rulebook chapter and insert boilerplate language 

referencing the Position Limit, Position Accountability, and Reportable Level table in CME Chapter 5 

(“Trading Qualifications and Practices”) (the “Table”) (collectively, the “Rule Amendments”). The position 

limits of the Contract in the Table are currently accurate as filed with the CFTC in 2013 (see CME 

Submission No. 13-167). The Rule Amendments are provided below in Exhibit A in blackline format.

On January 27, 2023, the Exchange implemented administrative changes to CME Submission No. 23-015

dated January 5, 2023 to expand Basis Trade at Index Close (BTIC) transactions eligibility for the Euro/U.S. 

Dollar (EUR/USD) Futures contract effective February 5, 2023. Exhibit B below provides Special Executive 

Report 9096R (SER 9096R) dated January 27, 2023, which more specifically describes the changes. 

Effective Sunday, January 22, 2023, for trade date Monday, January 23, 2023, the Exchange amended the 

strike price listing schedule for certain equity options contracts. Exhibit C below provides Special Executive 

Report 9108R (SER 9108R) dated January 13, 2023, which more specifically describes the changes.

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

2

Attachments: Exhibit A – Amendments to CME Rulebook Chapter 284L (blackline format)

Exhibit B – SER 9096R

Exhibit C – SER 9108R
3

Exhibit A

CME Rulebook

(additions underscored; deletions struck through)

Chapter 284L 

U.S. Dollar/Offshore Chinese Renminbi (USD/RMB) Futures

***

284L01. FUTURES CALL

***

284L.01.D. Position Limits and Position Accountability

1. Authority – Position Limits and Position Accountability may be applicable, as defined by Rule 560, and 

as per the following. 

2. Aggregation - For purposes of this Rule, where applicable: 

• futures, 

• options on futures, 

• E-mini futures,

• E-micro futures,

• cleared only spot, forward and swaps (combinations of spot and forwards or two maturity forwards), 

• cleared only options on spot and forwards; and 

• in addition, where applicable, the analogous reciprocal versions of the aforementioned contracts for 

the respective foreign exchange pairs, 

shall be aggregated with all products utilizing that foreign exchange (FX) pair, where Chinese renminbi 

is domiciled outside of the People’s Republic of China, regardless of quoting conventions. The baseline 

for this aggregation shall be the denomination of the underlying full-size CME Offshore USD/RMB 

futures contract. Contract equivalents shall be determined through the conversion of the notional value 

(or contract size times the number of contracts in standardized products).

3. Contract Equivalent - For purposes of this Rule, a contract shall be deemed to be the equivalent of 

100,000 U.S. dollars in notional value. 

4. Position Limit – A participant shall not own or control more than the aggregated equivalent of 1,000 

CME full-size contracts (100,000,000 U.S. dollars in notional value), in all months combined, net long 

or short, at any time, or no more than 500 CME full-size contracts (50,000,000 U.S. dollars in notional 

value), in the delivery month contract, net long or short, on or after the day one week prior to the 

termination of trading day. 

5. Exemptions - The foregoing position limits shall not apply to bona fide hedge positions meeting the 

requirements of Regulation 1.3(z)(1) of the CFTC and the rules of the Exchange, and shall not apply to 

other positions exempted pursuant to Rule 559. However, during the last five business days of trading 

in the delivery month contract, there shall be no exemption from the position limit allowed for the nearby 

expiring contract month.

6. Reserved

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth 

in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special 

Notices Section of Chapter 5.

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation Department 

may grant qualified exemptions in its sole discretion.

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from 

the specified position limits.

[Remainder of Rule Unchanged.]
4

Exhibit B

Special Executive Report

DATE: January 27, 2023

SER#: 9096R 

SUBJECT: Basis Trade at Index Close (BTIC) Transactions Eligibility for the Euro/U.S. Dollar 

(EUR/USD) Futures Contract

Initial Listing of the BTIC+ on Euro/U.S. Dollar (EUR/USD) Futures Contract

(SER 9096R supersedes SER 9096 dated November 28, 2022 to expand the BTIC eligibility for the Contract 

as noted below. No other changes have been made to the original SER.)

Effective Sunday, February 5, 2023 for trade date Monday, February 6, 2023, and pending all relevant 

Commodity Futures Trading Commission (“CFTC”) regulatory review periods, Chicago Mercantile 

Exchange Inc. (“CME” or “Exchange”) will: (1) enable Basis Trade on Index Close (“BTIC”) transactions for 

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

“Existing EUR/USD Futures Contract”); and (2) initially list the BTIC+ on Euro/U.S. Dollar (EUR/USD) 

Futures contract (Chapter 261B; Code: 6EP) (the “New BTIC+ EUR/USD Futures Contract”) for trading on 

the CME Globex electronic trading platform (“CME Globex”) and for submission for clearing via CME 

ClearPort.

In order to accommodate enabling BTIC on the Existing EUR/USD Futures Contract, effective January 22, 

2023 for trade date January 23, 2023CME expanded the decimal point locator on the price format for the 

Existing EUR/USD Futures Contract from 5 decimal points to 6 decimal points. The CME ClearPort 

minimum price increment for Euro/U.S. Dollar (EUR/USD) Futures will be amended from 0.00001 to 

0.000010 and the CME Globex minimum price increment will change from 0.00005 to 0.000050. 

BTIC transactions in the Existing EUR/USD Futures 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. In addition, BTIC transactions in the existing 

EUR/USD futures contract will eligible for the second nearby quarterly contract month ten (10) 

business days prior to the final expiration of the first nearby quarterly contract.* 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. Salient features of this transaction type can be found in Exhibit A. 

Regulatory guidance regarding BTIC transactions may be viewed here. 

*For example, on trade February 6, 2023, BTIC will be available in the March 2023 contract month. On February 27, 

2023, BTIC will be available in the March 2023 and June 2023 contract months.

Attachments: Exhibit A – Existing EURO/USD Futures Contract

 BTIC Eligibility for Euro/U.S. Dollar (EUR/USD) Futures Contract

• Relevant Specifications

• Amendments to Rulebook Chapter 261
5

Exhibit B – New BTIC+ EUR/USD Futures Contract

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

• Contract Specifications

Exhibit C – Exchange Fees Applicable to Existing EURO/USD Futures and

 New BTIC+ EUR/USD Futures Contract

Please refer questions on this subject to: 

Asia

Ravi Pandit +65 6593 5562 Ravi.Pandit@cmegroup.com

Europe

Phil Hermon, +44 20 3379 3983 Phil.Hermon@cmegroup.com

Paul Houston +44 20 3379 3355 Paul.Houston@cmegroup.com

Chris Povey +44 20 3379 3080 Chris.Povey@cmegroup.com

U.S.

Emerson Eckhout +1 312 435 3781 Emerson.Eckhout@cmegroup.com 

Sebastian Sierotnik +1 312 930 1312 Sebastian.Sierotnik@cmegroup.com

Research and Product Development 

Hannah Baldwin +44 20 3379 3005 Hannah.Baldwin@cmegroup.com

Richard Stevens +44 20 3379 3790 Richard.Stevens@cmegroup.com 

Please send any risk specific feedback with regard to these products to 

NewProductMRM@cmegroup.com.

Exhibit A

(Existing EURO/USD Futures Contract)

BTIC Eligibility for Euro/U.S. Dollar (EUR/USD) Futures Contract

Trading and Clearing Hours CME Globex Pre-Open:

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

• Monday - Friday 4:15 p.m. – 4:30 p.m. London Time 

(10:15 a.m./11:15 a.m. CT – 10:30 a.m./11:30 a.m. 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

• Trading halt from 3:40 p.m. London time (9:40 a.m./10:40 

a.m. CT) to 4:30 p.m. London Time (10:30 a.m./11:30 

a.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
6

• No reporting Monday - Friday from 9:40 a.m. to 11:30 

a.m. CT).

• No reporting Monday - Thursday from 5:45 p.m. to 6:00 

p.m. CT

Minimum Price Fluctuation CME Globex: 

0.000005 per Euro increment = 0.625

CME ClearPort: 

0.000001 per Euro increment = 0.125

Commodity Code CME Globex: 6EB

CME ClearPort: 6EB

CME Globex Matching Algorithm F - FIFO

Block Minimum Threshold 150 contracts – subject to a 15 minute reporting window

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.
7

Exhibit B

(New BTIC+ EUR/USD Futures Contract)

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

Contract Size 125,000 Euro

Price Quotation US Dollars and cents per Euro increment

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

Minimum Price Fluctuation CME Globex: 

0.000005 per Euro increment = 0.625

CME ClearPort: 

0.000001 per Euro increment = 0.125

Commodity Code CME Globex: 6EP

CME ClearPort: 6EP

Termination of Trading The last day of trading is the Exchange Business Day prior to 

the contract date

CME Globex Matching Algorithm F – FIFO

Listing Schedule Nearest 'end-of-month' reference date. Underlying futures 

reference is nearest quarterly contract of Euro/U.S. Dollar 

(EUR/USD) Futures contract.

Initial Listing Schedule February 2023 contract month

Block Minimum Threshold 150 contracts – subject to a 15-minute reporting window

Settlement Method Physical delivery of a BTIC transaction in the underlying 

EUR/USD Futures for the last Exchange Business Day of the 

contract month.

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

Exchange Rulebook Chapter 261B

Exhibit C

Exchange Fees

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

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

Membership Type

Venue/Transaction 

Type Fee

Individual Members

Clearing Members

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

CME Globex BTIC $0.65
8

Subsidiaries

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

Rule 106.S Member Approved Funds

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
9

Exhibit C

Special Executive Report

DATE: January 13, 2023

SER#: 9108R

SUBJECT: Amendments to the Strike Price Listing Rule for Certain Equity Options 

Contracts

(SER 9108R supersedes SER 9108 dated December 13, 2022 to advise that 25-point increment strike 

prices will not be available for all Options on Micro E-mini and E-mini Nasdaq-100 Index Futures contracts. 

No other changes have been made to the original SER.)

Effective Sunday, January 22, 2023, for trade date Monday, January 23, 2023, Chicago Mercantile 

Exchange Inc. (“CME” or “Exchange”) will amend the strike price listing schedule for certain equity options 

contracts in the table below (the “Contracts”) for trading on the CME Globex electronic trading platform 

(“CME Globex”) and for submission of clearing via CME ClearPort.

Contract Title Rulebook 

Chapter

CME 

Globex 

and

CME 

ClearPort 

Code

Current Strike Price 

Listing Schedule

Amended Strike 

Price Listing 

Schedule 

American Options on Micro E-mini 

Standard and Poor’s 500 Stock 

Price Index Futures

353A MES

100-point increment: 

-80% - +30% (when 

listed)

50-point increment: -

40% - +15% (<366 

DTE)

10-point increment: -

20% - +10% (<126 

DTE)

5-point increment: -

10% - +5% (<14 

DTE)

100-point 

increment: -80% -

+30% (when listed)

50-point increment: 

-40% - +15% 

(<366 DTE)

25-point 

increment: -25% -

+10% (<126 DTE)

10-point increment: 

-20% - +10% (<96

DTE)

5-point increment: -

10% - +5% (<10

DTE)

End of Month Options on Micro Emini Standard and Poor’s 500 

Stock Price Index Futures

353A EX

Weekly Options on Micro E-mini 

Standard and Poor’s 500 Stock 

Price Index Futures

353A EX1-EX4

Weekly Monday Options on E-mini 

Standard and Poor's 500 Stock 

Price Index Futures

358A E1A-E5A

Weekly Wednesday Options on Emini Standard and Poor's 500 

Stock Price Index Futures

358A E1C-E5C

American Options on E-mini 

Standard and Poor's 500 Stock 

Price Index Futures

358A ES

Tuesday Weekly Options on E-mini 

Standard and Poor's 500 Stock 

Price Index Futures - Week 1-5 

(European-Style)

358A E1B-E5B

Thursday Weekly Options on Emini Standard and Poor's 500 358A E1D-E5D
10

Stock Price Index Futures - Week 

1-5 (European-Style)

End of Month Options on E-mini 

Standard and Poor's 500 Stock 

Price Index Futures

358A EW

Weekly Friday Options on E-mini 

Standard and Poor's 500 Stock 

Price Index Futures – Week 1-4 

(European-Style)

358A EW1-

EW4

100-point increment: 

-80% - +30% (when 

listed)

50-point increment: -

40% - +15% (<366 

DTE)

10-point increment: -

20% - +10% (<126 

DTE)

5-point increment: -

10% - +5% (<14 

DTE)

100-point 

increment: -80% -

+30% (when listed)

50-point increment: 

-40% - +15% 

(<366 DTE)

25-point 

increment: -25% -

+10% (<126 DTE)

10-point increment: 

-20% - +10% (<96

DTE)

5-point increment: -

10% - +5% (<10

DTE)

Week 3 Options 

will also support 

100, 1100, 2100, 

3100, 4100, 5100, 

6100, 7100, 8100, 

9100 strikes

Standard Options on E-mini 

Nasdaq 100 Index Futures 359A NQ

500-point increment: 

-80% - +30% (when 

listed)

100-point increment: 

-40% - +20% (<96 

DTE)

50-point increment: -

20% - +10% (<35 

DTE)

10-point increment: -

10% - +5% (<14 

DTE)

500-point 

increment: -80% -

+30% (when listed)

250-point 

increment: -40% -

+20% (<96 DTE)

100-point 

increment: -30% -

+15% (<66 DTE)

50-point increment: 

-20% - +10% (<35 

DTE)

10-point increment: 

-10% - +5% (<5

DTE)

Weekly Monday Options on E-mini 

Nasdaq 100 Index Futures 359A Q1A-Q5A

Weekly Tuesday Options on E-mini 

Nasdaq 100 Index Futures 359A Q1B-Q5B

Weekly Wednesday Options on Emini Nasdaq 100 Index Futures 359A Q1C-Q5C

Weekly Thursday Options on Emini Nasdaq 100 Index Futures 359A Q1D-Q5D

Weekly Friday Options on E-mini 

Nasdaq 100 Index Futures 359A QN1-QN4

End of Month Options on E-mini 

Nasdaq 100 Index Futures 359A QNE

American Options on Micro E-mini 

Nasdaq-100 Index Futures 361A MNQ

Weekly Options on Micro E-mini 

Nasdaq-100 Index Futures 361A MQ1-MQ4

End of Month Options on Micro Emini Nasdaq-100 Index Futures 361A MQE

Weekly Options on E-mini Russell 

2000 Index Futures 393A R1E-R4E 100-point increment: 

-80% - + 30% (when 

listed)

50-point increment: -

50% - +30% (<96 

DTE)

10-point increment: -

20% - +10% (<66 

DTE)

100-point 

increment: -80% -

+ 30% (when 

listed)

50-point increment: 

-40% - +20% (<96 

DTE)

End of Month Options on E-mini 

Russell 2000 Index Futures 393A RTM

American Options on E-mini 

Russell 2000 Index Futures 393A RTO

Monday Weekly Options on E-mini 

Russell 2000 Index Futures - Week 

1-5 (European-Style)

393A R1A-R5A
11

Wednesday Weekly Options on Emini Russell 2000 Index Futures -

Week 1-5 (European-Style)

393A R1C-R5C

5-point increment: -

10% - +5% (<14 

DTE)

25-point 

increment: -20% -

+15% (<66 DTE)

10-point increment: 

-15% - +10% (<35

DTE)

5-point increment: -

10% - +5% (<10

DTE)

The Strike Price Listing and Exercise Procedure Table may be viewed HERE.

The Commodity Futures Trading Commission (“CFTC”) will be notified of the amendments during the week 

of January 30, 2023 via the weekly notification procedures set forth in Part 40 of the CFTC’s Regulations.

Please refer questions on this subject to:

Brian Burke Brian.Burke@cmegroup.com +1 212 299 2236

Anna Ellis Anna.Ellis@cmegroup.com +1 312 783