SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-128 (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): 02/28/23 Filing Description: Amendments to Certain CME and 

CBOT U.S. Equity Index Futures Contracts to Include Behavior in Connection with 

Unscheduled Market Holidays Declared by the Primary Listing Exchange

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

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Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

February 28, 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. Amendments to Certain CME and CBOT U.S. 

Equity Index Futures Contracts to Include Behavior in Connection with Unscheduled 

Market Holidays Declared by the Primary Listing Exchange.

CME Submission No. 23-128 (1 of 2)

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. (“CME”) and The Board of Trade of the City of Chicago, Inc. (“CBOT”) 

(collectively, the “Exchanges”) certify to the Commodity Futures Trading Commission (“CFTC” or 

“Commission”) amendments to the U.S. equity index futures contracts listed in Table 1. below (the 

“Contracts”) to align the Contracts’ trading schedules with unscheduled market holidays declared by the 

Primary Listing Exchanges effective on March 15, 2023. 

Table 1.

Contract Title Rulebook 

Chapter

CME Globex/

CME ClearPort 

Code

CME

Micro E-mini Standard and Poor’s 500 Stock Price Index Futures 353 MES

S&P 500 Growth Index Futures 355 SG

S&P 500 Value Index Futures 356 SU

S&P 500 Total Return Index Futures 357 TRI

Adjusted Interest Rate S&P 500 Total Return Index Future 357B ASR

E-mini Standard and Poor's 500 Stock Price Index Futures 358 ES

Nearby BTIC+ Futures on E-mini Standard and Poor's 500 Stock 

Price Index Futures*

358B ES1

Deferred BTIC+ Futures on E-mini Standard and Poor's 500 Stock 

Price Index Futures*

358B ES2

TACO+ Futures on E-mini Standard and Poor's 500 Stock Price 

Index Futures*

358B EQ1

E-mini Nasdaq-100 Index Futures 359 NQ

E-mini Nasdaq Biotechnology Index Futures 360 BIO/BQ

Micro E-mini Nasdaq-100 Index Futures 361 MNQ

E-mini Standard and Poor's Midcap 400 Stock Price Index Futures 362 EMD/ME

Micro E-mini Russell 2000 Index Futures 363 M2K

E-mini S&P 500 ESG Index Futures 364 ESG

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

E-mini Standard and Poor's Select Sector Stock Consumer 

Discretionary Index Futures 369 XAY

E-mini Standard and Poor's Select Sector Stock Consumer 

Staples Index Futures 369 XAP

E-mini Standard and Poor's Select Sector Stock Energy Index 

Futures 369 XAE
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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E-mini Standard and Poor's Select Sector Stock Financial Index 

Futures 369 XAF

E-mini Standard and Poor's Select Sector Stock Health Care 

Index Futures 369 XAV

E-mini Standard and Poor's Select Sector Stock Industrial Index 

Futures 369 XAI

E-mini Standard and Poor's Select Sector Stock Materials Index 

Futures 369 XAB

E-mini Standard and Poor's Select Sector Stock Technology Index 

Futures 369 XAK

E-mini Standard and Poor's Select Sector Stock Utilities Index 

Futures 369 XAU

E-mini Standard and Poor’s Select Sector Stock Real Estate Index 

Futures 369 XAR

E-mini Standard and Poor's Communication Services Select 

Sector Index Futures 369 XAZ

E-mini S&P Regional Banks Select Industry Futures 369 SXB

E-mini S&P Insurance Select Industry Futures 369 SXI

E-mini S&P Biotechnology Select Industry Futures 369 SXT

E-mini S&P Oil & Gas Exploration & Production Select Industry 

Futures 369 SXO

E-mini S&P Retail Select Industry Futures 369 SXR

Adjusted Interest Rate Russell 1000 Total Return Index Futures 372 ARR

Adjusted Interest Rate Russell 2000 Total Return Index Futures 373 A2R

Adjusted Interest Rate Nasdaq-100 Total Return Index Futures 374 AQR

E-mini Nasdaq Composite Index Futures 377 QCN/QN

Nasdaq-100 Volatility Index Futures* 379 VLQ

E-mini PHLX Semiconductor Sector Futures 380 SOX

E-mini Russell 1000 Index Futures 383 RS1

E-mini Russell 1000 Growth Index Futures 384 RSG

E-mini Russell 1000 Value Index Futures 385 RSV

E-mini IPOX 100 U.S. Index Futures 392 IPO

E-mini Russell 2000 Index Futures 393 RTY

E-mini Russell 2000 Growth Index Futures 394 R2G

E-mini Russell 2000 Value Index Futures 395 R2V

CBOT

E-mini Dow Jones Industrial Average Index Futures 27 YM

Micro E-mini Dow Jones Industrial Average Index Futures 28 MYM

Dow Jones US Real Estate Index Futures 30 RX/JR

Adjusted Interest Rate Dow Jones Industrial Average Total Return 

Index Futures 33 ADR

*rule amendments are provided in Appendix B

Specifically, the Exchanges are adopting additional language in Rule XXX02. (“Trading Specifications”) and 

Rule XXX03. (“Settlement Procedures”) of the Contracts to codify the process which shall be applied in the 

event that the Primary Listing Exchange is closed in observance of an unscheduled market holiday on a 

day previously scheduled as a Business Day (collectively, the “Rule Amendments”).

The Rule Amendments were previously applied to U.S. equity options contracts. See Submission No. 19-

453 for additional information.
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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Appendix A provides an example of the rulebook changes of the Contracts with exception to CME Chapters 

358B and 357 which are provided in Appendix B.

The Exchanges 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 Exchanges will release a Special Executive Report 

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

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

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

for the Contracts.

Pursuant to Section 5c(c) of the Act and Regulation 40.6(a), the Exchanges certify that the Rule 

Amendments comply with the Act, including all regulations thereunder. There were no substantive 

opposing views to this proposal.

The Exchanges certify that this submission has been concurrently posted on the Exchanges’ website at 

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

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

or CMEGSubmissionInquiry@cmegroup.com. 

 

Sincerely,

 /s/ Christopher Bowen

 Managing Director and Chief Regulatory Counsel

Attachments: Appendix A Rulebook Chapters XXX (blackline format)

Appendix B CME Rulebook Chapters 358B and 379 (blackline format)
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Appendix A

(additions underscored)

CME and CBOT Rulebooks

Chapter XXX

***

XXX02. TRADING SPECIFICATIONS

***

XXX02.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 

XXX03.A.) for such futures.

If an unscheduled Market Holiday is declared on the day of Final Settlement Price determination (Rule 

XXX03.A), trading in the expiring futures shall terminate at the close of trading on the New York Stock 

Exchange on the immediately preceding Business Day. 

***

XXX03. SETTLEMENT PROCEDURES

Delivery shall be by cash settlement.

XXX03.A. Final Settlement Price

For a futures contract for a given delivery month, the Final Settlement Price shall be a special opening 

quotation of the Index. Such special opening quotation shall be determined on the third Friday of such 

delivery month and shall be based on opening prices of the component stocks of the Index.

If the Index is not scheduled to be published on the third Friday of the contract delivery month, then such 

Final Settlement Price shall be scheduled for determination on the first preceding Business Day on which 

the Index is scheduled to be published.

If the Primary Listing Exchange for a component stock of the Index does not open on the day scheduled 

for determination of such Final Settlement Price, then for the purpose of calculating such Final Settlement 

Price the price of such component stock shall be its opening price on the next following day on which its 

Primary Listing Exchange is open for trading.

If a component stock of the Index does not trade on the day scheduled for determination of such Final 

Settlement Price, and the Primary Listing Exchange for such stock is open for trading, then for the purpose 

of calculating such Final Settlement Price the price of such stock shall be its last sale price, provided that 

the Exchange in its sole discretion may instruct that the price of such stock shall be its opening price on 

the next following day that it is traded on its Primary Listing Exchange.

If an unscheduled Market Holiday is declared on the day of final settlement price determination, the Final 

Settlement Price shall be the Official Index Closing Value published by the index publisher on the

Business Day immediately preceding the original day of Final Settlement Price determination.

[End of Rule.]
5

Appendix B

(additions underscored)

CME Rulebook

Chapter 358B

BTIC+ and TACO+ Futures on 

E-mini Standard and Poor's 500 Stock Price Index Futures

***

358B03. SETTLEMENT PROCEDURES

358B03.A. Final Settlement Price

For a futures contract for a given delivery day, the Final Settlement Price shall be determined on the Last 

Trade Date. 

358B03.B. Delivery Price

For a futures contract for a given delivery day, the Delivery Price shall be the Final Settlement Price plus 

(i) the official closing Index level on the Delivery Date for Nearby BTIC+ on ES futures contracts or,

(ii) the official closing Index level on the Delivery Date for Deferred BTIC+ on ES futures contracts 

or,

(iii) the special opening quotation level of the Index on the Delivery Date for TACO+ on ES futures

contracts, in accord with CME Rule 35803.A. 

If an unscheduled Market Holiday is declared on the delivery day, the Delivery Price shall be the Final 

Settlement Price, plus the official closing index level on the Business Day immediately preceding the 

delivery day, for Nearby BTIC+ on ES futures, Deferred BTIC+ on ES futures and TACO+ on ES futures 

contracts.

358B03.C. Final Settlement

1. Clearing members holding a long (short) position in an expiring Nearby BTIC+ on ES futures 

contract at its Termination of Trading (Rule 358B02.G.) will be assigned a BTIC transaction to 

buy (sell) an ES futures contract on such Nearby BTIC+ futures contract’s Delivery Date. Such 

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

of such contract. Such assigned BTIC transaction to buy (sell) an ES future will settle in 

accordance with the BTIC Price Assignment Procedures (Rule 35806.B.1) resulting in the 

clearing member being assigned a long (short) position in an ES future at the Delivery Price.

2. Clearing members holding a long (short) position in an expiring Deferred BTIC+ on ES futures 

contract at its Termination of Trading (Rule 358B02.G.) will be assigned a BTIC transaction to 

buy (sell) an ES futures contract on such Deferred BTIC+ futures contract’s Delivery Date. Such 

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

of such contract. Such assigned BTIC transaction to buy (sell) an ES future will settle in 

accordance with the BTIC Price Assignment Procedures (Rule 35806.B.1) resulting in the 

clearing member being assigned a long (short) position in an ES future at the Delivery Price.

3. Clearing members holding a long (short) position in an expiring TACO+ on ES futures contract 

at its Termination of Trading (Rule 358B02.G.) will be assigned a TACO transaction to buy (sell) 

an ES futures contract on such TACO+ futures contract’s Delivery Date. Such TACO transaction 

to buy shall be assigned with a price equal to the Final Settlement Price of such contract. Such 

assigned TACO transaction to buy (sell) an ES future will settle in accordance with the TACO 

Price Assignment Procedures (Rule 35806.B.2) resulting in the clearing member being assigned 

a long (short) position in an ES future at the Delivery Price.

[End of Rule.]
6

Chapter 379

Nasdaq-100® Volatility IndexSM (VOLQSM) Futures

***

37903. SETTLEMENT PROCEDURES

Delivery shall be by cash settlement.

37903.A. Final Settlement Price 

For a futures contract for a given delivery month, the Final Settlement Price shall be a special settlement 

quotation of the Index published by Nasdaq under the ticker “VolS”. 

VolS is generally calculated as a VWAP of the component Nasdaq-100 Index options during a 300 second 

period of time commencing at 9:32:000 on the settlement day (or 2.00.001 minutes after the open of 

trading in the event trading does not commence at 9:30:00 a.m. ET). 

VolS shall be determined thirty (30) days prior to the third Friday of the month immediately following such 

delivery month

If the cash settled Nasdaq-100 Index options are not scheduled to be traded on the third Friday of the 

month immediately following such delivery month, then such special settlement quotation shall be 

scheduled for determination thirty (30) days prior to the first preceding Business Day on which cash settled 

Nasdaq-100 Index options are scheduled to be traded.

If the Index is not scheduled to be published thirty (30) days prior to the third Friday of the month 

immediately following such delivery month, then such special settlement quotation shall be scheduled for 

determination on the first preceding Business Day on which the Index is scheduled to be published.

If an unscheduled Market Holiday is declared on the day of Financial Settlement Price determination, the 

Final Settlement Price shall be the special settlement quotation of the Index published by NASDAQ under 

the ticker “VolS” on the Business Day immediately following the original day of Final Settlement Price 

determination.

37903.B. Final Settlement

Clearing members holding open positions in an expiring futures contract at its termination of trading (Rule 

37902.G.) shall make payment to or receive payment from the Clearing House in accordance with normal 

variation margin procedures based on such expiring contract’s Final Settlement Price (Rule 37903.A.).

[End of Rule.]