SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 22-422 (2 of 2)

Organization: The Board of Trade of the City of Chicago, Inc. (“CBOT”)

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 10/31/22 Filing Description: Delisting of Four (4) Equity Total 

Return 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

October 31, 2022

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. Delisting of Four (4) Equity Total Return Index 

Futures Contracts.

CBOT Submission No. 22-422 (2 of 2)

Dear Mr. Kirkpatrick:

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

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

(collectively, the “Exchanges”) are certifying to the Commission the delisting of four (4) equity total return 

index futures contracts (the “Contracts”) as noted in the table below. There is no open interest in the 

Contracts. 

Contract Title Rulebook 

Chapter

CME Globex

and

CME ClearPort 

Code

Nasdaq-100 Total Return Index Futures CME 396 N1R

Russell 1000 Total Return Index Futures CME 397 R1R

Russell 2000 Total Return Index Futures CME 398 R2R

Dow Jones Industrial Average Total Return Index Futures CBOT 31 DTR

As a result of the delisting, information regarding the Contracts has been deleted from the respective 

product rulebook chapter, related position limits in the Position Limit, Position Accountability and Reportable 

Level Tables located in the Interpretations and Special Notices Section of Chapter 5 (“Trading Qualifications 

and Practices”) of the CME and CBOT Rulebooks (the “Table”), the CME Globex non-reviewable ranges 

located in Rule 588.H. of the CME and CBOT Rulebooks, and the list of block-eligible products located on 

the CME Group website. The Table is attached under separate cover, in blackline format, as Exhibit B.

The Exchanges 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:

• Emergency Authority: There is no open interest in the Contracts, and therefore there will be 

no market disruption related to their delisting.

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

of the delisting by publishing a Special Executive Report (“SER”) to the marketplace. The SER 

will be available on CME Group’s website.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

2

Pursuant to Section 5c(c) of the Act and CFTC Regulations 40.6(a), the Exchanges hereby certify that the 

delisting of the Contracts complies with the Act, including regulations under the Act. There were no 

substantive opposing views to the proposal.

The Exchanges certify 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: Exhibit A: CME Rulebook Chapters 396, 397, and 398 and CBOT Rulebook 

Chapter 31 (blackline format)

Exhibit B: Position Limits, Position Accountability and Reportable Level Table in 

Chapter 5 of the CME and CBOT Rulebooks (blackline format) (attached 

under separate cover)
3

Exhibit A

CME Rulebook

(deletions struck through)

Chapter 396

Nasdaq-100 Total Return Index Futures 

39600. SCOPE OF CHAPTER

This chapter is limited in application to Nasdaq-100 Total Return Index futures (“futures”). In addition to 

this chapter, futures shall be subject to the general rules and regulations of the Exchange as applicable.

Unless otherwise specified, times referenced herein shall refer to and indicate Chicago time.

39600.A. Market Decline

For the purposes of this chapter a Market Decline shall be as defined in New York Stock Exchange Rule 

80B for Trading Halts Due to Extraordinary Volatility or in Nasdaq Stock Market Rule 4121 for Trading 

Halts Due to Extraordinary Volatility.

39600.B. Primary Listing Exchange

For the purposes of this chapter a Primary Listing Exchange shall be as defined in the “Plan to Address 

Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to Rule 

608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012 by the U.S. 

Securities and Exchange Commission (“SEC”), as amended from time to time (SEC, SRO Rulemaking, 

National Market System Plans, File 4-631).

39600.C. Regulatory Halt

For the purposes of this chapter a Regulatory Halt shall be as defined in the “Plan to Address 

Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to Rule 

608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012 by the SEC, 

as amended from time to time (SEC, SRO Rulemaking, National Market System Plans, File 4-631) and 

as implemented under New York Stock Exchange Rule 80B for Trading Halts Due to Extraordinary 

Volatility or under Nasdaq Stock Market Rule 4121 for Trading Halts Due to Extraordinary Volatility.

39601. CONTRACT SPECIFICATIONS

Each futures contract shall be valued at $10.00 times the Nasdaq-100 Total Return Index (“Index”).

39602. TRADING SPECIFICATIONS

39602.A. Trading Schedule

Futures contracts shall be scheduled for trading during such hours and for delivery in such months as 

may be determined by the Exchange, provided that there shall be no trading in futures contracts when 

trading is halted in the Primary Futures Contract Month for E-mini Nasdaq-100 Stock Price Index futures 

pursuant to Rule 35902.I. 

39602.B. Trading Unit

The unit of trading shall be $10.00 times the Index.

39602.C. Price Increments

Subject to the Interpretations & Special Notices Relating to Chapter 396, bids and offers shall be quoted 

in Index points, and the minimum price increment shall be 0.10 Index points, equal to $1.00 per contract.

39602.D. Position Limits, Exemptions, Position Accountability and Reportable Levels

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 file 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.

39602.E. [Reserved]

39602.F. [Reserved]
4

39602.G. Termination of Trading

Subject to the Interpretations & Special Notices Relating to Chapter 396, there shall be no trading of 

expiring futures contracts after the open of the Primary Listing Exchange on the day of Final Settlement 

Price determination for such contracts (Rule 39603.A.)

39602.H. [Reserved]

39602.I. [Reserved] 

39603. SETTLEMENT PROCEDURES

Delivery shall be by cash settlement.

39603.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.

39603.B. Final Settlement

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

39602.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 39603.A.).

39604. [RESERVED] 

39605. [RESERVED]

39606. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

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

39606.A. BTIC 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 scheduled close of the 

Primary Listing Exchange, 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 scheduled close of the Primary 

Listing Exchange, the corresponding futures price shall be made by reference to the Index closing value 

for the next Trading Day.

39606.B. BTIC Price Assignment Procedures 

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

39606.C. BTIC Minimum Price Increments

The minimum price increment shall be 0.10 Index points, equal to $1.00 per contract, for any basis 

adjustment that is applied to an Index closing price to establish a BTIC transaction price. 

39606.D. Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 
5

(End Chapter 396)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 396

1. Trading Specifications

Until such time as the Exchange shall enable outright trading in futures contracts made under these Rules, trading shall 

be permitted only where such futures contracts are traded through Basis Trade at Index Close transactions, pursuant 

to Rules 524.B. (Basis Trade at Index Close (“BTIC”) Transactions) and Rules 39606. of this Chapter, provided that in 

any instance where such futures contracts are traded as the futures component of an EFRP transaction pursuant to 

Rule 538. (Exchange for Related Positions), the price of such futures contracts may be made either in Index terms 

outright, pursuant to Rules 39602. of this Chapter, or in BTIC terms, pursuant to Rules 524.B. and Rules 39606. of this 

Chapter.

Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing Exchange on the 

Exchange business day first preceding the day of Final Settlement Price determination for such futures contract.

DISCLAIMER

E–mini Nasdaq 100 Index Futures and Options on Nasdaq 100 Index Futures (Products) are not sponsored, endorsed, 

sold or promoted by the Nasdaq Stock Market, Inc. (including its affiliates) (Nasdaq, with its affiliates, are referred to 

as the Corporations). The Corporations have not passed on the legality or suitability of, or the accuracy or adequacy of 

descriptions and disclosures relating to, the Products. The Corporations make no representation or warranty, express 

or implied, to the holder of any position in the Products or any member of the public regarding the advisability of 

investing in financial instruments generally or in the Products particularly, or the ability of the Nasdaq 100 Index to track 

general stock market performance. The Corporations' only relationship to Chicago Mercantile Exchange Inc. (Licensee) 

is in the licensing of certain trademarks, service marks, and trade names of the Corporations and the use of the Nasdaq 

100 Index, which is determined, composed and calculated by Nasdaq without regard to Licensee or the Products. 

Nasdaq has no obligation to take the needs of the Licensee or the holder of any position in the Products into 

consideration in determining, composing or calculating the Nasdaq 100 Index. The Corporations are not responsible 

for and have not participated in the determination or calculation of the equation by which the Products are to be 

converted into cash, in the case of Nasdaq 100 Futures, or futures contracts, in the case of Options on Nasdaq 100 

Futures. The Corporations have no liability in connection with the administration, marketing or trading of the Products. 

THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED CALCULATION OF 

THE NASDAQ 100 INDEX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO WARRANTY, 

EXPRESS OR IMPLIED, AS TO THE RESULTS TO BE OBTAINED BY ANY PERSON OR ENTITY FROM THE USE 

OF THE NASDAQ 100 INDEX, ANY OPENING, INTRA-DAY, OR CLOSING VALUE THEREOF, OR ANY DATA 

INCLUDED THEREIN, OR RELATING THERETO, IN CONNECTION WITH THE TRADING OF E–MINI NASDAQ 100 

FUTURES OR OPTIONS ON E–MINI NASDAQ 100 FUTURES OR FOR ANY OTHER PURPOSE. THE 

CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL 

WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT 

TO THE NASDAQ 100 INDEX, ANY OPENING, INTRA-DAY, OR CLOSING VALUE THEREOF, OR ANY DATA 

INCLUDED THEREIN OR RELATED THERETO, OR ANY E–MINI NASDAQ 100 FUTURES CONTRACT OR OPTION 

ON A E–MINI NASDAQ 100 FUTURES CONTRACT. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT 

SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR 

CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH 

DAMAGES.

Chapter 397

Russell 1000 Total Return Index Futures 

39700. SCOPE OF CHAPTER

This chapter is limited in application to Russell 1000 Total Return Index futures (“futures”). In addition to 

this chapter, futures shall be subject to the general rules and regulations of the Exchange as applicable.

Unless otherwise specified, times referenced herein shall refer to and indicate Chicago time.

39700.A. Market Decline

For the purposes of this chapter a Market Decline shall be as defined in New York Stock Exchange Rule 

80B for Trading Halts Due to Extraordinary Volatility or in Nasdaq Stock Market Rule 4121 for Trading 

Halts Due to Extraordinary Volatility.

39700.B. Primary Listing Exchange
6

For the purposes of this chapter a Primary Listing Exchange shall be as defined in the “Plan to Address 

Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to Rule 

608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012 by the U.S. 

Securities and Exchange Commission (“SEC”), as amended from time to time (SEC, SRO Rulemaking, 

National Market System Plans, File 4-631).

39700.C. Regulatory Halt

For the purposes of this chapter a Regulatory Halt shall be as defined in the “Plan to Address 

Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to Rule 

608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012 by the SEC, 

as amended from time to time (SEC, SRO Rulemaking, National Market System Plans, File 4-631) and 

as implemented under New York Stock Exchange Rule 80B for Trading Halts Due to Extraordinary 

Volatility or under Nasdaq Stock Market Rule 4121 for Trading Halts Due to Extraordinary Volatility.

39701. CONTRACT SPECIFICATIONS

Each futures contract shall be valued at $10.00 times the Russell 1000 Total Return Index (“Index”).

39702. TRADING SPECIFICATIONS

39702.A. Trading Schedule

Futures contracts shall be scheduled for trading during such hours and for delivery in such months as 

may be determined by the Exchange, provided that there shall be no trading in futures contracts when 

trading is halted in the Primary Futures Contract Month for E-mini Russell 1000 Stock Price Index futures 

pursuant to Rule 38302.I. 

39702.B. Trading Unit

The unit of trading shall be $10.00 times the Index.

39702.C. Price Increments

Subject to the Interpretations & Special Notices Relating to Chapter 397, bids and offers shall be quoted 

in Index points, and the minimum price increment shall be 0.10 Index points, equal to $1.00 per contract.

39702.D. Position Limits, Exemptions, Position Accountability and Reportable Levels

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 file 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.

39702.E. [Reserved]

39702.F. [Reserved]

39702.G. Termination of Trading

Subject to the Interpretations & Special Notices Relating to Chapter 397, there shall be no trading of 

expiring futures contracts after the open of the Primary Listing Exchange on the day of Final Settlement 

Price determination for such contracts (Rule 39703.A.)

39702.H. [Reserved]

39702.I. [Reserved] 

39703. SETTLEMENT PROCEDURES

Delivery shall be by cash settlement.

39703.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 
7

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.

39703.B. Final Settlement

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

39702.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 39703.A.).

39704. [RESERVED] 

39705. [RESERVED]

39706. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

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

39706.A. BTIC 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 scheduled close of the 

Primary Listing Exchange, 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 scheduled close of the Primary 

Listing Exchange, the corresponding futures price shall be made by reference to the Index closing value 

for the next Trading Day.

39706.B. BTIC Price Assignment Procedures 

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

39706.C. BTIC Minimum Price Increments

The minimum price increment shall be 0.10 Index points, equal to $1.00 per contract, for any basis 

adjustment that is applied to an Index closing price to establish a BTIC transaction price. 

39706.D. Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 397)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 397

1. Trading Specifications

Until such time as the Exchange shall enable outright trading in futures contracts made under these Rules, 

trading shall be permitted only where such futures contracts are traded through Basis Trade at Index 

Close transactions, pursuant to Rules 524.B. (Basis Trade at Index Close (“BTIC”) Transactions) and 

Rules 39706. of this Chapter, provided that in any instance where such futures contracts are traded as 

the futures component of an EFRP transaction pursuant to Rule 538. (Exchange for Related Positions), 

the price of such futures contracts may be made either in Index terms outright, pursuant to Rules 39702. 

of this Chapter, or in BTIC terms, pursuant to Rules 524.B. and Rules 39706. of this Chapter.

Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing 

Exchange on the Exchange business day first preceding the day of Final Settlement Price determination 

for such futures contract.

DISCLAIMER
8

Neither Frank Russell Company’s publication of the Russell Indexes nor its licensing of its trademarks for use in 

connection with securities or other financial products derived from a Russell Index in any way suggests or implies a 

representation or opinion by Frank Russell Company as to the attractiveness of investment in any securities or other 

financial products based upon or derived from any Russell Index. Frank Russell Company is not the issuer of any such 

securities or other financial products and makes no express or implied warranties of merchantability or fitness for any 

particular purpose with respect to any Russell Index or any data included or reflected therein, nor as to results to be 

obtained by any person or any entity from the use of the Russell Index or any data included or reflected therein.

Chapter 398

Russell 2000 Total Return Index Futures 

39800. SCOPE OF CHAPTER

This chapter is limited in application to Russell 2000 Total Return Index futures (“futures”). In addition to 

this chapter, futures shall be subject to the general rules and regulations of the Exchange as applicable.

Unless otherwise specified, times referenced herein shall refer to and indicate Chicago time.

39800.A. Market Decline

For the purposes of this chapter a Market Decline shall be as defined in New York Stock Exchange Rule 

80B for Trading Halts Due to Extraordinary Volatility or in Nasdaq Stock Market Rule 4121 for Trading 

Halts Due to Extraordinary Volatility.

39800.B. Primary Listing Exchange

For the purposes of this chapter a Primary Listing Exchange shall be as defined in the “Plan to Address 

Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to Rule 

608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012 by the U.S. 

Securities and Exchange Commission (“SEC”), as amended from time to time (SEC, SRO Rulemaking, 

National Market System Plans, File 4-631).

39800.C. Regulatory Halt

For the purposes of this chapter a Regulatory Halt shall be as defined in the “Plan to Address 

Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to Rule 

608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012 by the SEC, 

as amended from time to time (SEC, SRO Rulemaking, National Market System Plans, File 4-631) and 

as implemented under New York Stock Exchange Rule 80B for Trading Halts Due to Extraordinary 

Volatility or under Nasdaq Stock Market Rule 4121 for Trading Halts Due to Extraordinary Volatility.

39801. CONTRACT SPECIFICATIONS

Each futures contract shall be valued at $10.00 times the Russell 2000 Total Return Index (“Index”).

39802. TRADING SPECIFICATIONS

39802.A. Trading Schedule

Futures contracts shall be scheduled for trading during such hours and for delivery in such months as 

may be determined by the Exchange, provided that there shall be no trading in futures contracts when 

trading is halted in the Primary Futures Contract Month for E-mini Russell 2000 Stock Price Index futures 

pursuant to Rule 39302.I. 

39802.B. Trading Unit

The unit of trading shall be $10.00 times the Index.

39802.C. Price Increments

Subject to the Interpretations & Special Notices Relating to Chapter 398, bids and offers shall be quoted 

in Index points, and the minimum price increment shall be 0.10 Index points, equal to $1.00 per contract.

39802.D. Position Limits, Exemptions, Position Accountability and Reportable Levels

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 file 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.
9

39802.E. [Reserved]

39802.F. [Reserved]

39802.G. Termination of Trading

Subject to the Interpretations & Special Notices Relating to Chapter 398, there shall be no trading of 

expiring futures contracts after the open of the Primary Listing Exchange on the day of Final Settlement 

Price determination for such contracts (Rule 39803.A.)

39802.H. [Reserved]

39802.I. [Reserved] 

39803. SETTLEMENT PROCEDURES

Delivery shall be by cash settlement.

39803.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.

39803.B. Final Settlement

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

39802.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 39803.A.).

39804. [RESERVED] 

39805. [RESERVED]

39806. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

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

39806.A. BTIC 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 scheduled close of the 

Primary Listing Exchange, 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 scheduled close of the Primary 

Listing Exchange, the corresponding futures price shall be made by reference to the Index closing value 

for the next Trading Day.

39806.B. BTIC Price Assignment Procedures 

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

39806.C. BTIC Minimum Price Increments

The minimum price increment shall be 0.10 Index points, equal to $1.00 per contract, for any basis 

adjustment that is applied to an Index closing price to establish a BTIC transaction price. 

39806.D. Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 
10

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 398)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 398

1. Trading Specifications

Until such time as the Exchange shall enable outright trading in futures contracts made under these Rules, trading shall 

be permitted only where such futures contracts are traded through Basis Trade at Index Close transactions, pursuant 

to Rules 524.B. (Basis Trade at Index Close (“BTIC”) Transactions) and Rules 39806. of this Chapter, provided that in 

any instance where such futures contracts are traded as the futures component of an EFRP transaction pursuant to 

Rule 538. (Exchange for Related Positions), the price of such futures contracts may be made either in Index terms 

outright, pursuant to Rules 39802. of this Chapter, or in BTIC terms, pursuant to Rules 524.B. and Rules 39806. of this 

Chapter.

Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing Exchange on the 

Exchange business day first preceding the day of Final Settlement Price determination for such futures contract.

DISCLAIMER

Neither Frank Russell Company’s publication of the Russell Indexes nor its licensing of its trademarks for use in 

connection with securities or other financial products derived from a Russell Index in any way suggests or implies a 

representation or opinion by Frank Russell Company as to the attractiveness of investment in any securities or other 

financial products based upon or derived from any Russell Index. Frank Russell Company is not the issuer of any such 

securities or other financial products and makes no express or implied warranties of merchantability or fitness for any 

particular purpose with respect to any Russell Index or any data included or reflected therein, nor as to results to be 

obtained by any person or any entity from the use of the Russell Index or any data included or reflected therein.

CBOT Rulebook

(deletions struck through)

Chapter 31

Dow Jones Industrial AverageSM Total Return Index Futures

31100. SCOPE OF CHAPTER

This chapter is limited in application to Dow Jones Industrial Averagesm Total Return Index Futures 

(“futures”). In addition to this chapter, futures shall be subject to the general rules and regulations of the 

Exchange as applicable.

Unless otherwise specified, times referenced herein shall refer to and indicate Chicago time.

31100.A. Market Decline

For the purposes of this chapter a Market Decline shall be as defined in New York Stock Exchange Rule 

80B for Trading Halts Due to Extraordinary Volatility or in Nasdaq Stock Market Rule 4121 for Trading 

Halts Due to Extraordinary Volatility.

31100.B. Primary Listing Exchange

For the purposes of this chapter a Primary Listing Exchange shall be as defined in the “Plan to Address 

Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to Rule 

608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012 by the U.S. 

Securities and Exchange Commission (“SEC”), as amended from time to time (SEC, SRO Rulemaking, 

National Market System Plans, File 4-631).

31100.C. Regulatory Halt

For the purposes of this chapter a Regulatory Halt shall be as defined in the “Plan to Address 

Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to Rule 

608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012 by the SEC, 
11

as amended from time to time (SEC, SRO Rulemaking, National Market System Plans, File 4-631) and 

as implemented under New York Stock Exchange Rule 80B for Trading Halts Due to Extraordinary 

Volatility or under Nasdaq Stock Market Rule 4121 for Trading Halts Due to Extraordinary Volatility.

31101. CONTRACT SPECIFICATIONS

Each futures contract shall be valued at $2.00 times the Dow Jones Industrial AverageSM Total Return 

Index (“Index”).

31102. TRADING SPECIFICATIONS

31102.A. Trading Schedule

Futures contracts shall be scheduled for trading during such hours and for delivery in such months as 

may be determined by the Exchange, provided that there shall be no trading in futures contracts when 

trading is halted in the Primary Futures Contract Month for E-mini Dow Jones Industrial Average Index 

Futures pursuant to Rule 27102.I. 

31102.B. Trading Unit

The unit of trading shall be $2.00 times the Index.

31102.C. Price Increments

Subject to the Interpretations & Special Notices Relating to Chapter 31, bids and offers shall be quoted 

in Index points, and the minimum price increment shall be 0.50 Index points, equal to $1.00 per contract.

31102.D. Position Limits, Exemptions, Position Accountability and Reportable Levels

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 file 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.

31102.E. [Reserved]

31102.F. [Reserved]

31102.G. Termination of Trading

Subject to the Interpretations & Special Notices Relating to Chapter 31, there shall be no trading of 

expiring futures contracts after the open of the Primary Listing Exchange on the day of Final Settlement 

Price determination for such contracts (Rule 31103.A.)

31102.H. [Reserved]

31102.I. [Reserved] 

31103. SETTLEMENT PROCEDURES

Delivery shall be by cash settlement.

31103.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.

31103.B. Final Settlement
12

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

31102.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 31103.A.).

31104. [RESERVED] 

31105. [RESERVED]

31106. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

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

31106.A. BTIC 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 scheduled close of the Primary Listing 

Exchange, 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 scheduled 

close of the Primary Listing Exchange, the corresponding futures price shall be made by reference to the 

Index closing value for the next Trading Day.

31106.B. BTIC Price Assignment Procedures

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

31106.C. BTIC Minimum Price Increments 

The minimum price increment shall be 0.50 Index points, equal to $1.00 per contract, for any basis 

adjustment that is applied to an Index closing price to establish a BTIC transaction price. 

31106.D. Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 31)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 31

1. Trading Specifications

Until such time as the Exchange shall enable outright trading in futures contracts made under these Rules, trading shall 

be permitted only where such futures contracts are traded through Basis Trade at Index Close transactions, pursuant 

to Rules 524.B. (Basis Trade at Index Close (“BTIC”) Transactions) and Rules 31106. of this Chapter, provided that in 

any instance where such futures contracts are traded as the futures component of an EFRP transaction, pursuant to 

Rule 538. (Exchange for Related Positions), the price of such futures contracts may be made either in Index terms 

outright, pursuant to Rules 31102. of this Chapter, or in BTIC terms, pursuant to Rules 524.B. and Rules 31106. of this 

Chapter.

Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing Exchange on the 

Exchange business day first preceding the day of Final Settlement Price determination for such futures contract.

DISCLAIMER

E-mini Dow futures and futures options contracts are not sponsored, endorsed, sold or promoted by Dow Jones. Dow 

Jones makes no representation or warranty, express or implied, to the owners of E-mini Dow futures and futures options 

contracts or any member of the public regarding the advisability of trading in E-mini Dow futures and futures options 

contracts. Dow Jones' only relationship to the Exchange is the licensing of certain trademarks and trade names of Dow 

Jones and of the DJIA which is determined, composed and calculated by Dow Jones without regard to the Chicago 

Board of Trade or E-mini futures and futures options contracts. Dow Jones has no obligation to take the needs of the 

Chicago Board of Trade or the owners of mini-sized Dow futures and futures options contracts into consideration in 

determining, composing or calculating the DJIA. Dow Jones is not responsible for and has not participated in the 

determination of the timing of, prices of, or quantities of E-mini Dow futures and futures options contracts to be listed 

or in the determination or calculation of the equation by which E-mini Dow futures and futures options contracts are to 

be converted into cash. Dow Jones has no obligation or liability in connection with the administration, marketing or 

trading of the E-mini Dow futures and futures options contracts. 
13

DOW JONES DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE DJIA OR ANY 

DATA INCLUDED THEREIN AND DOW JONES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR 

INTERRUPTIONS THEREIN. DOW JONES MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO 

BE OBTAINED BY THE CHICAGO BOARD OF TRADE, OWNERS OF MINI-SIZED DOW FUTURES AND FUTURES 

OPTIONS CONTRACTS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE DJIA OR ANY DATA 

INCLUDED THEREIN. DOW JONES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY 

DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE 

WITH RESPECT TO THE DJIA OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE 

FOREGOING, IN NO EVENT SHALL DOW JONES HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, 

PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE 

POSSIBILITY OF SUCH DAMAGES. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR 

ARRANGEMENTS BETWEEN DOW JONES AND THE CHICAGO BOARD OF TRADE.
14

Exhibit B

CME Rulebook and CBOT Rulebooks

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability and Reportable Level Table 

(deletions struck through)

(attached under separate cover)