Effective on Sunday, August 3, 2014 for trade date Monday, August 4, 2014, and pending all relevant CFTC regulatory review periods, the Chicago Mercantile Exchange Inc. (CME) and The Board of Trade of the City of Chicago, Inc. (CBOT) (collectively, the “Exchanges”) will amend to Price Assignment Procedure for Basis Trade At Index Close (BTIC) futures for the CME and CBOT equity index futures contracts.

The rule amendments clarify the existing practice of cancelation of a BTIC-eligible futures block trade order that would result in a futures price that would be less than the respective Equity Index futures daily maximum 20% Price Limit.

The amendments pertain to CME and CBOT Equity Index futures product chapters as listed below:

CME

•          S&P 500/Growth Index futures (Rulebook Chapter 355)

•          S&P 500/Value Index futures (Rulebook Chapter 356)

•          E-mini NASDAQ Biotechnology Index futures (Rulebook Chapter 360)

•          E-mini Standard and Poor’s MidCap 400 Stock Price Index futures (Rulebook Chapter 362)

•          E-mini S&P Smallcap 600 Index futures (Rulebook Chapter 368)

•          E-mini Standard and Poor’s Select Sector Stock Index futures (Rulebook Chapter 369)

•          S&P MLP Index (Rulebook Chapter 375)

CBOT

•          CBOT Dow Jones US Real Estate Index futures (Rulebook Chapter 30)

Please contact Mr. John Nyhoff, R&PD at 312-930-2310; or Ms. Lucy Wang, R&PD at (312)648-5478 if you have any inquiries regarding this matter.

                                Additions are underlined

Chapter 355

S&P 500/ Growth Index Futures

35506.B.       Price Assignment Procedure for BTIC Futures

                        The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time. In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

If a BTIC-eligible S&P 500/Growth Index futures block trade order would result in a futures price that would be less than the respective S&P 500/Growth Index futures 20% Price Limit, the block trade order shall be cancelled.

Chapter 356

S&P 500/ Value Index Futures

35606.B.       Price Assignment Procedure for BTIC Futures

                        The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time. In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

If a BTIC-eligible S&P 500/Value Index futures block trade order would result in a futures price that would be less than the respective S&P 500/Value Index futures 20% Price Limit, the block trade order shall be cancelled.

Chapter 360

E-mini™ NASDAQ® Biotechnology Index Futures

36006.B.       Price Assignment Procedure for BTIC Futures

                        The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time. In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

If a BTIC-eligible E-mini Nasdaq biotechnology Index futures block trade order would result in a futures price that would be less than the respective E-mini Nasdaq Biotechnology Index futures 20% Price Limit, the that block trade order shall be cancelled.

Chapter 362

E-mini Standard and Poor's Midcap 400®

Stock Price Index Futures

36206.     BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

                        A Basis Trade at Index Close (“BTIC”) Transaction is a futures transaction on an E-Mini Standard and Poor's MidCap 400 Stock Price Index futures contract that is priced with reference to the Standard and Poor's MidCap 400 Stock Price Index close price for the specific index.

                        The futures price assigned to a BTIC Transaction shall be based on the current day’s Standard and Poor's MidCap 400 Stock Price Index close price, or the current day’s Standard and Poor's MidCap 400 Stock Price Index close price adjusted by any valid price increment (“the basis”) higher or lower than the applicable Standard and Poor's MidCap 400 Stock Price Index close price. The Basis must be fair and reasonable, taking into account financing rates, expected dividend income, time remaining until the Equity Index futures contract expiration and any of the factors set forth in Rules 526.D., as applicable.

                        36206.A.        BTIC Block Trade Requirements

                        BTIC Transactions in E-mini Standard and Poor's MidCap 400 Stock Price Index futures may be executed as block trades pursuant to the requirements to Rule 526. Both the block trade quantity and the valid price increment (the “Basis”) for BTIC block trades must be reported within five minutes of the agreement of the parties to execute the trade in accordance with Rule 526.F.

                        In addition to complying with the reporting requirements set forth above, BTIC block trades for BTIC-eligible Equity Index futures must be reported to the Exchange at least 10 minutes prior to the scheduled close of the underlying primary securities market to establish the BTIC futures price on the current Trading Day. The BTIC futures price for BTIC-eligible Equity Index futures orders that are not reported to the Exchange at least 10 minutes prior to the scheduled close of the underlying primary securities market shall be based on the index close price for the next available Trading Day for the primary securities market.

                        36206.B.       Price Assignment Procedure for BTIC Futures

                        The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time. In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

If a BTIC-eligible E-mini Standard and Poor's MidCap 400 Stock Price Index futures block trade order would result in a futures price that would be less than the respective E-mini Standard and Poor's MidCap 400 Stock Price Index 20% Price Limit, the that block trade order shall be cancelled.

Chapter 368

E-mini S&P Smallcap 600 Index™ Futures

36806.B.       Price Assignment Procedure for BTIC Futures

                        The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time. In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

If a BTIC-eligible E-mini Standard and Poor's SmallCap 600 Stock Price Index futures block trade order would result in a futures price that would be less than the respective E-mini Standard and Poor's SmallCap 600 Stock Price Index 20% Price Limit, the that block trade order shall be cancelled.

Chapter 369

E-mini Standard and Poor’s Select Sector™ Stock Index Futures

39606.B.       Price Assignment Procedure for BTIC Futures

The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time.  In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

(Refer to Rule 36902.I. – Price Limits and Trading Halts) If a BTIC-eligible E-mini S&P Select Sector Stock Index futures block trade order would result in a futures price less than the respective E-mini S&P Select Sector Stock Index futures 20% Price Limit, then that block trade order shall be cancelled.

Chapter 375

S&P MLP Index®

37506.B.       Price Assignment Procedure for BTIC Futures

                        The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time. In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

If a BTIC-eligible S&P MLP Index futures block trade order would result in a futures price that would be less than the respective S&P MLP Index 20% Price Limit, the that block trade order shall be cancelled.

Chapter 30

CBOT^® Dow Jones US Real Estate Index Futures

30107.B.        Price Assignment Procedure for BTIC Futures

The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time.  In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

If a BTIC-eligible CBOT® Dow Jones US Real Estate Index futures block trade order would result in a futures price that would be less than the respective CBOT® Dow Jones US Real Estate Index futures 20% Price Limit, the that block trade order shall be cancelled.

Clean Copy

Chapter 355

S&P 500/ Growth Index Futures

35506.B.       Price Assignment Procedure for BTIC Futures

                        The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time. In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

If a BTIC-eligible S&P 500/Growth Index futures block trade order would result in a futures price that would be less than the respective S&P 500/Growth Index futures 20% Price Limit, the block trade order shall be cancelled.

Chapter 356

S&P 500/ Value Index Futures

35606.B.       Price Assignment Procedure for BTIC Futures

                        The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time. In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

If a BTIC-eligible S&P 500/Value Index futures block trade order would result in a futures price that would be less than the respective S&P 500/Value Index futures 20% Price Limit, the block trade order shall be cancelled.

Chapter 360

E-mini™ NASDAQ® Biotechnology Index Futures

36006.B.       Price Assignment Procedure for BTIC Futures

                        The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time. In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

If a BTIC-eligible E-mini Nasdaq biotechnology Index futures block trade order would result in a futures price that would be less than the respective E-mini Nasdaq Biotechnology Index futures 20% Price Limit, the that block trade order shall be cancelled.

Chapter 362

E-mini Standard and Poor's Midcap 400®

Stock Price Index Futures

36206.     BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

                        A Basis Trade at Index Close (“BTIC”) Transaction is a futures transaction on an E-Mini Standard and Poor's MidCap 400 Stock Price Index futures contract that is priced with reference to the Standard and Poor's MidCap 400 Stock Price Index close price for the specific index.

                        The futures price assigned to a BTIC Transaction shall be based on the current day’s Standard and Poor's MidCap 400 Stock Price Index close price, or the current day’s Standard and Poor's MidCap 400 Stock Price Index close price adjusted by any valid price increment (“the basis”) higher or lower than the applicable Standard and Poor's MidCap 400 Stock Price Index close price. The Basis must be fair and reasonable, taking into account financing rates, expected dividend income, time remaining until the Equity Index futures contract expiration and any of the factors set forth in Rules 526.D., as applicable.

                        36206.A.        BTIC Block Trade Requirements

                        BTIC Transactions in E-mini Standard and Poor's MidCap 400 Stock Price Index futures may be executed as block trades pursuant to the requirements to Rule 526. Both the block trade quantity and the valid price increment (the “Basis”) for BTIC block trades must be reported within five minutes of the agreement of the parties to execute the trade in accordance with Rule 526.F.

                        In addition to complying with the reporting requirements set forth above, BTIC block trades for BTIC-eligible Equity Index futures must be reported to the Exchange at least 10 minutes prior to the scheduled close of the underlying primary securities market to establish the BTIC futures price on the current Trading Day. The BTIC futures price for BTIC-eligible Equity Index futures orders that are not reported to the Exchange at least 10 minutes prior to the scheduled close of the underlying primary securities market shall be based on the index close price for the next available Trading Day for the primary securities market.

                        36206.B.       Price Assignment Procedure for BTIC Futures

                        The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time. In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

If a BTIC-eligible E-mini Standard and Poor's MidCap 400 Stock Price Index futures block trade order would result in a futures price that would be less than the respective E-mini Standard and Poor's MidCap 400 Stock Price Index 20% Price Limit, the that block trade order shall be cancelled.

Chapter 368

E-mini S&P Smallcap 600 Index™ Futures

36806.B.       Price Assignment Procedure for BTIC Futures

                        The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time. In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

If a BTIC-eligible E-mini Standard and Poor's SmallCap 600 Stock Price Index futures block trade order would result in a futures price that would be less than the respective E-mini Standard and Poor's SmallCap 600 Stock Price Index 20% Price Limit, the that block trade order shall be cancelled.

Chapter 369

E-mini Standard and Poor’s Select Sector™ Stock Index Futures

39606.B.       Price Assignment Procedure for BTIC Futures

The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time.  In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

(Refer to Rule 36902.I. – Price Limits and Trading Halts) If a BTIC-eligible E-mini S&P Select Sector Stock Index futures block trade order would result in a futures price less than the respective E-mini S&P Select Sector Stock Index futures 20% Price Limit, then that block trade order shall be cancelled.

Chapter 375

S&P MLP Index®

37506.B.       Price Assignment Procedure for BTIC Futures

                        The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time. In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

If a BTIC-eligible S&P MLP Index futures block trade order would result in a futures price that would be less than the respective S&P MLP Index 20% Price Limit, the that block trade order shall be cancelled.

Chapter 30

CBOT^® Dow Jones US Real Estate Index Futures

30107.B.       Price Assignment Procedure for BTIC Futures

The futures price of a BTIC Transaction will be determined by the Exchange at 3:45 p.m. Central time and the Exchange determined price will be deemed final at that time.  In the event of an early scheduled close of the primary securities market, the futures price of a BTIC Transaction will be determined by the Exchange 45 minutes after the early scheduled close time for the primary securities market and the Exchange determined price will be deemed final at that time.

If a BTIC-eligible CBOT® Dow Jones US Real Estate Index futures block trade order would result in a futures price that would be less than the respective CBOT® Dow Jones US Real Estate Index futures 20% Price Limit, the that block trade order shall be cancelled.