Amendments to Settlement Price Rules of Euro/British Pound Sterling (EUR/GBP), Euro/Swiss Franc (EUR/CHF), and British Pound Sterling/Swiss Franc (GBP/CHF) Cross Rate Futures Contracts

Effective Sunday, April 13, 2014 for trade date Monday, April 14, 2014, and pending all CFTC regulatory review periods, the Chicago Mercantile Exchange Inc. (CME or Exchange) will amend the Settlement Price Rules of the Euro/British Pound Sterling (EUR/GBP) Cross Rate Futures (Rulebook chapter:  301; Code:  RP), the Euro/Swiss Franc (EUR/CHF) Cross Rate Futures (Rulebook chapter:  304; Code:  RF), and the British Pound Sterling/Swiss Franc (GBP/CHF) Cross Rate Futures (Rulebook chapter:  306; Code:  BF) contracts to amend the final settlement procedure beginning with the June 2014 contract expiration.  These contracts are listed for trading on the CME trading floor, CME Globex, and for submission for clearing through CME ClearPort.

Specifically, CME is amending Rules 30102.A., 30402.A., and 30602.A. that pertain to the final settlement prices for the physical delivery of the corresponding underlying currencies for EUR/GBP, EUR/CHF, and GBP/CHF futures, respectively.  In the case of EUR/GBP futures, physical delivery shall occur at a final settlement price rounded to the nearest .000001 British pounds sterling per Euro, commonly referred to as one-fifth of one tick, which is equivalent to 0.125 British pounds sterling per contract.  In the case of EUR/CHF futures, physical delivery shall occur at a final settlement price rounded to the nearest .00001 Swiss francs per Euro, commonly referred to as one-tenth of one tick, which is equivalent to 1.25 Swiss francs per contract.  Lastly, in the case of GBP/CHF futures, physical delivery shall occur at a final settlement price rounded to the nearest .00001 Swiss francs per British pound sterling, commonly referred to as one-tenth of one tick, which is equivalent to 1.25 Swiss francs per contract.

CME is implementing these amendments to the settlement price procedure rules of EUR/GBP, EUR/CHF, and GBP/CHF futures to provide more granularity to the final settlement prices at which physical delivery in the corresponding underlying currencies takes place on the delivery day of these futures.

Attachment 1 provides the amendments to CME Chapters 301, 304, and 306 in blackline format.

Please direct questions regarding this notice to:

Asia

Malcolm Baker                          +65 6593 5573                           Malcolm.Baker@cmegroup.com

Europe

Will Patrick                                +44 20 3379 3721                      Will.Patrick@cmegroup.com

Nigel Manthorp                          +44 20 3379 3863                      Nigel.Manthorp@cmegroup.com

U.S.

Craig LeVeille                            +1 312 454 5301                        Craig.LeVeille@cmegroup.com

Simon Burnham                         +1 312 930 3426                        Simon.Burnham@cmegroup.com

Kevin McMillin                           +1 312 930 8264                        Kevin.McMillin@cmegroup.com

Attachment 1

(Additions are underlined; deletions are struck through.)

Chapter 301:       Euro/British Pound Sterling (EUR/GBP) Cross Rate Futures

30102.                   SETTLEMENT PROCEDURES

30102.A.                Physical Delivery

1.     Procedures

In addition to the procedures and requirements contained in this chapter, physical delivery procedures shall be governed by the rules set forth in Chapter 7.

Euro/British pound sterling cross rate futures traded pursuant to Chapter 301 shall be delivered in banks designated by the Exchange at a final settlement price rounded to the nearest .000001 British pounds sterling per Euro, commonly referred to as one-fifth of one tick, which is equivalent to 0.125 British pounds sterling per contract.  Buyers of the Euro/British pound sterling cross rate futures contract shall deliver the minimum-fluctuation currency (British pound sterling) and receive the trading-unit currency (Euro).  Sellers of the Euro/British pound sterling cross rate futures contract shall deliver the trading-unit currency (Euro) and receive the minimum-fluctuation currency (British pound sterling).

Chapter 304:       Euro/Swiss Franc (EUR/CHF) Cross Rate Futures

30402.                   SETTLEMENT PROCEDURES

30402.A.                Physical Delivery

1.     Procedures

In addition to the procedures and requirements contained in this chapter, physical delivery procedures shall be governed by the rules set forth in Chapter 7.

Euro/Swiss franc cross rate futures traded pursuant to Chapter 304 shall be delivered in banks designated by the Exchange at a final settlement price rounded to the nearest .00001 Swiss francs per Euro, commonly referred to as one-tenth of one tick, which is equivalent to 1.25 Swiss francs per contract.  Buyers of the Euro/Swiss franc cross rate futures contract shall deliver the minimum-fluctuation currency (Swiss franc) and receive the trading-unit currency (Euro).  Sellers of the Euro/Swiss franc cross rate futures contract shall deliver the trading-unit currency (Euro) and receive the minimum-fluctuation currency (Swiss franc).

Chapter 306:       British Pound Sterling/Swiss Franc (GBP/CHF) Cross Rate Futures

30602.                   SETTLEMENT PROCEDURES

30602.A.                Physical Delivery

1.     Procedures

In addition to the procedures and requirements contained in this chapter, physical delivery procedures shall be governed by the rules set forth in Chapter 7.

                                British pound sterling/Swiss franc cross rate futures traded pursuant to Chapter 306 shall be delivered in the countries of issuance from banks designated by the Exchange at a final settlement price rounded to the nearest .00001 Swiss francs per British pound sterling, commonly referred to as one-tenth of one tick, which is equivalent to 1.25 Swiss francs per contract.  Buyers of the British pound sterling/Swiss franc cross rate futures contract shall deliver the minimum-fluctuation currency (Swiss franc) and receive the trading-unit currency (British pound).  Sellers of the British pound sterling/Swiss franc cross rate futures contract shall deliver the trading-unit currency (British pound) and receive the minimum-fluctuation currency (Swiss franc).