Brazilian Real Currency Futures

All Brazilian real futures contracts remaining open after the close of trading on the termination of trading day shall be liquidated by cash settlement at a price equal to the Final Settlement Price. The CME Brazilian real currency futures contract Final Settlement Price shall be equal to the reciprocal of the Commercial exchange rate for Brazilian Reais per U.S. Dollar for cash delivery, according to the provisions of Resolution no. 1690/'90 of the National Monetary Council, defined as the average offered rate calculated by the Central Bank of Brazil on the last business day of the month for the Central Bank of Brazil immediately preceding the contract month, according to its criteria, broadcast by SISBACEN, transaction PTAX800, option 5-L (closing quotation), to 5 decimal places (“Central Bank of Brazil BRL PTAX” rate), and verified on the last business day of the month for the Central Bank of Brazil. This rate is the same Brazilian real per U.S. Dollar spot exchange rate calculated by the Central Bank of Brazil and used by the Bolsa de Mercadorias & Futuros (BM&F) to cash settle its U.S. Dollar futures contract. All open positions shall be cash settled to the reciprocal of this rate on the business day following the last business day of the month for the Central Bank of Brazil.

1. Procedures if No Central Bank of Brazil BRL PTAX Rate is Available

In the event that there is a price source disruption and the Central Bank of Brazil BRL PTAX rate is not calculated by the Central Bank of Brazil and/or broadcasted by SISBACEN on the Brazilian real futures contract termination of trading day, and in order to minimize basis risk between the Brazilian real futures contracts and the non-deliverable forward (“NDF”) market, the Exchange may determine a Final Settlement Price based upon the reciprocal rounded to 5 decimal places of either the EMTA BRL Industry Survey Rate or EMTA BRL Indicative Survey Rate, as the case may be, when available. The EMTA BRL Industry Survey Rate Methodology and the EMTA BRL Indicative Survey Rate Methodology follow this chapter in an Interpretation. Upon consultation with EMTA, Inc., the Clearing House shall determine if the expiring Brazilian real futures contract shall be cash settled using either the EMTA BRL Industry Survey Rate or EMTA BRL Indicative Survey Rate, or deferred for cash settlement to a subsequent day.

2. Procedures if EMTA Determines a Price Materiality Percentage is Met on a Futures Contract Termination Day.

Also, if, on a Brazilian real futures contract termination of trading day, there is a price source disruption where EMTA determines that a price materiality percentage for the U.S. dollar / Brazilian real primary rate source Central Bank of Brazil BRL PTAX rate was met (e.g., 3% or more deviation of the day’s Central Bank of Brazil BRL PTAX rate from either the EMTA BRL Industry Survey Rate or EMTA BRL Indicative Survey Rate as determined for the same day), then final settlement of the expiring Brazilian real futures contract may be deferred or postponed for up to (but not more than) 30 consecutive calendar days. The procedure is intended to correspond to the deferral or postponement procedure followed by the NDF market pursuant to recognized market practices as published by EMTA, Inc. Upon consultation with EMTA, Inc., the Clearing House shall determine if the expiring Brazilian real futures contract shall be cash settled using either the EMTA BRL Industry Survey Rate or EMTA BRL Indicative Survey Rate, or deferred for cash settlement to a subsequent day.

3. Procedures if Central Bank of Brazil BRL PTAX Rate is Available after Commencement of a Deferral Period

Upon publication of the Central Bank of Brazil BRL PTAX rate after a deferral period commences, and provided no price materiality percentage was met for that day, CME shall determine the Final Settlement Price using the reciprocal of such Rate rounded to 5 decimal places and the Brazilian real futures contract shall be settled on such day. If, however, 30 consecutive calendar days pass without publication of the Central Bank of Brazil BRL PTAX Rate, CME shall otherwise determine the Final Settlement Price. See next section.

4. Procedures after 30-Day Deferral Period

After the lapse of 30 consecutive calendar days without publication of the Central Bank of Brazil BRL PTAX rate, and without prior final settlement to other backup procedures, the Final Settlement Price may be calculated and published by CME on the next business day using the reciprocal rounded to 5 decimal places of either the EMTA BRL Industry Survey Rate or EMTA BRL Indicative Survey Rate, as the case may be, when applicable and posted on the public portion of EMTA’s website for valuation of outstanding non-deliverable U.S. dollar / Brazilian real transactions. The procedures for the EMTA BRL Industry Survey Rate and EMTA BRL Indicative Survey Rate are defined in the Interpretation to this chapter.

However, in the event that the Exchange President determines that the Clearing House is unable to determine a Final Settlement Price pursuant to any of the preceding sections and the Interpretation to this chapter, then Rule 25703 shall apply to determine the Final Settlement Price.