Chapter 454
Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) Futures
45400.

SCOPE OF CHAPTER
This chapter is limited in application to Three-Month Bloomberg Short-Term Bank Yield Index(“BSBY”) futures (“futures” or “contract”). In addition to this chapter, futures shall be subject to thegeneral rules and regulations of the Exchange insofar as applicable.
Unless otherwise specified, times referenced herein shall indicate Chicago time.

45401.

CONTRACT SPECIFICATIONSEach contract is valued at $2,500 times the contract-grade IMM Index (Rule 45402.C.).

45402.

TRADING SPECIFICATIONS
45402.A.
Trading Schedule
Contracts shall be scheduled for trading during such hours and for delivery in such months as may
be determined by the Exchange.
45402.B.
Trading Unit
For a contract for a given delivery month, the unit of trading shall be interest based on the U.S.
dollar, three-month tenor, Bloomberg Short-Term Bank Yield Index, for spot settlement on the third
Wednesday of such delivery month, expressed as an interest rate per annum such that each basis
point per annum of interest shall be worth $25 per futures contract.
45402.C.
Price Increments
Contract prices shall be quoted in terms of the IMM Index (“Index”), 100.0000 minus the interest
rate per annum corresponding to the three-month unsecured U.S. dollar-denominated wholesalebank funding transaction specified in Rule 45402.B. (For example, an interest rate of 2.055 percent
per annum shall be quoted as an Index value of 97.9450.)
1. The Nearest Expiring Contract Month
The minimum price fluctuation shall be 0.0025 Index points, equal to $6.25 per contract.
2. All Contract Months Excluding the Nearest Expiring Contract Month
The minimum price fluctuation shall be 0.005 Index points, equal to $12.50 per contract.
45402.D.
Position Limits, Exemptions, Position Accountability and Reportable Levels
The applicable position limits and/or accountability levels, in addition to the reportable levels, areset forth in the Position Limit, Position Accountability and Reportable Level Table in theInterpretations & Special Notices Section of Chapter 5.
A Person seeking an exemption from position limits for bona fide commercial purposes shall applyto the Market Regulation Department on forms provided by the Exchange, and the MarketRegulation 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.
45402.E.
Special Price Fluctuation Limits
At the commencement of each trading day, the contract shall be subject to special price fluctuation
limits as set forth in Rule 589. and in the Special Price Fluctuation Limits and Daily Price Limits
Table in the Interpretations & Special Notices Section of Chapter 5.
45402.F.
[Reserved]
45402.G.
Termination of Trading
Trading in an expiring contract shall terminate at 8:00 a.m. New York time on the second New Yorkbusiness day immediately preceding the third Wednesday of the contract’s named month ofdelivery.
45402.H.
[Reserved]

45403.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.

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45403.A.
Final Settlement Price
The final settlement price of an expiring contract shall be 100.00000 minus the U.S. dollar, threemonth BSBY Index for the second New York business day immediately preceding the third
Wednesday of the contract’s named month of delivery. For the purposes of this rule, businessdays shall mean all weekdays excluding any dates identified by the Securities Industry andFinancial Markets Association in its U.S. Holiday Recommendations. Such rate shall be as
determined, and as first published, by Bloomberg Index Services Limited. The value of such rate,
so published, shall be to the nearest 0.00001 percentage points per annum.
Example: A rate of 2.14155 percent per annum would be subtracted from 100.00000 todetermine a contract final settlement price of 97.85845
45403.B.
Final SettlementClearing members holding open positions in a contract at the time of termination of trading in thatcontract shall make payment to or receive payment from the Clearing House in accordance withnormal variation performance bond procedures based on a settlement price equal to the final
settlement price.

45404.-35. [RESERVED]
45436.

REFERENCE RATE FALLBACK EVENT PROCEDURE
45436.A.

Cessation of Publication of Bloomberg Short-Term Bank Yield Index

With respect to the rate in Rule 45403.A, on November 15, 2023, Bloomberg Index Services
Limited announced that it would cease publication of the rate following final publication onFriday, November 15, 2024 (the “Final Publication Date”).
45436.B.

Conversion Procedure

Ahead of the scheduled final publication of the rate in Rule 45403.A on the Final Publication
Date, following close of business on Friday, October 11, 2024 (the “Conversion Date”), theExchange shall convert all open positions in the contract that expire after the Conversion Date(each, a “Conversion Position”) as follows:(i)each open position in the contract that is a Conversion Position shall be terminated at
the most recent daily settlement price for the contract on the Conversion Date; and(ii)such position shall be replaced with a corresponding open position in CME ThreeMonth SOFR Futures (Chapter 460) (a “Replacement Position”).

The Replacement Position shall be assigned to a position holder by the Exchange inaccordance with the following procedure:(i)the Replacement Position in CME Three-Month SOFR Futures shall be equal in
trading unit size and direction to the position in the contract and with the samedelivery month;(ii)

the price at which the Replacement Position is assigned to the position holder (the“Assignment Price”) shall be determined by the Exchange and shall be equal to:(A) the most recent daily settlement price for the contract on the Conversion
Date,plus(B) a value adjustment amount which shall be equal to 12.878 basis points,
rounded to four (4) decimal places;(iii)

to account for the rounding of the Assignment Price to four (4) decimal places, theExchange shall apply to each Replacement Position a cash adjustment amount whichshall be due from or payable to the position holder at the next end of day settlement
cycle following close of business on the Conversion Date according to the direction ofthe position and shall be equal to:[0.00002] x the contract quantity x $2,500 contract unit multiplier,as determined by the Exchange utilizing the methodology published by the Exchange.

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45436.C.

Clearing of the Replacement Position

Clearing of the Replacement Position shall be subject to the Rules for CME Three-Month
SOFR Futures (Chapter 460), including for the avoidance of doubt the determination of dailyand final settlement prices in respect of each Replacement Position.
45436.D.

Termination of Trading

Following close of business on the Conversion Date trading in the contracts shall be terminatedand such contracts shall no longer be available for trading on the Exchange with immediate effect.

INTERPRETATIONS AND SPECIAL NOTICESRELATING TO CHAPTER 454
Bloomberg Index Services Limited and its affiliates (collectively, "Bloomberg") are not affiliated with
Chicago Mercantile Exchange Inc. and do not approve, endorse, review, or recommend ThreeMonth Bloomberg Short-Term Bank Yield Index (BSBY) futures. BLOOMBERG and Bloomberg
Short Term Bank Yield Index are trademarks or service marks of Bloomberg Finance L.P. and havebeen licensed to Chicago Mercantile Exchange Inc. Bloomberg or its licensors own all proprietary
rights in the Bloomberg Short Term Bank Yield Index. Bloomberg does not guarantee thetimeliness, accurateness, or completeness of any data or information
relating to Bloomberg Short Term Bank Yield Index. Bloomberg makes no warranty, express orimplied, as to the Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) futures orBloomberg Short Term Bank Yield or any data or values relating thereto or results to be obtained
therefrom, and expressly disclaims all warranties of merchantability and fitness for a particularpurpose with respect thereto. To the maximum extent allowed by law, Bloomberg, its licensors, andits and their respective employees, contractors, agents, suppliers, and vendors shall have noliability or responsibility whatsoever for any injury or damages-whether direct,
indirect, consequential, incidental, punitive, or otherwise-arising in connection with Three-Month
Bloomberg Short-Term Bank Yield Index (BSBY) futures or the Bloomberg Short Term Bank YieldIndex or any data or values relating thereto-whether arising from their negligence or otherwise.

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