SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 24-088

Organization: Chicago Mercantile Exchange Inc. ("CME")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 01/24/24 Filing Description: Amendments to the Credit Risk 

Management Assessment Methodology and Counterparty Exposure Methodology

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: See filing. 

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:

Rule Numbers: 
20 S. Wacker Drive Chicago, IL 60606 T 312 930 8167 Sean.Downey@cmegroup.com cmegroup.com

Sean Downey

Managing Director — Clearing Chief Compliance Officer, 

Enterprise Risk Officer & Policy

CME Clearing

January 24, 2024

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. Amendments to the Credit Risk Management 

Assessment Methodology and Counterparty Exposure Methodology.

CME Submission No. 24-088

Dear Mr. Kirkpatrick:

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

Chicago Mercantile Exchange Inc. (“CME” or the “Clearing House”), a derivatives clearing organization 

(“DCO”), certifies to the Commission amendments to the Credit Risk Management Assessment 

Methodology (“CAM”) and Counterparty Exposure Methodology (“CEM”) (collectively, the “Methodologies”)

(collectively, the “Amendments”) effective on February 8, 2024. 

The Methodologies are maintained by the Clearing House. As described below, the Methodologies are 

each reviewed and approved on at least an annual basis. The majority of the Amendments were approved 

as part of the annual review process.

CAM

The CAM was approved, as part of the annual review process, by CME’s Clearing House Oversight 

Committee (“CHOC”) (i.e., committee established by the Board) on December 5, 2023. 

Amendments to the CAM covered in this year’s annual approval relate to the following area:

• Scorecards: The Clearing House maintains scorecards that are used to assess and rate different 

types of counterparties based on business profile and updates were made to these scorecards, 

primarily with respect to their quantitative categories to reflect the use of more recent data.1In the 

case of the bank scorecard, this resulted in adjustments to and replacement of certain measures 

in the categories relating to liquidity, capital, asset quality, and profitability. Additionally, the bank 

scorecard’s qualitative considerations were amended to further emphasize the importance of 

considering depositor concentration and unrealized losses on a bank’s securities portfolio. With 

respect to the qualitative considerations for the bank, asset manager, futures commission 

merchant/broker-dealer, and non-financial corporate scorecards, amendments were made to 

emphasize the importance of considering the location(s) where counterparties provide services 

relative to considering their operating environment.

CEM

The CEM was approved, as part of the annual review process, by the CHOC on December 5, 2023. 

Amendments to the CEM covered in this year’s annual approval relate to the following areas:

1

In line with the use of more recent data, where applicable, the backtesting results included in the CAM were also updated. 
20 S. Wacker Drive Chicago, IL 60606 T 312 930 8167 Sean.Downey@cmegroup.com cmegroup.com

• Counterparty Types: In order to improve clarity regarding current practices, the description of

practices for counterparty exposure types that the Clearing House never operationalized was 

removed from the CEM. 

• Tolerance Thresholds: While the Clearing House’s practice of assigning tolerance thresholds for 

monitoring the activity of Clearing Members has not changed, a description of these practices was 

included in the CEM to recognize the relationship between these practices and those described in 

the CEM.

• General Documentation: Terminology was amended to distinguish more clearly between the 

value resulting from the limit calculation (i.e., capacity) and the operational limit applied with the 

former generally being referred to in the context of capacity under the Amendments. To eliminate 

redundancy and enhance clarity, the description of the ways the Clearing House could monitor 

counterparty exposure by applying various stress factors to current exposures was removed due 

to overlap with other risk management practices described elsewhere and to reflect current 

practices. 

Conforming Amendments Applicable to Both Methodologies

The Clearing House also took the opportunity to correct for grammatical errors and amend the language in 

the Methodologies to provide clarity without changing the meaning, where appropriate.

DCO Core Principle Review

CME reviewed the DCO core principles (“Core Principles”) as set forth in the Commodity Exchange Act

(“CEA” or “Act”) and identified that the Amendments may impact the following core principle:

• DCO Core Principle D – Risk Management: The Amendments further describe the 

Clearing House’s risk management practices with respect to assessing and managing 

counterparty risk and enhance the ability of the Clearing House to effectively manage the 

risks associated with discharging the responsibilities of the DCO.

CME has requested confidential treatment with respect to the Methodologies, which have been submitted 

concurrently with this certification. Exhibits A and B provide the CAM and CEM, respectively, in blackline 

format under separate cover.

Pursuant to Section 5(c) of the Act and CFTC Regulation 40.6(a), CME certifies that the Amendments

comply with the Act and regulations thereunder. There were no substantive opposing views to the 

proposal.

CME certifies that this submission has been concurrently posted on the CME Group website at 

http://www.cmegroup.com/market-regulation/rule-fillings.html.

Should you have any questions concerning the above, please contact the undersigned at (312) 930-8167

or sean.downey@cmegroup.com.

Sincerely,

 /s/ Sean Downey

 Managing Director – Clearing Chief Compliance

 Officer, Enterprise Risk Officer & Policy

CME Clearing

Attachments: Exhibit A – Amendments to Credit Risk Management Assessment Methodology (blackline

format) (attached under separate cover) (confidential treatment requested)

Exhibit B – Amendments to Counterparty Exposure Methodology (blackline format) 

(attached under separate cover) (confidential treatment requested)
3

Exhibits A & B

CONFIDENTIAL TREATMENT REQUESTED

(ATTACHED UNDER SEPARATE COVER)