SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-216 (1 of 2)

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 06/15/23 Filing Description: Permanent Delisting of CME and 

CBOT London Inter-bank Offered Rate (“LIBOR”)-Based Futures and Options Contracts

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: 

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: See filing.

Rule Numbers: See filing.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

June 15, 2023

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: CFTC Regulation 40.6(a) Certification. Permanent Delisting of CME and CBOT 

London Inter-bank Offered Rate (“LIBOR”)-Based Futures and Options Contracts.

CME Submission No. 23-216 (1 of 2)

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. (“CME”) and The Board of Trade of the City of Chicago, Inc. (“CBOT”) 

(collectively, the “Exchanges”) certify to the Commodity Futures Trading Commission (“CFTC” or 

“Commission”) the delisting of certain interest rate futures and options in connection with the upcoming final 

date of publication of a “representative” USD LIBOR rate as set forth in Table 1. (collectively, the 

“Contracts”) effective on June 20, 2023 (collectively the “Rule Amendments”).

 Table 1. 

Contract Title

CME 

Globex / 

CME 

ClearPort

Code

Rulebook 

Chapter

CME

One-Month Eurodollar Futures GLB/EM 453

Three-Month Eurodollar Futures GE / ED 452

Options on Three-Month Eurodollar Futures GE / ED 452A

Options on Three-Month Eurodollar Futures Calendar Spreads SPO 452D

Three-Month Mid-Curve Eurodollar Options TE2 452A

Six-Month Mid-Curve Eurodollar Options TE3 452A

Nine-Month Mid-Curve Eurodollar Options TE4 452A

One-Year Mid-Curve Eurodollar Options GE0 / E0 452A

Two-Year Mid-Curve Eurodollar Options GE2 / E2 452A

Three-Year Mid-Curve Eurodollar Options GE3 / E3 452A

Four-Year Mid-Curve Eurodollar Options GE4 / E4 452A

Five-Year Mid-Curve Eurodollar Options GE5 / E5 452A
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Weekly One-Year Mid-Curve Eurodollar Options - Week 1 E01 / 1K 452A

Weekly One-Year Mid-Curve Eurodollar Options - Week 2 E02 / 2K 452A

Weekly One-Year Mid-Curve Eurodollar Options - Week 3 E03 / 3K 452A

Weekly One-Year Mid-Curve Eurodollar Options - Week 4 E04 / 4K 452A

Weekly One-Year Mid-Curve Eurodollar Options - Week 5 E05 / 5K 452A

Weekly Two-Year Mid-Curve Eurodollar Options - Week 1 E21 / EE1 452A

Weekly Two-Year Mid-Curve Eurodollar Options - Week 2 E22 / EE2 452A

Weekly Two-Year Mid-Curve Eurodollar Options - Week 3 E23 / EE3 452A

Weekly Two-Year Mid-Curve Eurodollar Options - Week 4 E24 / EE4 452A

Weekly Two-Year Mid-Curve Eurodollar Options - Week 5 E25 / EE5 452A

Weekly Three-Year Mid-Curve Eurodollar Options - Week 1 E31 / EF1 452A

Weekly Three-Year Mid-Curve Eurodollar Options - Week 2 E32 / EF2 452A

Weekly Three-Year Mid-Curve Eurodollar Options - Week 3 E33 / EF3 452A

Weekly Three-Year Mid-Curve Eurodollar Options - Week 4 E34 / EF4 452A

Weekly Three-Year Mid-Curve Eurodollar Options - Week 5 E35 / EF5 452A

CBOT

2-Year U.S. Dollar Interest Rate Swap Futures T1U 51

5-Year U.S. Dollar Interest Rate Swap Futures F1U 52

7-Year USD Interest Rate Swap Futures S1U 59

10-Year U.S. Dollar Interest Rate Swap Futures N1U 53

20-Year USD Interest Rate Swap Futures E1U 60

30-Year U.S. Dollar Interest Rate Swap Futures B1U 54

Note, the Exchange previously advised of the permanent delisting of the CBOT Eris US Dollar Swap 

Futures contracts provided in Table 2. below effective June 26, 2023 via CBOT Submission No. 23-214

dated June 1, 2023.

 Table 2. 

Contract Title

CME 

Globex / 

CME 

ClearPort

Code

Rulebook 

Chapter

CBOT

2-Year Eris US Dollar Swap Futures LIT 61

3-Year Eris US Dollar Swap Futures LIC 61

4-Year Eris US Dollar Swap Futures LID 61

5-Year Eris US Dollar Swap Futures LIW 61

7-Year Eris US Dollar Swap Futures LIB 61
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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10-Year Eris US Dollar Swap Futures LIY 61

12-Year Eris US Dollar Swap Futures LII 61

15-Year Eris US Dollar Swap Futures LIL 61

20-Year Eris US Dollar Swap Futures LIO 61

30-Year Eris US Dollar Swap Futures LIE 61

The Contracts are being delisted from the CME Globex electronic trading platform (“CME Globex”) and 

CME ClearPort, the venues on which they were previously listed.

The Exchange previously notified market participants regarding the Contracts (see Submission 21-082

dated February 9, 2021, Submission 21-226 dated June 11, 2021, Submission 22-003 dated January 6, 

2022, Submission 22-040 dated March 10, 2022, Submission 22-195 dated May 5, 2022, Submission 22-

360 dated August 24, 2022, Submission 22-381 dated October 5, 2022, Submission 22-110 dated October 

17, 2022, and Submission 22-567 dated December 22, 2022). At these times, the Exchanges advised on 

the last listed contract month for the Contracts. 

Exhibit A and Exhibit B provide amendments to CME and CBOT rulebook chapters, respectively in blackline 

format.

As a result of the delisting, information regarding the Contracts has been deleted from the respective 

product rulebook chapters, related position limits in the Position Limit, Position Accountability and 

Reportable Level Table located in the Interpretations and Special Notices Section of Chapter 5 (“Trading 

Qualifications and Practices”) of the CME and CBOT Rulebooks (the “Tables”), the CME Globex nonreviewable ranges located in Rule 588.H. of the CME and CBOT Rulebooks, and the list of block-eligible 

products located on the CME Group website. The Tables are attached under separate cover, in blackline 

format, as Exhibit C and D.

The Exchange reviewed the designated contract market core principles (“Core Principles”) as set forth in 

the Commodity Exchange Act (“CEA” or “Act”) and identified that the following Core Principles may be 

impacted by this initiative as follows:

• Emergency Authority: There is no open interest in the Contracts, and therefore there will be no 

market disruption related to the delisting. 

• Availability of General Information: The Exchange will make publicly available the details of the 

delisting by publishing a Special Executive Report (“SER”) to the marketplace. The SER will be 

available on CME Group’s website.

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

delisting of the Contracts complies with the Act, including regulations under the Act. There were no 

substantive opposing views to this proposal.

The Exchange certifies that this submission has been concurrently posted on the Exchange’s website at

http://www.cmegroup.com/market-regulation/rule-filings.html.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Should you have any questions concerning the above, please e-mail 

CMEGSubmissionInquiry@cmegroup.com or contact the undersigned at (212) 299-2200. 

Sincerely,

/s/ Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachments: Exhibit A - Amendments to CME Rulebook Chapters (blackline format) 

Exhibit B - Amendments to CBOT Rulebook Chapters (blackline format)

Exhibit C - Position Limit, Position Accountability, and Reportable Level Table in Chapter 

5 of the CME Rulebook (attached under separate cover) (blackline format) 

Exhibit D - Position Limit, Position Accountability, and Reportable Level Table in Chapter 

5 of the CBOT Rulebook (attached under separate cover) (blackline format) 
5

Exhibit A

CME Rulebook

(deletions struck through)

Chapter 452

Three-Month Eurodollar Futures

45200. SCOPE OF CHAPTER

This chapter is limited in application to Three-Month Eurodollar futures (“futures” or “contract”). In 

addition to this chapter, futures shall be subject to the general rules and regulations

of the Exchange insofar as applicable.

Unless otherwise specified, times referenced herein shall indicate Chicago time.

45201. CONTRACT SPECIFICATIONS

Each contract is valued at $2,500 times the contract-grade IMM Index (Rule 45202.C.).

45202. TRADING SPECIFICATIONS 

45202.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.

45202.B. Trading Unit

For a contract for a given delivery month, the unit of trading shall be interest on an unsecured U.S. 

dollar-denominated wholesale bank funding transaction, with term to maturity of three months (“threemonth term”), for spot settlement on the third Wednesday of such delivery month, expressed as an 

interest rate per annum for which (i) such interest rate shall accrue on the basis of the actual number of 

days spanned by such three-month term, divided by a 360-day year, and (ii) each basis point per annum 

of such interest rate shall be worth $25 per futures contract.

45202.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 wholesale bank 

funding transaction specified in Rule 45202.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.

45202.D. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth 

in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special 

Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 

Department may grant qualified exemptions in its sole discretion.
6

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions 

from the specified position limits.

45202.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 Table in the Interpretations & 

Special Notices Section of Chapter 5.

45202.F. [Reserved]

45202.G. Termination of Trading 

Trading in an expiring contract shall terminate at 11:00 a.m. London time on the second London bank 

business day immediately preceding the third Wednesday of the contract’s named month of delivery.

45202.H. [Reserved]

45203. SETTLEMENT PROCEDURES

Delivery shall be by cash settlement.

45203.A. Final Settlement Price 

Subject to Rule 45236, the final settlement price of an expiring contract shall be 100.0000 minus the 

three-month U.S. dollar ICE LIBOR wholesale funding rate (“rate”) for the second London bank business 

day immediately preceding the third Wednesday of the contract’s named month of delivery. Such rate 

shall be as determined, and as first published, by ICE Benchmark Administration Limited. The value of 

such rate, so published, shall be rounded to the nearest 0.0001 percentage points per annum. Tie 

values, i.e., any such values ending in 0.00005, shall be rounded up. (For example, a rate of 8.65625 

percent would be rounded up to 8.6563 percent, and then subtracted from 100.0000 to determine a 

contract final settlement price of 91.3437.)

45203.B. Final Settlement 

Clearing members holding open positions in a contract at the time of termination of trading in that contract 

shall make payment to or receive payment from the Clearing House in accordance with normal variation 

performance bond procedures based on a settlement price equal to the final settlement price.

45204.-35. [RESERVED]

45236. REFERENCE RATE FALLBACK EVENT PROCEDURE

45236.A. Fallback Announcement 

With respect to the rate in Rule 45203.A, on March 5, 2021, the U.K. Financial Conduct 

Authority, the regulatory supervisor for the administrator of the rate, made a public 

statement and publication of information to the effect that: 

(i) it had determined that immediately following publication on June 30, 2023 (the “Scheduled 

Final Representative LIBOR Publication Date”), such rate will no longer be representative 

of the underlying market and economic reality that such rate is intended to measure and 

that representativeness will not be restored, and

(ii) such public statement and publication of information was made in the awareness that the 

statement or publication will engage certain contractual triggers for fallbacks activated by 

pre-cessation announcements by such supervisor (howsoever described) in contracts, 

(the “USD 3M LIBOR Fallback Announcement”).

Following the USD 3M LIBOR Fallback Announcement the Exchange shall utilize the 

process in Rule 45236.C. 
7

45236.B. Eurodollar Fallback Effective Date 

The Exchange shall determine the date on which it will implement the fallback 

procedure in Rule 45236.C (the “Eurodollar Fallback Effective Date”) in accordance with 

this Rule 45236.B.

The Eurodollar Fallback Effective Date shall be April 14, 2023, except:

(i) where the Exchange determines at any time in its sole and absolute discretion that 

implementation of the fallback procedure on such date could result in an unacceptable level 

of operational or market disruption or where financial stability issues could threaten the 

orderly transition of the contract; or

(ii) following a Successor USD 3M LIBOR Fallback Announcement (as defined in Rule 

45236.F),

upon which the Exchange shall determine in its sole and absolute discretion: 

(A) an alternative date which shall be the Eurodollar Fallback Effective Date for the 

purposes of this Rule 45236; and

(B) an alternative date which shall be the Scheduled Final Representative LIBOR 

Publication Date for the purposes of this Rule 45236, 

having regard to any Successor USD 3M LIBOR Fallback Announcement, as applicable, 

and the Exchange shall provide notification of such amended Eurodollar Fallback 

Effective Date to market participants as soon as reasonably practicable following such 

determination.

45236.C. Fallback Procedure

Following close of business on the Eurodollar Fallback Effective Date the Exchange shall 

convert all open positions in the contract that expire after the Scheduled Final 

Representative LIBOR Publication 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 Eurodollar Fallback Effective Date; 

and 

(ii) such position shall be replaced with a corresponding open position in CME Three-Month 

SOFR Futures (Chapter 460) (a “Replacement Position”). 

The Replacement Position shall be assigned to a position holder by the Exchange in 

accordance 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 same 

delivery 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:
8

(A) the most recent daily settlement price for the contract on the 

Eurodollar Fallback Effective Date,

plus

(B) a value adjustment amount which shall be equal to the fixed Spread 

Adjustment for the rate in Rule 45203.A published by Bloomberg 

Index Services Limited (0.26161%),

rounded to four (4) decimal places;

(iii) to account for the rounding of the Assignment Price to four (4) decimal places, the Exchange 

shall apply to each Replacement Position a cash adjustment amount which shall be due 

from or payable to the position holder [at the next end of day settlement cycle following 

close of business on the Eurodollar Fallback Effective Date] according to the direction of the 

position and shall be equal to: 

0.00001 x the contract quantity x $2,500 contract unit multiplier, 

as determined by the Exchange utilizing the methodology published by the 

Exchange.

45236.D. 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 

daily and final settlement prices in respect of each Replacement Position.

45236.E. Termination of Trading 

(1) On the Eurodollar Fallback Effective Date trading in the contracts expiring after the Scheduled Final 

Representative LIBOR Publication Date shall be terminated and such contracts shall no longer be 

available for trading on the Exchange with immediate effect. 

(2) Trading in the contracts expiring before the Scheduled Final Representative LIBOR Publication Date shall 

continue after the Eurodollar Fallback Effective Date until the date of termination of trading of such 

contracts under Rule 45202.G.

45236.F. Successor USD 3M LIBOR Fallback Announcement 

With respect to the rate in Rule 45203.A, in the event of any of:

(i) a public statement or publication of information by or on behalf of the administrator of the rate announcing 

that it has ceased or will cease to provide the rate permanently or indefinitely, provided that, at the time of the 

statement or publication, there is no successor administrator that will continue to provide the rate;

(ii) a public statement or publication of information by the regulatory supervisor for the administrator of the 

rate, the central bank for the currency of the rate, an insolvency official with jurisdiction over the administrator 

for the rate, a resolution authority with jurisdiction over the administrator for the rate or a court or an entity with 

similar insolvency or resolution authority over the administrator for the rate, which states that the administrator 

of the rate has ceased or will cease to provide the rate permanently or indefinitely, provided that, at the time 

of the statement or publication, there is no successor administrator that will continue to provide the rate; or

(iii) a public statement or publication of information by the regulatory supervisor for the administrator of the 

rate announcing that: 

(A) the regulatory supervisor has determined that such rate is no longer, or as of a specified future date will 

no longer be, representative of the underlying market and economic reality that such rate is intended to 

measure and that representativeness will not be restored, and

(B) it is being made in the awareness that the statement or publication will engage certain contractual triggers 

for fallbacks activated by pre-cessation announcements by such supervisor (howsoever described) in 

contracts,
9

issued subsequent to the USD 3M LIBOR Fallback Announcement and prior to the Eurodollar Fallback 

Effective Date (a “Successor USD 3M LIBOR Fallback Announcement”), the Exchange shall utilize the process 

in Rule 45236.B. 

(End Chapter 452)

INTERPRETATIONS AND SPECIAL NOTICES

RELATING TO CHAPTER 452 

The Exchange has entered into an agreement with ICE Benchmark Administration 

Limited which permits the Exchange to use ICE LIBOR as the basis for settling Three–

Month Eurodollar futures contracts and to refer to ICE LIBOR in connection with 

creating, marketing, trading, clearing, settling and promoting Three–Month Eurodollar 

futures contracts.

Three–Month Eurodollar futures contracts are not in any way sponsored, endorsed, sold 

or promoted by ICE Benchmark Administration Limited, and ICE Benchmark 

Administration Limited, has no obligation or liability in connection with the trading of 

any such contracts. ICE LIBOR is compiled and calculated solely by ICE Benchmark 

Administration Limited. However, ICE Benchmark Administration Limited, shall not be 

liable (whether in negligence or otherwise) to any person for any error in ICE LIBOR, and 

ICE Benchmark Administration Limited, shall not be under any obligation to advise any 

person of any error therein.

ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO WARRANTY, EXPRESS OR 

IMPLIED, EITHER AS TO THE RESULTS TO BE OBTAINED FROM THE USE OF ICE LIBOR 

AND/OR THE FIGURE AT WHICH ICE LIBOR STANDS AT ANY PARTICULAR TIME ON ANY 

PARTICULAR DAY OR OTHERWISE. ICE BENCHMARK ADMINISTRATION LIMITED MAKES 

NO EXPRESS OR IMPLIED WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A 

PARTICULAR PURPOSE FOR USE WITH RESPECT TO THREE–MONTH EURODOLLAR 

FUTURES CONTRACTS.

Chapter 452A

Options on Three-Month Eurodollar Futures

452A00. SCOPE OF CHAPTER

This chapter is limited in application to options on Three-Month Eurodollar futures (“options”). In 

addition to this chapter, options shall be subject to the general rules and regulations of the Exchange 

insofar as applicable.

Unless otherwise specified, times referenced herein shall refer to and indicate Chicago time.

452A01. OPTION CHARACTERISTICS

452A01.A. Contract Months and Trading Hours

Options shall be listed for expiration on such dates and shall be scheduled for trading during such 
10

hours as may be determined by the Exchange.

452A01.B. Trading Unit

The trading unit shall be an option to buy in the case of the call, or to sell in the case of the put, one 

Three-Month Eurodollar futures contract (Chapter 452).

452A01.C. Minimum Fluctuations

The price of an option shall be quoted in IMM Index points corresponding to such option’s underlying 

futures contract (Rule 452A01.D.). Pursuant to Rules 45202.C., each 0.01 IMM Index point signifies 

one (1) basis point per annum of interest rate exposure in such underlying futures contract’s Trading 

Unit (Rule 45202.B.), and is equal to $25 per option contract. For example, an option contract price of 

0.35 IMM Index points represents $875 (equal to 35 basis points x $25 per basis point per option 

contract).

Minimum price fluctuations shall be as follows –

1. Quarterly Standard Options (Rule 452A01.D.1.) Expiring in the Nearest March Quarterly Month

Where such options are for the next nearest monthly option expiration date, the minimum price 

fluctuation shall be 0.0025 IMM Index points (equal to $6.25 per option contract).

Where such options are not for the next nearest monthly option expiration date, then:

Where any such option trades outright at a premium not greater than 0.05 IMM Index points, the 

minimum price fluctuation shall be 0.0025 IMM Index points (equal to $6.25 per option contract).

Where any such option trades outright at a premium greater than 0.05 IMM Index points, the 

minimum price fluctuation shall be 0.005 IMM Index points (equal to $12.50 per option contract).

2. Quarterly Standard Options (Rule 452A01.D.1.) Expiring in the Second-Nearest March 

Quarterly Month, Serial Options (Rule 452A01.D.2.), and Three-Month Mid-Curve Options 

(Rule 452A01.D.8.)

Where any such option trades outright at a premium not greater than 0.05 IMM Index points, the 

minimum price fluctuation shall be 0.0025 IMM Index points (equal to $6.25 per option contract).

Where any such option trades outright at a premium greater than 0.05 IMM Index points, the minimum 

price fluctuation shall be 0.005 IMM Index points (equal to $12.50 per option contract).

3. All Other Quarterly Standard Options (Rule 452A01.D.1.) and All Other Mid-Curve Options 

(Rules 452A01.D.3. through 452A01.D.7., 452A01.D.9., and 452A01.D.10.)

For all Quarterly Standard options other than those that expire in the nearest March Quarterly month 

or the second-nearest March Quarterly month, and for all Mid-Curve options other than Three-Month 

Mid-Curve options, the minimum price fluctuation shall be 0.005 IMM Index points (equal to $12.50 per 

option contract), provided that trade may occur at a price level of 0.0025 IMM Index point (equal to 

$6.25 per option contract), whether or not such trade results in liquidation of positions for both parties 

to suchtrade.

4. Option Spreads and Combinations

All option spreads and combinations shall trade in minimum price increments of 0.005 IMM Index 

points, subject to the following exceptions:

(a) An option spread or combination may trade in minimum price increments of 0.0025 IMM Index 

points if (i) such option spread or combination comprises only Quarterly Standard Options Expiring 

in the Nearest March Quarterly Month (Rule 452A01.C.1.), and (ii) all such options are for the 

nearest monthly option expiration date.

(b) An option spread or combination may trade in minimum price increments of 0.0025 IMM Index 

points if such option spread or combination (i) trades at a net premium not greater than 0.05 IMM 

Index points and not less than -0.05 IMM Index points and (ii) comprises only such options as are 

specified in Rule 452A01.C.1. and/or 452A01.C.2.

For the avoidance of doubt, any option spread or combination that comprises one or more options 

specified in Rule 452A01.C.3. shall trade in minimum price increments of 0.005 IMM Index points.

For the purpose of Rule 813 for Settlement Prices, the minimum price fluctuation for all options shall 

be 0.0025 IMM Index point (equal to $6.25 per option contract).

Where the price of an option is quoted in volatility terms, the minimum fluctuation shall be 0.05 percent.
11

452A01.D. Underlying Futures Contracts

1. Options in the March Quarterly Cycle (“Quarterly Standard Options”)

For options that expire in any month in the March quarterly cycle (i.e., March, June, September, and 

December), except for those Mid-Curve options specified in Paragraphs 3, 4, 5, 6, 7, 8, 9, or 10 of this 

Rule, the underlying futures contract is for the month in which such options expire. For example, for a 

given year, the underlying futures contract for an option that expires in March is the March futures 

contract.

2. Options Not in the March Quarterly Cycle (“Serial Options”)

For options that expire in any month other than those in the March quarterly cycle, (i.e., January, 

February, April, May, July, August, October, and November), except for those Mid-Curve options 

specified in Paragraphs 3, 4, 5, 6, 7, 8, 9, or 10 of this Rule, the underlying futures contract is for the 

next month in the March quarterly cycle that is nearest the expiration of such options. For example, for 

a given year, the underlying futures contract for such options that expire in January or February is the 

March futures contract.

3. One-Year Mid-Curve Options

One-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly One-Year Mid-Curve Options”)

For One-Year Mid-Curve options that expire in any month in the March quarterly cycle, the underlying

futures contract is the futures contract that expires 12 calendar months after the month in which such 

options expire.

One-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial One-Year Mid-Curve Options”)

For Serial One-Year Mid-Curve Options that expire in any month other than those in the March 

quarterly cycle, the underlying futures contract is the futures contract that expires 12 calendar months 

from the next March quarterly month that is nearest to the expiration of such options. For example, the 

underlying futures contract for the Serial One-Year Mid-Curve options that expire in January or 

February of a given year is the March futures contract that expires one year hence.

Weekly One-Year Mid-Curve Options

For Weekly One-Year Mid-Curve Options, the underlying futures contract is the futures contract that 

expires 12 calendar months from the next March quarterly month that is nearest to the expiration of 

such options.

4. Two-Year Mid-Curve Options

Two-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly Two-Year Mid-Curve Options”)

For Two-Year Mid-Curve options that expire in any month in the March quarterly cycle, the underlying 

futures contract is the futures contract that expires 24 calendar months after the month in which such 

options expire.

Two-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial Two-Year Mid-Curve Options”)

For Serial Two-Year Mid-Curve Options that expire in any month other than those in the March 

quarterly cycle, the underlying futures contract is the futures contract that expires 24 calendar months 

from the next March quarterly month that is nearest to the expiration of such options. For example, the 

underlying futures contract for the Serial Two-Year Mid-Curve options that expire in January or 

February of a given year is the March futures contract that expires two years hence.

Weekly Two-Year Mid-Curve Options

For Weekly Two-Year Mid-Curve Options, the underlying futures contract is the futures contract that 

expires 24 calendar months from the next March quarterly month that is nearest to the expiration of 

such options.

5. Three-Year Mid-Curve Options

Three-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly Three-Year Mid-Curve 

Options”)

For Three-Year Mid-Curve options that expire in any month in the March quarterly cycle, the underlying 

futures contract is the futures contract that expires 36 calendar months after the month in which such 

options expire.

Three-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial Three-Year Mid-Curve 
12

Options”)

For Serial Three-Year Mid-Curve Options that expire in any month other than those in the March 

quarterly cycle, the underlying futures contract is the futures contract that expires 36 calendar months 

from the next March quarterly month that is nearest to the expiration of such options. For example, the 

underlying futures contract for the Serial Three-Year Mid-Curve options that expire in January or 

February of a given year is the March futures contract that expires three years hence.

Weekly Three-Year Mid-Curve Options

For Weekly Three-Year Mid-Curve Options, the underlying futures contract is the futures contract that 

expires 36 calendar months from the next March quarterly month that is nearest to the expiration of 

such options.

6. Four-Year Mid-Curve Options

Four-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly Four-Year Mid-Curve Options”)

For Four-Year Mid-Curve options that expire in any month in the March quarterly cycle, the underlying 

futures contract is the futures contract that expires 48 calendar months after the month in which such 

options expire.

Four-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial Four-Year Mid-Curve Options”)

For Serial Four-Year Mid-Curve Options that expire in any month other than those in the March 

quarterly cycle, the underlying futures contract is the futures contract that expires 48 calendar months 

from the next March quarterly month that is nearest to the expiration of such options. For example, the 

underlying futures contract for the Serial Four-Year Mid-Curve options that expire in January or 

February of a given year is the March futures contract that expires four years hence.

Weekly Four-Year Mid-Curve Options

For Weekly Four-Year Mid-Curve Options, the underlying futures contract is the futures contract that 

expires 48 calendar months from the next March quarterly month that is nearest to the expiration of 

such options.

7. Five-Year Mid-Curve Options

Five-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly Five-Year Mid-Curve Options”)

For Five-Year Mid-Curve options that expire in any month in the March quarterly cycle, the underlying 

futures contract is the futures contract that expires 60 calendar months after the month in which such 

options expire.

Five-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial Five-Year Mid-Curve Options”)

For Serial Five-Year Mid-Curve Options that expire in any month other than those in the March 

quarterly cycle, the underlying futures contract is the futures contract that expires 60 calendar months 

from the next March quarterly month that is nearest to the expiration of such options. For example, the 

underlying futures contract for the Serial Five-Year Mid-Curve options that expire in January or 

February of a given year is the March futures contract that expires five years hence.

Weekly Five-Year Mid-Curve Options

For Weekly Five-Year Mid-Curve Options, the underlying futures contract is the futures contract that 

expires 60 calendar months from the next March quarterly month that is nearest to the expiration of 

such options.

8. Three-Month Mid-Curve Options

Three-Month Mid-Curve Options in the March Quarterly Cycle (“Quarterly Three-Month Mid-Curve 

Options”)

For Three-Month Mid-Curve options that expire in any month in the March quarterly cycle, the 

underlying futures contract is the futures contract that expires 3 calendar months after the month in 

which such options expire.

Three-Month Mid-Curve Options Not in the March Quarterly Cycle (“Serial Three-Month Mid-Curve 

Options”)

For Serial Three-Month Mid-Curve Options that expire in any month other than those in the March 

quarterly cycle, the underlying futures contract is the futures contract that expires 3 calendar months 

from the next March quarterly month that is nearest to the expiration of such options. For example, for 
13

a given year, the underlying futures contract for the Serial Three-Month Mid-Curve options that expire 

in January or February is the June futures contract.

9. Six-Month Mid-Curve Options

Six-Month Mid-Curve Options in the March Quarterly Cycle (“Quarterly Six-Month Mid-Curve Options”)

For Six-Month Mid-Curve options that expire in any month in the March quarterly cycle, the underlying 

futures contract is the futures contract that expires 6 calendar months after the month in which such 

options expire.

Six-Month Mid-Curve Options Not in the March Quarterly Cycle (“Serial Six-Month Mid-Curve Options”)

For Serial Six-Month Mid-Curve Options that expire in any month other than those in the March 

quarterly cycle, the underlying futures contract is the futures contract that expires 6 calendar months 

from the next March quarterly month that is nearest to the expiration of such options. For example, for 

a given year, the underlying futures contract for the Serial Six-Month Mid-Curve options that expire in 

January or February is the September futures contract.

10. Nine-Month Mid-Curve Options

Nine-Month Mid-Curve Options in the March Quarterly Cycle (“Quarterly Nine-Month Mid-Curve 

Options”)

For Nine-Month Mid-Curve options that expire in any month in the March quarterly cycle, the underlying 

futures contract is the futures contract that expires 9 calendar months after the month in which such 

options expire.

Nine-Month Mid-Curve Options Not in the March Quarterly Cycle (“Serial Nine-Month Mid-Curve 

Options”)

For Serial Nine-Month Mid-Curve Options that expire in any month other than those in the March 

quarterly cycle, the underlying futures contract is the futures contract that expires 9 calendar months 

from the next March quarterly month that is nearest to the expiration of such options. For example, for 

a given year, the underlying futures contract for the Serial Nine-Month Mid-Curve options that expire 

in January or February is the December futures contract.

452A01.E. Exercise Prices

1. Twenty-Five Point Exercise Prices

For options for a given expiration date that are exercisable into a given underlying futures contract, 

exercise prices shall be stated in terms of the IMM Index for such underlying futures contract and shall 

be stated in intervals whose last two digits are 00, 25, 50, or 75 ("twenty-five point exercise prices") for 

all IMM Index levels, e.g., 88.00, 88.25, 88.50, 88.75.

The Exchange shall list put and call options for trading at the exercise price that is nearest the previous 

day's settlement price of such underlying futures contract (“at-the-money exercise price”) and at all 

eligible exercise prices in a range from 5.50 IMM Index points above to 5.50 IMM Index points below 

such at-the-money exercise price. Thereafter until termination of trading in such options, the Exchange 

shall ensure that put and call options are listed for trading on each day at all eligible exercise prices in 

a range from 5.50 IMM Index points above to 5.50 IMM Index points below the at-the-money exercise 

price for such underlying futures contract. New options may be listed for trading up to and including 

the termination of trading.

2. Special Listings of 12.5 Point Exercise Prices

For options for a given expiration date that are exercisable into a given underlying futures contract, 

with the exception of certain option expiries with 6.25 Point Exercise Prices (Rule 452A01.E.3.), 

additional exercise prices shall be stated in intervals whose last three digits are 12.5, 37.5, 62.5, or 

87.5 ("12.5 point exercise prices") for all IMM Index levels, e.g., 93.125, 93.375, 93.625, 93.875.

The Exchange shall ensure that put and call options are listed for trading on each day at all such 12.5 

point exercise prices in a range from 1.50 IMM Index points above to 1.50 IMM Index points below the 

at-the-money exercise price for such underlying futures contract.

3. Special Listings of 6.25 Point Exercise Prices

From time to time as determined by the Exchange, additional exercise prices for selected expiries will 

be made available in intervals whose last four digits are 06.25, 12.50, 18.75, 31.25, 37.50, 43.75, 56.25, 

62.50, 68.75, 81.25, 87.50, or 93.75 ("6.25 point exercise prices") for all IMM Index levels, e.g., 
14

93.0625, 93.1250, 93.1875, 93.3125, 93.3750, 93.4375, 93.5625, 93.6250, 93.6875, 93.8125, 

93.8750, 93.9375.

Until termination of trading in such options, the Exchange shall ensure that put and call options are 

listed for trading on each day at all such 6.25 point exercise prices in a range from 1.50 IMM Index 

points above to 1.50 IMM Index points below the at-the-money exercise price for such underlying 

futures contract.

4. Dynamically-Listed Exercise Prices

Upon demand and at the discretion of the Exchange, a new option contract with an out-of-currentrange exercise price may be added, on an as-soon-as-possible basis, provided that the last two digits 

of the exercise price of such newly added option contract must be 00, 25, 50, or 75 (e.g., 88.00, 88.25, 

88.50, 88.75).

The Exchange may modify the provisions governing the establishment of exercise prices as it deems 

appropriate.

452A01.F. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set 

forth in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & 

Special Notices Section of Chapter 5.

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to 

the Market Regulation Department on forms provided by the Exchange, and the Market Regulation 

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.

452A01.G. 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 Table in the Interpretations & 

Special Notices Section of Chapter 5.

452A01.H.-I. [Reserved] 

452A01.J. Termination of Trading

1. Quarterly Standard Options

Trading in any Quarterly Standard Option shall terminate at the same date and time as the underlying 

futures contract for such Quarterly Standard Option.

2. Serial Options

Trading in any Serial Option shall terminate at the close of trading on the Friday preceding the third 

Wednesday of the month in which such option expires. If such Friday is a scheduled Exchange holiday, 

then trading shall terminate on the immediately preceding Business Day. In the event that the 

underlying futures market for such Serial Option does not open on the day scheduled for termination 

of trading in such option, then trading in such option shall be extended to the next day on which the 

underlying futures market is open for trading.

3. Mid-Curve Options

Trading in any Quarterly Mid-Curve Option or any Serial Mid-Curve option shall terminate at the close 

of trading on the Friday preceding the third Wednesday of the calendar month in which such option 

expires. If such Friday is a scheduled Exchange holiday, then trading shall terminate on the 

immediately preceding Business Day. In the event that the underlying futures market for such MidCurve option does not open on the day scheduled for termination of trading in such option, then trading 

in such option shall be extended to the next day on which the underlying futures market is open for 

trading.

Trading in Weekly Mid-Curve options shall terminate at the close of trading on those Fridays that are 

not also scheduled for termination of trading in Quarterly Mid-Curve Options or Serial Mid-Curve 

Options. If such Friday is a scheduled Exchange holiday, then trading in Weekly Mid-Curve options 

shall terminate on the immediately preceding Business Day. In the event that the underlying futures 

market for any such Weekly Mid-Curve option does not open on the day scheduled for termination of 

trading in such option, then trading in such option shall be extended to the next day on which the 

underlying futures market is open for trading.
15

452A01.K. [Reserved]

452A02. EXERCISE AND ASSIGNMENT

In addition to the applicable procedures and requirements of Chapter 7, the following shall apply to the 

exercise of Eurodollar options.

452A02.A. Exercise of Option by Buyer

An option may be exercised by the buyer on any Business Day that the option is traded. To exercise 

an option, the clearing member representing the buyer shall present an exercise notice to the Clearing 

House by 5:30 p.m. on the day of exercise.

An option that is in the money and has not been liquidated or exercised prior to the termination of 

trading in such option shall be exercised automatically, in the absence of contrary instructions delivered 

to the Clearing House no later than 5:30 p.m. on the last day of trading by the clearing member 

representing the option buyer. An option is in the money if the settlement price of the underlying futures 

contract at the termination of trading lies above the exercise price in the case of a call, or lies below 

the exercise price in the case of a put.

452A02.B. Assignment

Exercise notices accepted by the Clearing House shall be assigned through a process of random 

selection to clearing members with open short positions in the same series. A clearing member to 

which an exercise notice is assigned shall be notified thereof as soon as practicable after such notice 

is assigned by the Clearing House, but not later than 45 minutes before the opening of Regular Trading 

Hours in the underlying futures contract on the following Business Day.

The clearing member assigned an exercise notice shall be assigned a short position in the underlying 

futures contract if a call is exercised or a long position if a put is exercised. The clearing member 

representing the option buyer shall be assigned a long position in the underlying futures contract if a 

call is exercised and a short position if a put is exercised.

All such futures positions shall be assigned at a price equal to the exercise price of the option and shall 

be marked to market in accordance with Rule 814 on the Trading Day of acceptance by the Clearing 

House of the exercise notice.

452A03. [RESERVED]

 452A04. FALLBACK EVENT WITH RESPECT TO THREE-MONTH EURODOLLAR FUTURES

452A04.A. Fallback Event with Respect to Three-Month Eurodollar Futures

In the event of a fallback event with respect to Three-Month Eurodollar futures contracts where the 

Exchange implements the Fallback Procedure in Rule 45236.C, on the Eurodollar Fallback Effective 

Date (as defined in Rule 45236) trading in Three-Month Eurodollar futures contracts expiring after the 

Scheduled Final Representative LIBOR Publication Date (as defined in Rule 45236.) (“Conversion 

Futures”) will terminate in accordance with Rule 45236.E and trading in the option contracts referencing 

such Conversion Futures shall accordingly also terminate with immediate effect notwithstanding any 

other provision of this Chapter 452A. Any option contract referencing such Conversion Futures that has 

not been liquidated or exercised prior to the termination of trading shall be subject to the rules in Rule 

452A04.B from the Eurodollar Fallback Effective Date.

452A04.B. Fallback Procedure

On the Eurodollar Fallback Effective Date, the Exchange shall convert open positions in the option 

referencing such Conversion Futures into corresponding open positions in CME Options on Three-Month 

SOFR Futures (Chapter 460A) (a “Replacement Position”) in accordance with the following procedure:

(i) the open position in the option shall be terminated by the Exchange;

(ii) the Exchange shall assign to the position holder a Replacement Position in standardized 

strikes and like contract months in CME Options on Three-Month SOFR Futures according 

to a methodology which will employ, among other things, standard options valuation models, 

and this methodology shall be determined by the Exchange in its absolute discretion and 

shall be published by the Exchange; and
16

(iii) the Exchange shall apply a Premium Differential to each Replacement Position (as defined 

in Rule 45236.) to reflect the difference in option premium between the corresponding 

terminated position and the Replacement Position, which shall be determined by the 

Exchange in its absolute discretion utilizing the methodology in the preceding paragraph, 

and such Premium Differential shall be due to or payable by the position holder (as 

applicable) at the next end of day settlement cycle following close of business on the 

Eurodollar Fallback Effective Date.

452A04.C. Clearing of the Replacement Position

Clearing of the Replacement Position shall be subject to the Rules for CME Options on Three-Month 

SOFR Futures (Chapter 460A) from the Eurodollar Fallback Effective Date.

452A04.D Termination of Trading

Trading in the options contracts referencing Three-Month Eurodollar Futures that are not Conversion 

Futures shall continue after the Eurodollar Fallback Effective Date until the date of termination of trading 

of such contracts under 452A01.J. Termination of Trading.

(End Chapter 452A)

Chapter 452D

Options on Three-Month Eurodollar Futures Calendar Spreads

452D00. SCOPE OF CHAPTER

This chapter is limited in application to options on Three-Month Eurodollar futures calendar spreads 

(“Eurodollar Calendar Spread options”). In addition to this chapter, Eurodollar Calendar Spread options 

shall be subject to the general rules and regulations of the Exchange insofar as applicable.

For purposes of this chapter, unless otherwise specified, times referred herein shall refer to and indicate 

Chicago time.

452D01. OPTIONS CHARACTERISTICS

452D01.A. Contract Months and Trading Hours

Option contracts shall be listed for such contract months and scheduled for trading during such hours, 

except as indicated below, as may be determined by the Exchange.

452D01.B. Trading Unit

For the purpose of this chapter, a calendar spread of Eurodollar futures contract shall consist of opposing 

positions in a nearby futures contract month and a deferred futures contract month in Eurodollar futures. 

Buying a calendar spread shall mean simultaneously establishing a long position in the nearby contract 

month and a short position in the deferred contract month. Selling a calendar spread shall mean 

simultaneously establishing a short position in the nearby contract month and a long position in the 

deferred contract month.

The trading unit shall be an option to buy, in the case of the call, or to sell, in case of the put, a calendar 

spread of Eurodollar futures contracts. 

452D01.C. Minimum Fluctuations

The price of an option shall be quoted in IMM Index points. Each 0.01 IMM Index point (1 basis point) 

shall represent $25. For example, a quote of 0.35 represents an option price of $875 (35 basis points x 

$25).

The minimum fluctuation shall be 0.005 IMM Index point (also known as one-half tick). Trades may also 

occur in increments of 0.0025 IMM Index point ($6.25, also known as one-quarter tick) up to a price of 

0.05 IMM Index point. 

For the purpose of Rule 812, the minimum fluctuation shall be 0.0025 IMM Index point.
17

When the nearest contract month of the underlying Eurodollar futures calendar spread is the nearest 

expiring futures contract month, the minimum fluctuation shall be 0.0025 IMM Index point (also known as 

one-quarter tick.)

452D01.D. Underlying Futures Contracts

1. One-Year Calendar Spread Options in the March Quarterly Cycle (“Quarterly Options”)

For One-Year Calendar Spread options that expire in the March quarterly cycle (i.e. March, June, 

September, and December), the underlying futures contract calendar spread shall be the spread of the 

futures contract for the month in which the option expires, versus the futures contract expiring on the 

same calendar month one year following the options expiry. For example, the underlying futures contract 

calendar spread for an option that expires in March 2008 is the March 2008 / March 2009 calendar spread 

of Eurodollar futures.

2. One-Year Calendar Spread Options Not in the March Quarterly Cycle (“ Serial Options”)

For One-Year Calendar Spread options that expire in months other than those in the March quarterly 

cycle (i.e. January, February, April, May, July, August, October and November), the underlying futures 

contract calendar spread shall be the spread of the next futures contract in the March Quarterly cycle that 

is nearest the expiration of the option, versus the futures contract expiring on the same calendar month 

one year later than the preceding futures contract. For example, the underlying futures contract calendar 

spread for an option that expires in January and February 2008 is the March 2008 / March 2009 calendar 

spread of Eurodollar futures.

452D01.E. Exercise Prices

Exercise prices shall be stated in terms of the IMM Index for the Eurodollar futures contract that is 

deliverable upon exercise of the option and shall be a positive or negative integer multiple of 0.05 IMM 

Index points, e.g., -0.10, -0.05, 0, 0.05, 0.10, etc. 

At the initial listing of One-Year Calendar Spread options contract month, all eligible exercise prices in the 

range of -1.00 to 1.00 IMM Index points from the exercise price closest to the previous day’s daily 

settlement price of the underlying calendar spread of Eurodollar futures shall be listed for trading. 

Therefore, at the beginning of a new trading session, all eligible exercise prices in the range of -1.00 to 

1.00 IMM Index points from the exercise price closest to the previous day’s daily settlement price of the 

underlying Eurodollar futures calendar spread shall be added for trading, if they are not already listed for 

trading.

Upon demand and at the discretion of the Exchange, a new option contract with an out-of-current-range 

exercise price may be added, on an as-soon-as-possible basis, provided that the exercise price of such 

newly added option contract must be a positive or negative integer multiple of 0.05 IMM Index points (e.g., 

-0.10, -0.05, 0, 0.05, 0.10).New options may be listed for trading up to and including the termination of 

trading. The Exchange may modify the provisions governing the establishment of exercise prices as it 

deems appropriate.

452D01.F. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth 

in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special 

Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 

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.

452D01.G. 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 Table in the Interpretations & 

Special Notices Section of Chapter 5.

452D01.H.-I. [Reserved]

452D01.J. Termination of Trading

For One-Year Calendar Spread options in the March quarterly cycle and One-Year Calendar Spread 

options not in the March quarterly cycle, trading shall terminate at the close of trading on the Friday 

preceding the third Wednesday of the contract month. If the foregoing date for termination is not a 
18

Business Day, options trading shall terminate on the immediately preceding Business Day. 

452D01.K. [Reserved]

452D02. EXERCISE AND ASSIGNMENT

In addition to the applicable procedures and requirements of Chapter 7, the following shall apply to the 

exercise of Eurodollar Calendar Spread options.

452D02.A. Exercise of Option by Buyer

An option may be exercised by the buyer on any Business Day that the option is traded. To exercise an 

option, the clearing member representing the buyer shall present an exercise notice to the Clearing House 

by 5:30 p.m. on the day of exercise.

An option that is in-the-money and has not been liquidated or exercised prior to the termination of trading 

shall, in the absence of contrary instructions delivered to the Clearing House by 5:30 p.m. on the day of 

expiration by the clearing member representing the option buyer, be exercised automatically.

452D02.B. Assignment

Exercise notices accepted by the Clearing House shall be assigned through a process of random 

selection to clearing members with open short positions in the same series. A clearing member to which 

an exercise notice is assigned shall be notified thereof as soon as practicable after such notice is assigned 

by the Clearing House, but not later than 45 minutes before the opening of Regular Trading Hours in the 

underlying futures contract on the following Business Day.

In case of a call option, the clearing member assigned an exercise notice shall be assigned a short 

position in the nearby futures contract month, and a long position in the deferred futures contract month, 

of the underlying futures calendar spread. In case of a put option, the clearing member assigned an 

exercise notice shall be assigned a long position in the nearby futures contract month, and a short position 

in the deferred futures contract month, of the underlying futures calendar spread. 

The nearby futures position shall be assigned at a price equal to the current daily settlement price of the 

futures contract. The deferred futures position shall be assigned at a price equal to the current daily 

settlement price of the nearby futures contract less the exercise price of the option. For example, for an 

option with an exercise price of 1.00, and the current daily settlement price of the nearby futures contract 

at 97.56, the nearby futures contract shall be assigned a price of 97.56, while the deferred contract shall 

be assigned a price of 96.56 ( = 97.56 – 1.00). For an option with an exercise price of -1.00, and the 

current daily settlement price of the nearby futures contract at 97.56, the nearby futures contract shall be 

assigned a price of 97.56, while the deferred contract shall be assigned a price of 98.56 ( = 97.56 – -

1.00). In the event the deferred contract is assigned a price over 100.00 under this convention, the 

clearing house may adjust the futures prices for both contract months down while preserving the assigned 

prices at a differential defined by the exercise price of the option.

The futures positions shall be marked to market in accordance with Rule 814 on the Trading Day of 

acceptance by the Clearing House of the exercise notice.

452D03. [RESERVED]

(End Chapter 452D)

Chapter 453

One-Month Eurodollar Futures

45300. SCOPE OF CHAPTER

This chapter is limited in application to One-Month Eurodollar futures (“futures” or “contract”). In 

addition to this chapter, futures shall be subject to the general rules and regulations of the Exchange 

insofar as applicable.

Unless otherwise specified, times referenced herein shall indicate Chicago time.

45301. CONTRACT SPECIFICATIONS

Each contract is valued at $2,500 times the contract-grade IMM Index (Rule 45302.C.).
19

45302. TRADING SPECIFICATIONS

45302.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.

45302.B. Trading Unit 

For a contract for a given delivery month, the unit of trading shall be interest on an unsecured U.S. 

dollar-denominated wholesale bank funding transaction, with term to maturity of one month (“onemonth term”), for spot settlement on the third Wednesday of such delivery month, expressed as an 

interest rate per annum for which (i) such interest rate shall accrue on the basis of the actual number of 

days spanned by such one-month term, divided by a 360-day year, and (ii) each basis point per annum of 

such interest rate shall be worth $25 per futures contract.

45302.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 one-month unsecured U.S. dollar-denominated wholesale bank funding 

transaction specified in Rule 45302.B. (For example, an interest rate of 2.055 percent per annum shall 

be quoted as an Index value of 97.9450.)

The minimum price fluctuation shall be 0.0025 Index points, equal to $6.25 per contract.

45302.D. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set 

forth in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & 

Special Notices Section of Chapter 5.

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 

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.

45302.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 Table in the Interpretations & 

Special Notices Section of Chapter 5.

45302.F. [Reserved] 

45302.G. Termination of Trading 

Trading in an expiring contract shall terminate at 11:00 a.m. London time on the second London bank 

business day immediately preceding the third Wednesday of the contract’s named month of delivery.

45302.H. [Reserved]

45303. SETTLEMENT PROCEDURES

Delivery shall be by cash settlement.
20

45303.A. Final Settlement Price

The final settlement price of an expiring contract shall be 100.0000 minus the one-month U.S. dollar ICE 

LIBOR wholesale funding rate (“rate”) for the second London bank business day immediately preceding 

the third Wednesday of the contract’s named month of delivery. Such rate shall be as determined, and 

as first published, by ICE Benchmark Administration Limited. The value of such rate, so published, shall 

be rounded to the nearest 0.0001 percentage points per annum. Tie values, i.e., any such values ending 

in 0.00005, shall be rounded up. (For example, a rate of 8.65625 percent would be rounded up to 

8.6563 percent, and then subtracted from 100.0000 to determine a contract final settlement price of 

91.3437.)

45303.B. Final Settlement 

Clearing members holding open positions in a contract at the time of termination of trading in that contract 

shall make payment to or receive payment from the Clearing House in accordance with normal variation 

performance bond procedures based on a settlement price equal to the final settlement price.

45303.C. - I. [Reserved]

45304.-05. [RESERVED]

45306. [RESERVED]

(End Chapter 453)

INTERPRETATIONS AND SPECIAL NOTICES

RELATING TO CHAPTER 453

The Exchange has entered into an agreement with ICE Benchmark Administration Limited which permits 

the Exchange to use ICE LIBOR as the basis for settling One–Month Eurodollar futures contracts and to 

refer to ICE LIBOR in connection with creating, marketing, trading, clearing, settling and promoting One–

Month Eurodollar futures contracts.

One–Month Eurodollar futures contracts are not in any way sponsored, endorsed, sold or promoted by 

ICE Benchmark Administration Limited, and ICE Benchmark Administration Limited, has no obligation or 

liability in connection with the trading of any such contracts. ICE LIBOR is compiled and calculated solely 

by ICE Benchmark Administration Limited. However, ICE Benchmark Administration Limited, shall not be 

liable (whether in negligence or otherwise) to any person for any error in ICE LIBOR, and ICE Benchmark 

Administration Limited, shall not be under any obligation to advise any person of any error therein.

ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO WARRANTY, EXPRESS OR IMPLIED, EITHER AS 

TO THE RESULTS TO BE OBTAINED FROM THE USE OF ICE LIBOR AND/OR THE FIGURE AT WHICH ICE 

LIBOR STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DAY OR OTHERWISE. ICE BENCHMARK 

ADMINISTRATION LIMITED MAKES NO EXPRESS OR IMPLIED WARRANTIES OF MERCHANTABILITY OR 

FITNESS FOR A PARTICULAR PURPOSE FOR USE WITH RESPECT TO ONE–MONTH EURODOLLAR FUTURES 

CONTRACTS.
21

Exhibit B

CBOT Rulebook

(deletions struck through)

Chapter 51

2-Year US Dollar Interest Rate Swap Futures

51100. SCOPE OF CHAPTER

This chapter is limited in application to trading of 2-Year US Dollar Interest Rate Swap (“USD IRS”) futures. 

The procedures for trading, clearing, delivery, and settlement, and any other matters not specifically covered 

herein, shall be governed by the general rules of the Exchange (“Rules”).

Capitalized terms in this Chapter that are not otherwise defined in this Chapter shall have the meanings given 

to such terms in the other Chapters of the Rules. Capitalized terms in this Chapter that are not otherwise 

defined in either this Chapter or the other Chapters of the Rules shall have the meanings set forth in the ISDA 

Definitions (Chicago Mercantile Exchange (“CME”) Rule 90002.N.).

All times referenced in this chapter are Chicago times and are subject to change by the Exchange.

51101. CONTRACT SPECIFICATIONS

51101.A. Contract Grade

The contract grade for delivery on expiring futures made under these Rules shall be an Interest Rate Swap 

Contract (“IRS Contract” per CME Rule 90002.J.) that is accepted for clearing by the Clearing House (CME 

Rulebook Chapters 8F, 8G, 900, and 901) and that is subject to the following Contract Elections (CME Rule 

90002.F.):

1. Fixed Rate Payer: Subject to CBOT Rules 51104., an account required to deliver on a short 

position in such expiring futures contract shall be the Fixed Rate Payer to 

the Clearing House. Where such account is required to accept delivery 

on a long position in such expiring futures contract, the Clearing House 

shall be the Fixed Rate Payer to such account.

2. Floating Rate Payer: Subject to CBOT Rules 51104., an account required to accept delivery 

on a long position in such expiring futures contract shall be the Floating 

Rate Payer to the Clearing House. Where such account is required to 

deliver on a short position in such expiring futures contract, the Clearing

House shall be the Floating Rate Payer to such account.

3. IRS Effective Date: Third (3rd) Wednesday of futures contract delivery month

(CBOT Rules 51102. and 51103.A.).

4. Currency: US dollars (CME Rule 90102.B.).

5. Notional Amount: $100,000.

6. Business Day(s): New York and London.

7. Business Day Convention: Modified Following.
22

8. Termination Date: Second (2nd) anniversary of IRS Effective Date.

(CBOT Rule 51101.A.3.).

9. Initial Payment Amount: See CBOT Rule 51101.B.

10. Initial Amount Payer: See CBOT Rule 51101.B.

11. Fixed Rate Payment Dates: Semiannually from IRS Effective Date (CBOT Rule 51101.A.3.) subject 

to CBOT Rules 51101.A.6. and 51101.A.7. 

12. Fixed Rate: Futures contract fixed interest rate set by the Exchange at an integer 

multiple of 25 basis points (ie, one quarter of one percent) per annum 

when such futures contract is initially listed for trading (CBOT Rule 

51102.).

13. Fixed Rate Day Count: 30/360.

14. Floating Rate Payment Dates: Quarterly from IRS Effective Date (CBOT Rule 51101.A.3.) subject

to CBOT Rules 51101.A.6. and 51101.A.7. 

15. Floating Rate Option: USD-LIBOR-BBA (CME Rule 90102.E.1.).

16. Designated Maturity: Three (3) months.

17. Floating Rate Day Count: Actual/360.

18. Spread: None.

19. Compounding: None.

51101.B. Physical Delivery

Each individual futures contract lot that is delivered shall be an IRS Contract (CME Rule 90002.J.) that 

meets Contract Grade (CBOT Rule 51101.A.).

For an IRS Clearing Member carrying an account that is required to make or accept delivery on an expiring 

futures contract (CBOT Rules 51104.), the IRS Initial Payment Amount (CBOT Rule 51101.A.9. due upon 

delivery (CBOT Rule 51103.) of such IRS Contract, and the Initial Amount Payer (CBOT Rule 51101.A.10.), 

shall be determined as follows:

Define P as the Final Settlement Price (CBOT Rule 812.) of an expiring futures contract, as determined by the 

Exchange at such contract’s Termination of Trading (CBOT Rule 51102.F.), where such Final Settlement Price 

is expressed in points and fractions of points, with par on the basis of 100 points (Rule 51102.C.).

1. If P is greater than 100 points, then the long IRS Clearing Member taking delivery shall pay to the 

Clearing House, and the short IRS Clearing Member making delivery shall receive from the Clearing 

House, an Initial Payment Amount equal to: 

($1,000 per point) x (P points minus 100 points) per contract.

2. Else, if P is less than or equal to 100 points, then the short IRS Clearing Member making delivery 

shall pay to the Clearing House, and the long IRS Clearing Member taking delivery shall receive from 

the Clearing House, an Initial Payment Amount equal to: 

($1,000 per point) x (100 points minus P points) per contract.
23

3. For each individual contract lot that is delivered, such Initial Payment Amount shall be rounded to the 

nearest cent, with half-cents rounded up to the nearest cent.

Example: For a hypothetical expiring futures contract, assume the final settlement price P is 100-205 (ie, 100 

and 20.5/32nds or 100.640625 points). On the third Wednesday of the contract Delivery Month the holder of a 

long futures position taking delivery (the Floating Rate Payer in the delivered IRS Contract) shall pay to the 

Clearing House an Initial Payment Amount of $640.63 per contract, equal to ($1,000 per point) x (100.640625 

points minus 100 points), or $640.625 (CBOT Rule 51101.B.1.) rounded up to the nearest penny (CBOT Rule 

51101.B.3.). Conversely, the holder of a short futures position making delivery (the Fixed Rate Payer in the 

delivered IRS Contract) shall receive from the Clearing House an Initial Payment Amount of $640.63 per 

contract.

51102. TRADING SPECIFICATIONS

The number of contract delivery months open for trading at a given time shall be determined by the Exchange. 

Without limitation to the foregoing, the Exchange customarily shall list for trading futures contracts for delivery 

in at least each of the two nearest months in the March-June-September-December quarterly cycle.

For a given futures contract for a given delivery month, the Exchange shall determine the value of the Fixed 

Rate that shall standardize the Contract Grade for such futures contract (CBOT Rule 51101.A.12.). The 

Exchange also shall determine whether, and when, to list for trading any additional futures contract(s) for such 

delivery month that are standardized to Fixed Rate value(s) different to the Fixed Rate value of such futures 

contract.

51102.A. Trading Schedule

The hours of trading shall be determined by the Exchange. On the last day of trading in an expiring contract 

(CBOT Rule 51102.F.), the close of the expiring contract shall begin at 1:59 pm, and trading shall be permitted 

thereafter for a period not to exceed one minute.

51102.B. Trading Unit

The unit of trading shall be IRS Contracts that meet Contract Grade (CBOT Rule 51101.A.) having notional 

amount of one hundred thousand US dollars ($100,000) or multiples thereof.

51102.C. Price Increments

Par shall be on the basis of 100 points, with each point equal to $1,000 per contract. The minimum price 

fluctuation shall be one-quarter of one thirty-second (1/4 of 1/32nd) of one point (equal to $7.8125 per contract). 

Contracts shall not be made on any other price basis.

51102.D. 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 Table in the Interpretations & Special Notices 

Section of Chapter 5.

51102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth in 

the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special Notices 

Section of Chapter 5.

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 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.

51102.F. Termination of Trading

Trading in an expiring futures contract shall terminate no later than 2:00 pm (CBOT Rule 51102.A.) on the

second London business day before the third Wednesday of the contract delivery month.
24

51103. DATE OF DELIVERY

Subject to CBOT Rules 51104., delivery on an expiring futures contract shall be made by a short IRS Clearing 

Member, and shall be taken by a long IRS Clearing Member, on the third Wednesday of the futures delivery 

month (CBOT Rule 51102.).

51103.A. IRS Effective Date

Such Date of Delivery shall be the Effective Date (CBOT Rule 51101.A.3.) of the IRS Contract that is delivered 

or accepted for delivery in fulfillment of such expiring futures contract.

51103.B. Acceptance Date and Clearing Effective Date

The first Clearing Business Day (CME Rule 90002.D.) preceding such Date of Delivery shall be the Acceptance 

Date (CME Rule 90002.B.) and the Clearing Effective Date (CME Rule 90002.E.) of the IRS Contract to be 

delivered or accepted for delivery in fulfillment of such expiring futures contract.

51104. DELIVERIES ON EXPIRING FUTURES CONTRACTS

51104.A. Requirements for Participation in Delivery 

For an account carried by a clearing member to make or accept delivery on an expiring futures contract, the 

holder of such account is required to be:

1. an Eligible Contract Participant, as that term is defined in Section 1a(18) of the Commodity Exchange 

Act (7 USC §1a(18) and 17 CFR 1.3(m)), and

2. either an IRS Clearing Member (CME Rule 90005.A.) or an IRS Participant registered with CME by an 

IRS Clearing Member (CME Rule 8F009. and CME Rule 90005.B.).

Subject to these requirements and to CBOT Rules 51104.B. and 51104.C., upon Termination of Trading in 

such expiring futures (CBOT Rule 51102.F.), the holder of each such account that holds a long interest in 

such futures contract shall be required to accept delivery from the Clearing House of IRS Contracts that meet 

Contract Grade (CBOT Rule 51101.A.), and the holder of each such account that holds a short interest in such 

futures contract shall be required to make delivery to the Clearing House of IRS Contracts that meet Contract 

Grade.

51104.B. IRS Product Account Registration 

Any IRS Contract delivered or accepted for delivery in fulfillment of an expiring futures contract must be 

identified with an IRS Product account number that identifies the holder of such IRS Product account, and that 

specifies whether such IRS Product account is either (1) a proprietary account of an IRS Clearing Member or 

(2) held by a customer registered with CME by an IRS Clearing Member as an IRS Participant (CME Rule 

8F009. and CME Rule 90005.B.). 

51104.C. Clearing Member Obligations in Delivery

Subject to the provisions of CBOT Rulebook Chapters 7, 8, and 9, as of the termination of trading in an expiring 

futures contract (CBOT Rule 51102.F.), each clearing member that carries accounts holding long or short 

interest in such expiring futures contract shall:

1. ensure that the requirements set forth in CBOT Rule 51104.A. are met.

2. in accord with the requirements set forth in CBOT Rule 51104.B., ensure that the holder of each such 

account has designated (a) the IRS Product account(s) in which the holder shall make or accept any 

deliveries on expiring futures contracts and (b) the IRS Clearing Member(s) carrying such IRS Product 

account(s).
25

3. ensure that any IRS Clearing Member carrying such IRS Product account(s) as may be designated 

pursuant to CBOT Rule 51104.C.2. has been notified of such designation.

4. obtain acknowledgement from each IRS Clearing Member designated pursuant to CBOT Rule 51104.C.2. 

that such IRS Clearing Member shall guarantee and assume complete responsibility for the performance 

of all delivery requirements in respect of such expiring futures (CBOT Rule 51104.E.).

Where a clearing member carries accounts holding interest both long and short in such expiring futures 

contract, the clearing member must fulfill these Rules 51104.C. so as to procure that delivery shall be made 

by all such accounts holding short interest and shall be accepted by all such accounts holding long interest.

51104.D. Clearing Member Reporting Obligations Prior to Delivery

Each clearing member that carries accounts holding long or short interest in an expiring futures contract shall 

report to the Clearing House, on each of the last 5 days of trading in such expiring futures, an accurate 

inventory of such long and short interest, in such manner and at such times as the Clearing House may 

prescribe, provided that such inventory must include, for each account holding long or short interest:

1. declaration of the number of expiring futures contracts held long, and the number of 

expiring futures contracts held short, in such account; 

2. confirmation whether such account meets, or does not meet, the requirements set forth in CBOT 

Rule 51104.A.; 

3. where such account meets the requirements set forth in CBOT Rule 51104.A., (a) the IRS

Product account number, and the IRS Product account origin (house or customer), and the IRS Clearing 

Member carrying such IRS Product account, as designated pursuant to CBOT Rule 51104.C.2., and (b) 

confirmation that such IRS Clearing Member has been notified as required by CBOT Rule 51104.C.3., 

and has made such acknowledgements as are required by CBOT Rule 51104.C.4.

51104.E. Notification of IRS Clearing Members in Delivery

Following the termination of trading in an expiring futures contract (CBOT Rule 51102.F.), the Clearing House 

shall notify each IRS Clearing Member carrying one or more IRS Product accounts that are required to make 

or accept delivery in fulfillment of such expiring futures, as designated pursuant to CBOT Rules 51104.C. For 

each such IRS Clearing Member, such Clearing House notification shall include:

1. identification of IRS Product accounts, carried by such IRS Clearing Member, that are required to accept 

delivery on long futures positions; the size of each such long futures position; and the identity of the 

clearing member firm(s) carrying the account(s) in which each such long futures position is held; and /or

2. identification of IRS Product Accounts, carried by such IRS Clearing Member, that are required to make 

delivery on short futures positions; the size of each such short futures position; and the identity of the 

clearing member firm(s) carrying the account(s) in which each such short futures position is held.

51104.F. IRS Clearing Member Obligations in Delivery 
26

In the event that an IRS Clearing Member disputes such notification of delivery on expiring futures as it may 

receive from the Clearing House, pursuant to CBOT Rule 51104.E., such IRS Clearing Member shall promptly 

notify the Clearing House, and the dispute must be settled no later than 12:30 p.m. Chicago time on the 

Acceptance Date and Clearing Effective Date for delivery in fulfillment of such expiring futures (CBOT Rule 

51103.B.), 

As of 12:30 p.m. Chicago time on the Acceptance Date and Clearing Effective Date for delivery in fulfillment 

of an expiring futures, an IRS Clearing Member who carries an IRS Product account that is required to make 

or accept delivery on such expiring futures contract (CBOT Rules 51104.A, 51104.B., 51104.C., 51104.D. and 

51104.E.) shall guarantee and assume complete responsibility for the performance of all delivery requirements 

set forth in the Rules.

51104.G. Clearing House Financial Safeguards 

A futures contract made under these Rules shall be a Base Guaranty Fund Product subject to the Clearing 

House financial safeguards provided by the General Guarantee Fund (CME Rule 802.A.). 

An IRS Contract that is delivered or accepted for delivery in fulfillment of a futures contract made under these 

Rules shall be an IRS Product subject to the Clearing House financial safeguards provided by the IRS 

Guaranty Fund (CME Rule 8G07.).

51105. [RESERVED]

51106. [RESERVED]

51107. PAYMENT

Where an Initial Payment Amount is required in fulfillment of delivery on an expiring futures contract (CBOT 

Rule 51101.B.), an IRS Clearing Member that is determined as an Initial Payment Payer shall pay to the 

Clearing House, and an IRS Clearing Member that is determined as the receiver of an Initial Payment Amount 

shall receive from the Clearing House, an amount equal to such Initial Payment Amount on the Date of Delivery 

(CBOT Rule 51103.) at such time as the Clearing House may designate.

If such Initial Payment Amount is equal to or greater than $100,000,000, then the IRS Clearing Member that 

is determined as the Initial Payment Payer shall pay such Initial Payment Amount to the Clearing House no 

later than 6:00pm on the Acceptance Date of the IRS Contracts that are delivered, and accepted for delivery, 

in fulfillment of such expiring futures contract (CBOT Rule 51103.B. and CME Rule 90102.C.)

Chapter 52

5-Year US Dollar Interest Rate Swap Futures

52100. SCOPE OF CHAPTER

This chapter is limited in application to trading of 5-Year US Dollar Interest Rate Swap (“USD IRS”) futures. 

The procedures for trading, clearing, delivery, and settlement, and any other matters not specifically covered 

herein, shall be governed by the general rules of the Exchange (“Rules”).

Capitalized terms in this Chapter that are not otherwise defined in this Chapter shall have the meanings given 

to such terms in the other Chapters of the Rules. Capitalized terms in this Chapter that are not otherwise 

defined in either this Chapter or the other Chapters of the Rules shall have the meanings set forth in the ISDA 

Definitions (Chicago Mercantile Exchange (“CME”) Rule 90002.N.).

All times referenced in this chapter are Chicago times and are subject to change by the Exchange.

52101. CONTRACT SPECIFICATIONS

52101.A. Contract Grade

The contract grade for delivery on expiring futures made under these Rules shall be an Interest Rate Swap 

Contract (“IRS Contract” per CME Rule 90002.J.) that is accepted for clearing by the Clearing House (CME 

Rulebook Chapters 8F, 8G, 900, and 901) and that is subject to the following Contract Elections (CME Rule 

90002.F.):
27

 1. Fixed Rate Payer: Subject to CBOT Rules 52104., an account required to deliver on a short 

position in such expiring futures contract shall be the Fixed Rate Payer to 

the Clearing House. Where such account is required to accept delivery 

on a long position in such expiring futures contract, the Clearing House 

shall be the Fixed Rate Payer to such account.

 2. Floating Rate Payer: Subject to CBOT Rules 52104., an account required to accept delivery 

on a long position in such expiring futures contract shall be the Floating 

Rate Payer to the Clearing House. Where such account is required to 

deliver on a short position in such expiring futures contract, the Clearing 

House shall be the Floating Rate Payer to such account.

3. IRS Effective Date: Third (3rd) Wednesday of futures contract delivery month

(CBOT Rules 52102. and 52103.A.).

4. Currency: US dollars (CME Rule 90102.B.).

5. Notional Amount: $100,000.

6. Business Day(s): New York and London.

7. Business Day Convention: Modified Following.

8. Termination Date: Fifth (5th) anniversary of IRS Effective Date.

(CBOT Rule 52101.A.3.).

9. Initial Payment Amount: See CBOT Rule 52101.B.

10. Initial Amount Payer: See CBOT Rule 52101.B.

11. Fixed Rate Payment Dates: Semiannually from IRS Effective Date (CBOT Rule 52101.A.3.) subject 

to CBOT Rules 52101.A.6. and 52101.A.7. 

12. Fixed Rate: Futures contract fixed interest rate set by the Exchange at an integer 

multiple of 25 basis points (ie, one quarter of one percent) per annum 

when such futures contract is initially listed for trading (CBOT Rule 

52102.).

13. Fixed Rate Day Count: 30/360.

14. Floating Rate Payment Dates: Quarterly from IRS Effective Date (CBOT Rule 52101.A.3.) subject

to CBOT Rules 21101.A.6. and 52101.A.7. 

15. Floating Rate Option: USD-LIBOR-BBA (CME Rule 90102.E.1.).

16. Designated Maturity: Three (3) months.

17. Floating Rate Day Count: Actual/360.

18. Spread: None.

19. Compounding: None.

52101.B. Physical Delivery

Each individual futures contract lot that is delivered shall be an IRS Contract (CME Rule 90002.J.) that 

meets Contract Grade (CBOT Rule 52101.A.).

For an IRS Clearing Member carrying an account that is required to make or accept delivery on an expiring 

futures contract (CBOT Rules 52104.), the IRS Initial Payment Amount (CBOT Rule 52101.A.9.) due upon 

delivery (CBOT Rule 52103.) of such IRS Contract, and the Initial Amount Payer (CBOT Rule 52101.A.10.), 

shall be determined as follows:

Define P as the Final Settlement Price (CBOT Rule 812.) of an expiring futures contract, as determined by the 

Exchange at such contract’s Termination of Trading (CBOT Rule 52102.F.), where such Final Settlement Price 

is expressed in points and fractions of points, with par on the basis of 100 points (Rule 52102.C.).

4. If P is greater than 100 points, then the long IRS Clearing Member taking delivery shall pay to the Clearing 

House, and the short IRS Clearing Member making delivery shall receive from the Clearing House, an 

Initial Payment Amount equal to: 

($1,000 per point) x (P points minus 100 points) per contract.
28

5. Else, if P is less than or equal to 100 points, then the short IRS Clearing Member making delivery shall 

pay to the Clearing House, and the long IRS Clearing Member taking delivery shall receive from the 

Clearing House, an Initial Payment Amount equal to: 

($1,000 per point) x (100 points minus P points) per contract.

6. For each individual contract lot that is delivered, such Initial Payment Amount shall be rounded to the 

nearest cent, with half-cents rounded up to the nearest cent.

Example: For a hypothetical expiring futures contract, assume the final settlement price P is 100-205 (ie, 100 

and 20.5/32nds or 100.640625 points). On the third Wednesday of the contract Delivery Month the holder of a 

long futures position taking delivery (the Floating Rate Payer in the delivered IRS Contract) shall pay to the 

Clearing House an Initial Payment Amount of $640.63 per contract, equal to ($1,000 per point) x (100.640625 

points minus 100 points), or $640.625 (CBOT Rule 52101.B.1.) rounded up to the nearest penny (CBOT Rule 

52101.B.3.). Conversely, the holder of a short futures position making delivery (the Fixed Rate Payer in the 

delivered IRS Contract) shall receive from the Clearing House an Initial Payment Amount of $640.63 per 

contract.

52102. TRADING SPECIFICATIONS

The number of contract delivery months open for trading at a given time shall be determined by the Exchange. 

Without limitation to the foregoing, the Exchange customarily shall list for trading futures contracts for delivery 

in at least each of the two nearest months in the March-June-September-December quarterly cycle.

For a given futures contract for a given delivery month, the Exchange shall determine the value of the Fixed 

Rate that shall standardize the Contract Grade for such futures contract (CBOT Rule 52101.A.12.). The 

Exchange also shall determine whether, and when, to list for trading any additional futures contract(s) for such 

delivery month that are standardized to Fixed Rate value(s) different to the Fixed Rate value of such futures 

contract.

52102.A. Trading Schedule

The hours of trading shall be determined by the Exchange. On the last day of trading in an expiring contract 

(CBOT Rule 52102.F.), the close of the expiring contract shall begin at 1:59 pm, and trading shall be permitted 

thereafter for a period not to exceed one minute.

52102.B. Trading Unit

The unit of trading shall be IRS Contracts that meet Contract Grade (CBOT Rule 52101.A.) having notional 

amount of one hundred thousand US dollars ($100,000) or multiples thereof.

52102.C. Price Increments

Par shall be on the basis of 100 points, with each point equal to $1,000 per contract. The minimum price 

fluctuation shall be one-quarter of one thirty-second (1/4 of 1/32nd) of one point (equal to $7.8125 per contract). 

Contracts shall not be made on any other price basis.

52102.D. 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 Table in the Interpretations & Special Notices 

Section of Chapter 5.

52102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth in 

the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special Notices 

Section of Chapter 5.

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 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.

52102.F. Termination of Trading

Trading in an expiring futures contract shall terminate no later than 2:00 pm (CBOT Rule 52102.A.) on the 

second London business day before the third Wednesday of the contract delivery month.

52103. DATE OF DELIVERY
29

Subject to CBOT Rules 52104., delivery on an expiring futures contract shall be made by a short IRS Clearing 

Member, and shall be taken by a long IRS Clearing Member, on the third Wednesday of the futures delivery 

month (CBOT Rule 52102.).

52103.A. IRS Effective Date

Such Date of Delivery shall be the Effective Date (CBOT Rule 52101.A.3.) of the IRS Contract that is delivered 

or accepted for delivery in fulfillment of such expiring futures contract.

52103.B. Acceptance Date and Clearing Effective Date

The first Clearing Business Day (CME Rule 90002.D.) preceding such Date of Delivery shall be the Acceptance 

Date (CME Rule 90002.B.) and the Clearing Effective Date (CME Rule 90002.E.) of the IRS Contract to be 

delivered or accepted for delivery in fulfillment of such expiring futures contract.

52104. DELIVERIES ON EXPIRING FUTURES CONTRACTS

52104.A. Requirements for Participation in Delivery 

For an account carried by a clearing member to make or accept delivery on an expiring futures contract, the 

holder of such account is required to be:

1. an Eligible Contract Participant, as that term is defined in Section 1a(18) of the Commodity Exchange 

Act (7 USC §1a(18) and 17 CFR 1.3(m)), and

2. either an IRS Clearing Member (CME Rule 90005.A.) or an IRS Participant registered with CME by an 

IRS Clearing Member (CME Rule 8F009. and CME Rule 90005.B.).

Subject to these requirements and to CBOT Rules 52104.B. and 52104.C., upon Termination of Trading in 

such expiring futures (CBOT Rule 52102.F.), the holder of each such account that holds a long interest in 

such futures contract shall be required to accept delivery from the Clearing House of IRS Contracts that meet 

Contract Grade (CBOT Rule 52101.A.), and the holder of each such account that holds a short interest in such 

futures contract shall be required to make delivery to the Clearing House of IRS Contracts that meet Contract 

Grade.

52104.B. IRS Product Account Registration 

Any IRS Contract delivered or accepted for delivery in fulfillment of an expiring futures contract must be 

identified with an IRS Product account number that identifies the holder of such IRS Product account, and that 

specifies whether such IRS Product account is either (1) a proprietary account of an IRS Clearing Member or 

(2) held by a customer registered with CME by an IRS Clearing Member as an IRS Participant (CME Rule 

8F009. and CME Rule 90005.B.). 

52104.C. Clearing Member Obligations in Delivery

Subject to the provisions of CBOT Rulebook Chapters 7, 8, and 9, as of the termination of trading in an expiring 

futures contract (CBOT Rule 52102.F.), each clearing member that carries accounts holding long or short 

interest in such expiring futures contract shall: 

1. ensure that the requirements set forth in CBOT Rule 52104.A. are met.

2. in accord with the requirements set forth in CBOT Rule 52104.B., ensure that the holder of each such 

account has designated (a) the IRS Product account(s) in which the holder shall make or accept any 

deliveries on expiring futures contracts and (b) the IRS Clearing Member(s) carrying such IRS Product 

account(s). 

3. ensure that any IRS Clearing Member carrying such IRS Product account(s) as may be designated 

pursuant to CBOT Rule 52104.C.2. has been notified of such designation.

4. obtain acknowledgement from each IRS Clearing Member designated pursuant to CBOT Rule 52104.C.2. 

that such IRS Clearing Member shall guarantee and assume complete responsibility for the performance 

of all delivery requirements in respect of such expiring futures (CBOT Rule 52104.E.).

Where a clearing member carries accounts holding interest both long and short in such expiring futures 

contract, the clearing member must fulfill these Rules 52104.C. so as to procure that delivery shall be made 

by all such accounts holding short interest and shall be accepted by all such accounts holding long interest.

52104.D. Clearing Member Reporting Obligations Prior to Delivery 

Each clearing member that carries accounts holding long or short interest in an expiring futures contract shall 

report to the Clearing House, on each of the last 5 days of trading in such expiring futures, an accurate 
30

inventory of such long and short interest, in such manner and at such times as the Clearing House may 

prescribe, provided that such inventory must include, for each account holding long or short interest: 

1. declaration of the number of expiring futures contracts held long, and the number of expiring futures 

contracts held short, in such account; 

2. confirmation whether such account meets, or does not meet, the requirements set forth in CBOT Rule 

52104.A.; 

3. where such account meets the requirements set forth in CBOT Rule 52104.A., (a) the IRS

Product account number, and the IRS Product account origin (house or customer), and the IRS Clearing 

Member carrying such IRS Product account, as designated pursuant to CBOT Rule 52104.C.2., and (b) 

confirmation that such IRS Clearing Member has been notified as required by CBOT Rule 52104.C.3., 

and has made such acknowledgements as are required by CBOT Rule 52104.C.4.

52104.E. Notification of IRS Clearing Members in Delivery

Following the termination of trading in an expiring futures contract (CBOT Rule 52102.F.), the Clearing House 

shall notify each IRS Clearing Member carrying one or more IRS Product accounts that are required to make 

or accept delivery in fulfillment of such expiring futures, as designated pursuant to CBOT Rules 52104.C. For 

each such IRS Clearing Member, such Clearing House notification shall include:

1. identification of IRS Product accounts, carried by such IRS Clearing Member, that are required to accept 

delivery on long futures positions; the size of each such long futures position; and the identity of the 

clearing member firm(s) carrying the account(s) in which each such long futures position is held; and /or

2. identification of IRS Product Accounts, carried by such IRS Clearing Member, that are required to make 

delivery on short futures positions; the size of each such short futures position; and the identity of the 

clearing member firm(s) carrying the account(s) in which each such short futures position is held.

52104.F. IRS Clearing Member Obligations in Delivery 

In the event that an IRS Clearing Member disputes such notification of delivery on expiring futures as it may 

receive from the Clearing House, pursuant to CBOT Rule 52104.E., such IRS Clearing Member shall promptly 

notify the Clearing House, and the dispute must be settled no later than 12:30 p.m. Chicago time on the 

Acceptance Date and Clearing Effective Date for delivery in fulfillment of such expiring futures (CBOT Rule 

52103.B.), 

As of 12:30 p.m. Chicago time on the Acceptance Date and Clearing Effective Date for delivery in fulfillment 

of an expiring futures, an IRS Clearing Member who carries an IRS Product account that is required to make 

or accept delivery on such expiring futures contract (CBOT Rules 52104.A, 52104.B., 52104.C., 52104.D. and 

52104.E.) shall guarantee and assume complete responsibility for the performance of all delivery requirements 

set forth in the Rules.

52104.G. Clearing House Financial Safeguards 

A futures contract made under these Rules shall be a Base Guaranty Fund Product subject to the Clearing 

House financial safeguards provided by the General Guarantee Fund (CME Rule 802.A.). 

An IRS Contract that is delivered or accepted for delivery in fulfillment of a futures contract made under these 

Rules shall be an IRS Product subject to the Clearing House financial safeguards provided by the IRS 

Guaranty Fund (CME Rule 8G07.).

52105. (RESERVED)

52106. (RESERVED)

52107. PAYMENT

Where an Initial Payment Amount is required in fulfillment of delivery on an expiring futures contract (CBOT 

Rule 52101.B.), an IRS Clearing Member that is determined as an Initial Payment Payer shall pay to the 

Clearing House, and an IRS Clearing Member that is determined as the receiver of an Initial Payment Amount 

shall receive from the Clearing House, an amount equal to such Initial Payment Amount on the Date of Delivery 

(CBOT Rule 52103.) at such time as the Clearing House may designate.

If such Initial Payment Amount is equal to or greater than $100,000,000, then the IRS Clearing Member that 

is determined as the Initial Payment Payer shall pay such Initial Payment Amount to the Clearing House no 

later than 6:00pm on the Acceptance Date of the IRS Contracts that are delivered, and accepted for delivery, 

in fulfillment of such expiring futures contract (CBOT Rule 52103.B. and CME Rule 90102.C.)
31

Chapter 53

10-Year US Dollar Interest Rate Swap Futures

53100. SCOPE OF CHAPTER

This chapter is limited in application to trading of 10-Year US Dollar Interest Rate Swap (“USD IRS”) futures. 

The procedures for trading, clearing, delivery, and settlement, and any other matters not specifically covered 

herein, shall be governed by the general rules of the Exchange (“Rules”).

Capitalized terms in this Chapter that are not otherwise defined in this Chapter shall have the meanings given 

to such terms in the other Chapters of the Rules. Capitalized terms in this Chapter that are not otherwise 

defined in either this Chapter or the other Chapters of the Rules shall have the meanings set forth in the ISDA 

Definitions (Chicago Mercantile Exchange (“CME”) Rule 90002.N.).

All times referenced in this chapter are Chicago times and are subject to change by the Exchange.

53101. CONTRACT SPECIFICATIONS

53101.A. Contract Grade

The contract grade for delivery on expiring futures made under these Rules shall be an Interest Rate Swap 

Contract (“IRS Contract” per CME Rule 90002.J.) that is accepted for clearing by the Clearing House (CME 

Rulebook Chapters 8F, 8G, 900, and 901) and that is subject to the following Contract Elections (CME Rule 

90002.F.):

 1. Fixed Rate Payer: Subject to CBOT Rules 53104., an account required to deliver on a short 

position in such expiring futures contract shall be the Fixed Rate Payer to 

the Clearing House. Where such account is required to accept delivery 

on a long position in such expiring futures contract, the Clearing House 

shall be the Fixed Rate Payer to such account.

 2. Floating Rate Payer: Subject to CBOT Rules 53104., an account required to accept delivery 

on a long position in such expiring futures contract shall be the Floating 

Rate Payer to the Clearing House. Where such account is required to 

deliver on a short position in such expiring futures contract, the Clearing 

House shall be the Floating Rate Payer to such account.

3. IRS Effective Date: Third (3rd) Wednesday of futures contract delivery month

(CBOT Rules 53102. and 53103.A.).

4. Currency: US dollars (CME Rule 90102.B.).

5. Notional Amount: $100,000.

6. Business Day(s): New York and London.

7. Business Day Convention: Modified Following.

8. Termination Date: Tenth (10th) anniversary of IRS Effective Date.

(CBOT Rule 53101.A.3.).

9. Initial Payment Amount: See CBOT Rule 53101.B.
32

10. Initial Amount Payer: See CBOT Rule 53101.B.

11. Fixed Rate Payment Dates: Semiannually from IRS Effective Date (CBOT Rule 53101.A.3.) subject 

to CBOT Rules 53101.A.6. and 53101.A.7. 

12. Fixed Rate: Futures contract fixed interest rate set by the Exchange at an integer 

multiple of 25 basis points (ie, one quarter of one percent) per annum 

when such futures contract is initially listed for trading (CBOT Rule 

53102.).

13. Fixed Rate Day Count: 30/360.

14. Floating Rate Payment Dates: Quarterly from IRS Effective Date (CBOT Rule 53101.A.3.) subject

to CBOT Rules 53101.A.6. and 53101.A.7. 

15. Floating Rate Option: USD-LIBOR-BBA (CME Rule 90102.E.1.).

16. Designated Maturity: Three (3) months.

17. Floating Rate Day Count: Actual/360.

18. Spread: None.

19. Compounding: None.

53101.B. Physical Delivery

Each individual futures contract lot that is delivered shall be an IRS Contract (CME Rule 90002.J.) that 

meets Contract Grade (CBOT Rule 53101.A.).

For an IRS Clearing Member carrying an account that is required to make or accept delivery on an expiring 

futures contract (CBOT Rules 53104.), the IRS Initial Payment Amount (CBOT Rule 53101.A.9.) due upon 

delivery (CBOT Rule 53103.) of such IRS Contract, and the Initial Amount Payer (CBOT Rule 53101.A.10.), 

shall be determined as follows:

Define P as the Final Settlement Price (CBOT Rule 812.) of an expiring futures contract, as determined by the 

Exchange at such contract’s Termination of Trading (CBOT Rule 53102.F.), where such Final Settlement Price 

is expressed in points and fractions of points, with par on the basis of 100 points (Rule 53102.C.).

7. If P is greater than 100 points, then the long IRS Clearing Member taking delivery shall pay to the 

Clearing House, and the short IRS Clearing Member making delivery shall receive from the Clearing 

House, an Initial Payment Amount equal to: 

($1,000 per point) x (P points minus 100 points) per contract.

8. Else, if P is less than or equal to 100 points, then the short IRS Clearing Member making delivery 

shall pay to the Clearing House, and the long IRS Clearing Member taking delivery shall receive from 

the Clearing House, an Initial Payment Amount equal to: 

($1,000 per point) x (100 points minus P points) per contract.

9. For each individual contract lot that is delivered, such Initial Payment Amount shall be rounded to the 

nearest cent, with half-cents rounded up to the nearest cent.
33

Example: For a hypothetical expiring futures contract, assume the final settlement price P is 100-205 (ie, 100 

and 20.5/32nds or 100.640625 points). On the third Wednesday of the contract Delivery Month the holder of a 

long futures position taking delivery (the Floating Rate Payer in the delivered IRS Contract) shall pay to the 

Clearing House an Initial Payment Amount of $640.63 per contract, equal to ($1,000 per point) x (100.640625 

points minus 100 points), or $640.625 (CBOT Rule 53101.B.1.) rounded up to the nearest penny (CBOT Rule 

53101.B.3.). Conversely, the holder of a short futures position making delivery (the Fixed Rate Payer in the 

delivered IRS Contract) shall receive from the Clearing House an Initial Payment Amount of $640.63 per 

contract.

53102. TRADING SPECIFICATIONS

The number of contract delivery months open for trading at a given time shall be determined by the Exchange. 

Without limitation to the foregoing, the Exchange customarily shall list for trading futures contracts for delivery 

in at least each of the two nearest months in the March-June-September-December quarterly cycle.

For a given futures contract for a given delivery month, the Exchange shall determine the value of the Fixed 

Rate that shall standardize the Contract Grade for such futures contract (CBOT Rule 53101.A.12.). The 

Exchange also shall determine whether, and when, to list for trading any additional futures contract(s) for such 

delivery month that are standardized to Fixed Rate value(s) different to the Fixed Rate value of such futures 

contract.

53102.A. Trading Schedule

The hours of trading shall be determined by the Exchange. On the last day of trading in an expiring contract 

(CBOT Rule 53102.F.), the close of the expiring contract shall begin at 1:59 pm, and trading shall be permitted 

thereafter for a period not to exceed one minute.

53102.B. Trading Unit

The unit of trading shall be IRS Contracts that meet Contract Grade (CBOT Rule 53101.A.) having notional 

amount of one hundred thousand US dollars ($100,000) or multiples thereof.

53102.C. Price Increments

Par shall be on the basis of 100 points, with each point equal to $1,000 per contract. The minimum price 

fluctuation shall be one-half of one thirty-second (1/2 of 1/32nd) of one point (equal to $15.625 per contract), 

except for intermonth spreads for which the minimum price fluctuation shall be one-quarter of one thirty-second 

(1/4 of 1/32nd) of one point (equal to $7.8125 per contract). Contracts shall not be made on any other price 

basis.

53102.D. 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 Table in the Interpretations & Special Notices 

Section of Chapter 5.

53102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth in 

the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special Notices 

Section of Chapter 5.

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 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.

53102.F. Termination of Trading

Trading in an expiring futures contract shall terminate no later than 2:00 pm (CBOT Rule 53102.A.) on the 

second London business day before the third Wednesday of the contract delivery month.
34

53103. DATE OF DELIVERY

Subject to CBOT Rules 53104., delivery on an expiring futures contract shall be made by a short IRS Clearing 

Member, and shall be taken by a long IRS Clearing Member, on the third Wednesday of the futures delivery 

month (CBOT Rule 53102.).

53103.A. IRS Effective Date

Such Date of Delivery shall be the Effective Date (CBOT Rule 53101.A.3.) of the IRS Contract that is delivered 

or accepted for delivery in fulfillment of such expiring futures contract.

53103.B. Acceptance Date and Clearing Effective Date

The first Clearing Business Day (CME Rule 90002.D.) preceding such Date of Delivery shall be the Acceptance 

Date (CME Rule 90002.B.) and the Clearing Effective Date (CME Rule 90002.E.) of the IRS Contract to be 

delivered or accepted for delivery in fulfillment of such expiring futures contract.

53104. DELIVERIES ON EXPIRING FUTURES CONTRACTS

53104.A. Requirements for Participation in Delivery 

For an account carried by a clearing member to make or accept delivery on an expiring futures contract, the 

holder of such account is required to be:

1. an Eligible Contract Participant, as that term is defined in Section 1a(18) of the Commodity 

Exchange Act (7 USC §1a(18) and 17 CFR 1.3(m)), and

2. either an IRS Clearing Member (CME Rule 90005.A.) or an IRS Participant registered with 

CME by an IRS Clearing Member (CME Rule 8F009. and CME Rule 90005.B.).

Subject to these requirements and to CBOT Rules 53104.B. and 53104.C., upon Termination of Trading in 

such expiring futures (CBOT Rule 53102.F.), the holder of each such account that holds a long interest in 

such futures contract shall be required to accept delivery from the Clearing House of IRS Contracts that meet 

Contract Grade (CBOT Rule 53101.A.), and the holder of each such account that holds a short interest in such 

futures contract shall be required to make delivery to the Clearing House of IRS Contracts that meet Contract 

Grade.

53104.B. IRS Product Account Registration 

Any IRS Contract delivered or accepted for delivery in fulfillment of an expiring futures contract must be 

identified with an IRS Product account number that identifies the holder of such IRS Product account, and that 

specifies whether such IRS Product account is either (1) a proprietary account of an IRS Clearing Member or 

(2) held by a customer registered with CME by an IRS Clearing Member as an IRS Participant (CME Rule 

8F009. and CME Rule 90005.B.). 

53104.C. Clearing Member Obligations in Delivery

Subject to the provisions of CBOT Rulebook Chapters 7, 8, and 9, as of the termination of trading in an expiring 

futures contract (CBOT Rule 53102.F.), each clearing member that carries accounts holding long or short 

interest in such expiring futures contract shall:

1. ensure that the requirements set forth in CBOT Rule 53104.A. are met.

2. in accord with the requirements set forth in CBOT Rule 53104.B., ensure that the holder of 

each such account has designated (a) the IRS Product account(s) in which the holder shall 
35

make or accept any deliveries on expiring futures contracts and (b) the IRS Clearing 

Member(s) carrying such IRS Product account(s).

3. ensure that any IRS Clearing Member carrying such IRS Product account(s) as may be 

designated pursuant to CBOT Rule 53104.C.2. has been notified of such designation.

4. obtain acknowledgement from each IRS Clearing Member designated pursuant to CBOT Rule 

53104.C.2. that such IRS Clearing Member shall guarantee and assume complete 

responsibility for the performance of all delivery requirements in respect of such expiring futures 

(CBOT Rule 53104.E.).

Where a clearing member carries accounts holding interest both long and short in such expiring futures 

contract, the clearing member must fulfill these Rules 53104.C. so as to procure that delivery shall be made 

by all such accounts holding short interest and shall be accepted by all such accounts holding long interest.

53104.D. Clearing Member Reporting Obligations Prior to Delivery

Each clearing member that carries accounts holding long or short interest in an expiring futures contract shall 

report to the Clearing House, on each of the last 5 days of trading in such expiring futures, an accurate 

inventory of such long and short interest, in such manner and at such times as the Clearing House may 

prescribe, provided that such inventory must include, for each account holding long or short interest: 

1. declaration of the number of expiring futures contracts held long, and the number of 

expiring futures contracts held short, in such account; 

2. confirmation whether such account meets, or does not meet, the requirements set forth in CBOT 

Rule 53104.A.; 

3. where such account meets the requirements set forth in CBOT Rule 53104.A., (a) the IRS Product 

account number, and the IRS Product account origin (house or customer), and the IRS Clearing 

Member carrying such IRS Product account, as designated pursuant to CBOT Rule 53104.C.2., and 

(b) confirmation that such IRS Clearing Member has been notified as required by CBOT Rule 

53104.C.3., and has made such acknowledgements as are required by CBOT Rule 53104.C.4.

53104.E. Notification of IRS Clearing Members in Delivery

Following the termination of trading in an expiring futures contract (CBOT Rule 53102.F.), the Clearing House 

shall notify each IRS Clearing Member carrying one or more IRS Product accounts that are required to make 

or accept delivery in fulfillment of such expiring futures, as designated pursuant to CBOT Rules 53104.C. For 

each such IRS Clearing Member, such Clearing House notification shall include:

1. identification of IRS Product accounts, carried by such IRS Clearing Member, that are required to 

accept delivery on long futures positions; the size of each such long futures position; and the identity 

of the clearing member firm(s) carrying the account(s) in which each such long futures position is 

held; and /or
36

2. identification of IRS Product Accounts, carried by such IRS Clearing Member, that are required to 

make delivery on short futures positions; the size of each such short futures position; and the identity 

of the clearing member firm(s) carrying the account(s) in which each such short futures position is 

held.

53104.F. IRS Clearing Member Obligations in Delivery 

In the event that an IRS Clearing Member disputes such notification of delivery on expiring futures as it may 

receive from the Clearing House, pursuant to CBOT Rule 53104.E., such IRS Clearing Member shall promptly 

notify the Clearing House, and the dispute must be settled no later than 12:30 p.m. Chicago time on the 

Acceptance Date and Clearing Effective Date for delivery in fulfillment of such expiring futures (CBOT Rule 

53103.B.), 

As of 12:30 p.m. Chicago time on the Acceptance Date and Clearing Effective Date for delivery in fulfillment 

of an expiring futures, an IRS Clearing Member who carries an IRS Product account that is required to make 

or accept delivery on such expiring futures contract (CBOT Rules 53104.A, 53104.B., 53104.C., 53104.D. and 

53104.E.) shall guarantee and assume complete responsibility for the performance of all delivery requirements 

set forth in the Rules.

53104.G. Clearing House Financial Safeguards 

A futures contract made under these Rules shall be a Base Guaranty Fund Product subject to the Clearing 

House financial safeguards provided by the General Guarantee Fund (CME Rule 802.A.). 

An IRS Contract that is delivered or accepted for delivery in fulfillment of a futures contract made under these 

Rules shall be an IRS Product subject to the Clearing House financial safeguards provided by the IRS 

Guaranty Fund (CME Rule 8G07.). 

53105. [RESERVED]

53106. [RESERVED]

53107. PAYMENT

Where an Initial Payment Amount is required in fulfillment of delivery on an expiring futures contract (CBOT 

Rule 53101.B.), an IRS Clearing Member that is determined as an Initial Payment Payer shall pay to the 

Clearing House, and an IRS Clearing Member that is determined as the receiver of an Initial Payment Amount 

shall receive from the Clearing House, an amount equal to such Initial Payment Amount on the Date of Delivery 

(CBOT Rule 53103.) at such time as the Clearing House may designate.

If such Initial Payment Amount is equal to or greater than $100,000,000, then the IRS Clearing Member that 

is determined as the Initial Payment Payer shall pay such Initial Payment Amount to the Clearing House no 

later than 6:00pm on the Acceptance Date of the IRS Contracts that are delivered, and accepted for delivery, 

in fulfillment of such expiring futures contract (CBOT Rule 53103.B. and CME Rule 90102.C.)

Chapter 54

30-Year US Dollar Interest Rate Swap Futures

54100. SCOPE OF CHAPTER

This chapter is limited in application to trading of 30-Year US Dollar Interest Rate Swap (“USD IRS”) futures. 

The procedures for trading, clearing, delivery, and settlement, and any other matters not specifically covered 

herein, shall be governed by the general rules of the Exchange (“Rules”).

Capitalized terms in this Chapter that are not otherwise defined in this Chapter shall have the meanings given 

to such terms in the other Chapters of the Rules. Capitalized terms in this Chapter that are not otherwise 

defined in either this Chapter or the other Chapters of the Rules shall have the meanings set forth in the ISDA 

Definitions (Chicago Mercantile Exchange (“CME”) Rule 90002.N.).
37

All times referenced in this chapter are Chicago times and are subject to change by the Exchange.

54101. CONTRACT SPECIFICATIONS

54101.A. Contract Grade

The contract grade for delivery on expiring futures made under these Rules shall be an Interest Rate Swap 

Contract (“IRS Contract” per CME Rule 90002.J.) that is accepted for clearing by the Clearing House (CME 

Rulebook Chapters 8F, 8G, 900, and 901) and that is subject to the following Contract Elections (CME Rule 

90002.F.):

 1. Fixed Rate Payer: Subject to CBOT Rules 54104., an account required to deliver on a short 

position in such expiring futures contract shall be the Fixed Rate Payer to 

the Clearing House. Where such account is required to accept delivery 

on a long position in such expiring futures contract, the Clearing House 

shall be the Fixed Rate Payer to such account.

 2. Floating Rate Payer: Subject to CBOT Rules 54104., an account required to accept delivery 

on a long position in such expiring futures contract shall be the Floating 

Rate Payer to the Clearing House. Where such account is required to 

deliver on a short position in such expiring futures contract, the Clearing 

House shall be the Floating Rate Payer to such account.

3. IRS Effective Date: Third (3rd) Wednesday of futures contract delivery month

(CBOT Rules 54102. and 54103.A.).

4. Currency: US dollars (CME Rule 90102.B.).

5. Notional Amount: $100,000.

6. Business Day(s): New York and London.

7. Business Day Convention: Modified Following.

8. Termination Date: Thirtieth (30th) anniversary of IRS Effective Date.

(CBOT Rule 54101.A.3.).

9. Initial Payment Amount: See CBOT Rule 54101.B.

10. Initial Amount Payer: See CBOT Rule 54101.B.

11. Fixed Rate Payment Dates: Semiannually from IRS Effective Date (CBOT Rule 54101.A.3.) subject 

to CBOT Rules 54101.A.6. and 54101.A.7. 

12. Fixed Rate: Futures contract fixed interest rate set by the Exchange at an integer 

multiple of 25 basis points (ie, one quarter of one percent) per annum 

when such futures contract is initially listed for trading (CBOT Rule 

54102.).

13. Fixed Rate Day Count: 30/360.

14. Floating Rate Payment Dates: Quarterly from IRS Effective Date (CBOT Rule 54101.A.3.) subject

to CBOT Rules 54101.A.6. and 54101.A.7. 
38

15. Floating Rate Option: USD-LIBOR-BBA (CME Rule 90102.E.1.).

16. Designated Maturity: Three (3) months.

17. Floating Rate Day Count: Actual/360.

18. Spread: None.

19. Compounding: None.

54101.B. Physical Delivery

Each individual futures contract lot that is delivered shall be an IRS Contract (CME Rule 90002.J.) that 

meets Contract Grade (CBOT Rule 54101.A.).

For an IRS Clearing Member carrying an account that is required to make or accept delivery on an expiring 

futures contract (CBOT Rules 54104.), the IRS Initial Payment Amount (CBOT Rule 54101.A.9.) due upon 

delivery (CBOT Rule 54103.) of such IRS Contract, and the Initial Amount Payer (CBOT Rule 54101.A.10.), 

shall be determined as follows:

Define P as the Final Settlement Price (CBOT Rule 812.) of an expiring futures contract, as determined by the 

Exchange at such contract’s Termination of Trading (CBOT Rule 54102.F.), where such Final Settlement Price 

is expressed in points and fractions of points, with par on the basis of 100 points (Rule 54102.C.).

10. If P is greater than 100 points, then the long IRS Clearing Member taking delivery shall pay to the 

Clearing House, and the short IRS Clearing Member making delivery shall receive from the Clearing 

House, an Initial Payment Amount equal to: 

($1,000 per point) x (P points minus 100 points) per contract.

11. Else, if P is less than or equal to 100 points, then the short IRS Clearing Member making delivery 

shall pay to the Clearing House, and the long IRS Clearing Member taking delivery shall receive from 

the Clearing House, an Initial Payment Amount equal to: 

($1,000 per point) x (100 points minus P points) per contract.

12. For each individual contract lot that is delivered, such Initial Payment Amount shall be rounded to the 

nearest cent, with half-cents rounded up to the nearest cent.

Example: For a hypothetical expiring futures contract, assume the final settlement price P is 100-23 (ie, 100 

and 23/32nds or 100.71875 points). On the third Wednesday of the contract Delivery Month the holder of a 

long futures position taking delivery (the Floating Rate Payer in the delivered IRS Contract) shall pay to the 

Clearing House an Initial Payment Amount of $718.75 per contract, equal to ($1,000 per point) x (100.71875 

points minus 100 points), or $718.75 (CBOT Rule 54101.B.1.). Conversely, the holder of a short futures 

position making delivery (the Fixed Rate Payer in the delivered IRS Contract) shall receive from the Clearing 

House an Initial Payment Amount of $718.75 per contract.

54102. TRADING SPECIFICATIONS

The number of contract delivery months open for trading at a given time shall be determined by the Exchange. 

Without limitation to the foregoing, the Exchange customarily shall list for trading futures contracts for delivery 

in at least each of the two nearest months in the March-June-September-December quarterly cycle.
39

For a given futures contract for a given delivery month, the Exchange shall determine the value of the Fixed 

Rate that shall standardize the Contract Grade for such futures contract (CBOT Rule 54101.A.12.). The 

Exchange also shall determine whether, and when, to list for trading any additional futures contract(s) for such 

delivery month that are standardized to Fixed Rate value(s) different to the Fixed Rate value of such futures 

contract.

54102.A. Trading Schedule

The hours of trading shall be determined by the Exchange. On the last day of trading in an expiring contract 

(CBOT Rule 54102.F.), the close of the expiring contract shall begin at 1:59 pm, and trading shall be permitted 

thereafter for a period not to exceed one minute.

54102.B. Trading Unit

The unit of trading shall be IRS Contracts that meet Contract Grade (CBOT Rule 54101.A.) having notional 

amount of one hundred thousand US dollars ($100,000) or multiples thereof.

54102.C. Price Increments

Par shall be on the basis of 100 points, with each point equal to $1,000 per contract. The minimum price 

fluctuation shall be one thirty-second (1/32nd) of one point (equal to $31.25 per contract), except for intermonth 

spreads for which the minimum price fluctuation shall be one-quarter of one thirty-second (1/4 of 1/32nd) of 

one point (equal to $7.8125 per contract). Contracts shall not be made on any other price basis.

54102.D. 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 Table in the Interpretations & Special Notices 

Section of Chapter 5.

54102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth in 

the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special Notices 

Section of Chapter 5.

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 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.

54102.F. Termination of Trading

Trading in an expiring futures contract shall terminate no later than 2:00 pm (CBOT Rule 54102.A.) on the 

second London business day before the third Wednesday of the contract delivery month.

54103. DATE OF DELIVERY

Subject to CBOT Rules 54104., delivery on an expiring futures contract shall be made by a short IRS Clearing 

Member, and shall be taken by a long IRS Clearing Member, on the third Wednesday of the futures delivery 

month (CBOT Rule 54102.).

54103.A. IRS Effective Date

Such Date of Delivery shall be the Effective Date (CBOT Rule 54101.A.3.) of the IRS Contract that is delivered 

or accepted for delivery in fulfillment of such expiring futures contract.

54103.B. Acceptance Date and Clearing Effective Date

The first Clearing Business Day (CME Rule 90002.D.) preceding such Date of Delivery shall be the Acceptance 

Date (CME Rule 90002.B.) and the Clearing Effective Date (CME Rule 90002.E.) of the IRS Contract to be 

delivered or accepted for delivery in fulfillment of such expiring futures contract.

54104. DELIVERIES ON EXPIRING FUTURES CONTRACTS

54104.A. Requirements for Participation in Delivery 
40

For an account carried by a clearing member to make or accept delivery on an expiring futures contract, the 

holder of such account is required to be:

1. an Eligible Contract Participant, as that term is defined in Section 1a(18) of the Commodity Exchange 

Act (7 USC §1a(18) and 17 CFR 1.3(m)), and

2. either an IRS Clearing Member (CME Rule 90005.A.) or an IRS Participant registered with CME by an 

IRS Clearing Member (CME Rule 8F009. and CME Rule 90005.B.).

Subject to these requirements and to CBOT Rules 54104.B. and 54104.C., upon Termination of Trading in 

such expiring futures (CBOT Rule 54102.F.), the holder of each such account that holds a long interest in 

such futures contract shall be required to accept delivery from the Clearing House of IRS Contracts that meet 

Contract Grade (CBOT Rule 54101.A.), and the holder of each such account that holds a short interest in such 

futures contract shall be required to make delivery to the Clearing House of IRS Contracts that meet Contract 

Grade.

54104.B. IRS Product Account Registration 

Any IRS Contract delivered or accepted for delivery in fulfillment of an expiring futures contract must be 

identified with an IRS Product account number that identifies the holder of such IRS Product account, and that 

specifies whether such IRS Product account is either (1) a proprietary account of an IRS Clearing Member or 

(2) held by a customer registered with CME by an IRS Clearing Member as an IRS Participant (CME Rule 

8F009. and CME Rule 90005.B.). 

54104.C. Clearing Member Obligations in Delivery

Subject to the provisions of CBOT Rulebook Chapters 7, 8, and 9, as of the temination of trading in an expiring 

futures contract (CBOT Rule 54102.F.), each clearing member that carries accounts holding long or short 

interest in such expiring futures contract shall:

1. ensure that the requirements set forth in CBOT Rule 54104.A. are met.

2. in accord with the requirements set forth in CBOT Rule 54104.B., ensure that the holder of each such 

account has designated (a) the IRS Product account(s) in which the holder shall make or accept any

deliveries on expiring futures contracts and (b) the IRS Clearing Member(s) carrying such IRS Product 

account(s).

3. ensure that any IRS Clearing Member carrying such IRS Product account(s) as may be designated 

pursuant to CBOT Rule 54104.C.2. has been notified of such designation. 

4. obtain acknowledgement from each IRS Clearing Member designated pursuant to CBOT Rule 54104.C.2. 

that such IRS Clearing Member shall guarantee and assume complete responsibility for the performance 

of all delivery requirements in respect of such expiring futures (CBOT Rule 54104.E.).

Where a clearing member carries accounts holding interest both long and short in such expiring futures 

contract, the clearing member must fulfill these Rules 54104.C. so as to procure that delivery shall be made 

by all such accounts holding short interest and shall be accepted by all such accounts holding long interest

54104.D. Clearing Member Reporting Obligations Prior to Delivery

Each clearing member that carries accounts holding long or short interest in an expiring futures contract shall 

report to the Clearing House, on each of the last 5 days of trading in such expiring futures, an accurate 

inventory of such long and short interest, in such manner and at such times as the Clearing House may 

prescribe, provided that such inventory must include, for each account holding long or short interest: 

1. declaration of the number of expiring futures contracts held long, and the number of 

expiring futures contracts held short, in such account; 
41

2. confirmation whether such account meets, or does not meet, the requirements set forth in CBOT 

Rule 54104.A.; 

3. where such account meets the requirements set forth in CBOT Rule 54104.A., (a) the IRS

Product account number, and the IRS Product account origin (house or customer), and the IRS Clearing 

Member carrying such IRS Product account, as designated pursuant to CBOT Rule 54104.C.2., and (b) 

confirmation that such IRS Clearing Member has been notified as required by CBOT Rule 54104.C.3., 

and has made such acknowledgements as are required by CBOT Rule 54104.C.4.

54104.E. Notification of IRS Clearing Members in Delivery

Following the termination of trading in an expiring futures contract (CBOT Rule 54102.F.), the Clearing House 

shall notify each IRS Clearing Member carrying one or more IRS Product accounts that are required to make 

or accept delivery in fulfillment of such expiring futures, as designated pursuant to CBOT Rules 54104.C. For 

each such IRS Clearing Member, such Clearing House notification shall include:

1. identification of IRS Product accounts, carried by such IRS Clearing Member, that are required to 

accept delivery on long futures positions; the size of each such long futures position; and the identity 

of the clearing member firm(s) carrying the account(s) in which each such long futures position is 

held; and /or

2. identification of IRS Product Accounts, carried by such IRS Clearing Member, that are required to 

make delivery on short futures positions; the size of each such short futures position; and the identity 

of the clearing member firm(s) carrying the account(s) in which each such short futures position is 

held.

54104.F. IRS Clearing Member Obligations in Delivery 

In the event that an IRS Clearing Member disputes such notification of delivery on expiring futures as it may 

receive from the Clearing House, pursuant to CBOT Rule 54104.E., such IRS Clearing Member shall promptly 

notify the Clearing House, and the dispute must be settled no later than 12:30 p.m. Chicago time on the 

Acceptance Date and Clearing Effective Date for delivery in fulfillment of such expiring futures (CBOT Rule 

54103.B.), 

As of 12:30 p.m. Chicago time on the Acceptance Date and Clearing Effective Date for delivery in fulfillment 

of an expiring futures, an IRS Clearing Member who carries an IRS Product account that is required to make 

or accept delivery on such expiring futures contract (CBOT Rules 54104.A, 54104.B., 54104.C., 54104.D. and 

54104.E.) shall guarantee and assume complete responsibility for the performance of all delivery requirements 

set forth in the Rules.

54104.G. Clearing House Financial Safeguards 

A futures contract made under these Rules shall be a Base Guaranty Fund Product subject to the Clearing 

House financial safeguards provided by the General Guarantee Fund (CME Rule 802.A.). 

An IRS Contract that is delivered or accepted for delivery in fulfillment of a futures contract made under these 

Rules shall be an IRS Product subject to the Clearing House financial safeguards provided by the IRS 

Guaranty Fund (CME Rule 8G07.).

54105. [RESERVED]

54106. [RESERVED]

54107. PAYMENT

Where an Initial Payment Amount is required in fulfillment of delivery on an expiring futures contract (CBOT 

Rule 54101.B.), an IRS Clearing Member that is determined as an Initial Payment Payer shall pay to the 

Clearing House, and an IRS Clearing Member that is determined as the receiver of an Initial Payment Amount 

shall receive from the Clearing House, an amount equal to such Initial Payment Amount on the Date of Delivery 

(CBOT Rule 54103.) at such time as the Clearing House may designate.

If such Initial Payment Amount is equal to or greater than $100,000,000, then the IRS Clearing Member that 

is determined as the Initial Payment Payer shall pay such Initial Payment Amount to the Clearing House no 
42

later than 6:00pm on the Acceptance Date of the IRS Contracts that are delivered, and accepted for delivery, 

in fulfillment of such expiring futures contract (CBOT Rule 54103.B. and CME Rule 90102.C.)

Chapter 59

7-Year US Dollar Interest Rate Swap Futures

59100. SCOPE OF CHAPTER

This chapter is limited in application to trading of 7-Year US Dollar Interest Rate Swap (“USD IRS”) 

futures. The procedures for trading, clearing, delivery, and settlement, and any other matters not 

specifically covered herein, shall be governed by the general rules of the Exchange (“Rules”). 

Capitalized terms in this Chapter that are not otherwise defined in this Chapter shall have the meanings 

given to such terms in the other Chapters of the Rules. Capitalized terms in this Chapter that are not 

otherwise defined in either this Chapter or the other Chapters of the Rules shall have the meanings set 

forth in the ISDA Definitions (Chicago Mercantile Exchange (“CME”) Rule 90002.N.). 

All times referenced in this chapter are Chicago times and are subject to change by the Exchange. 

59101. CONTRACT SPECIFICATIONS 

59101.A. Contract Grade 

The contract grade for delivery on expiring futures made under these Rules shall be an Interest Rate 

Swap Contract (“IRS Contract” per CME Rule 90002.J.) that is accepted for clearing by the Clearing 

House (CME Rulebook Chapters 8F, 8G, 900, and 901) and that is subject to the following Contract 

Elections (CME Rule 90002.F.): 

1. Fixed Rate Payer: Subject to CBOT Rules 59104., an account required to deliver on a 

short position in such expiring futures contract shall be the Fixed Rate 

Payer to the Clearing House. Where such account is required to accept 

delivery on a long position in such expiring futures contract, the Clearing 

House shall be the Fixed Rate Payer to such account. 

2. Floating Rate Payer: Subject to CBOT Rules 59104., an account required to accept delivery 

on a long position in such expiring futures contract shall be the Floating 

Rate Payer to the Clearing House. Where such account is required to 

deliver on a short position in such expiring futures contract, the Clearing 

House shall be the Floating Rate Payer to such account. 

3. IRS Effective Date: Third (3rd) Wednesday of futures contract delivery month

(CBOT Rules 59102. and 59103.A.). 

4. Currency: US dollars (CME Rule 90102.B.). 

5. Notional Amount: $100,000. 

6. Business Day(s): New York and London. 

7. Business Day Convention: Modified Following. 

8. Termination Date: Seventh (7th) anniversary of IRS Effective Date.

(CBOT Rule 59101.A.3.). 

9. Initial Payment Amount: See CBOT Rule 59101.B. 

10. Initial Amount Payer: See CBOT Rule 59101.B. 

11. Fixed Rate Payment Dates: Semiannually from IRS Effective Date (CBOT Rule 59101.A.3.) subject 

to CBOT Rules 59101.A.6. and 59101.A.7. 

12. Fixed Rate: Futures contract fixed interest rate set by the Exchange at an integer 

multiple of 25 basis points (ie, one quarter of one percent) per annum 

when such futures contract is initially listed for trading (CBOT Rule 

59102.). 
43

13. Fixed Rate Day Count: 30/360. 

14. Floating Rate Payment Dates: Quarterly from IRS Effective Date (CBOT Rule 59101.A.3.) 

subject to CBOT Rules 59101.A.6. and 59101.A.7. 

15. Floating Rate Option: USD-LIBOR-BBA (CME Rule 90102.E.1.). 

16. Designated Maturity: Three (3) months. 

17. Floating Rate Day Count: Actual/360.

18. Spread: None. 

19. Compounding: None. 

59101.B. Physical Delivery 

Each individual futures contract lot that is delivered shall be an IRS Contract (CME Rule 90002.J.) that 

meets Contract Grade (CBOT Rule 59101.A.). 

For an IRS Clearing Member carrying an account that is required to make or accept delivery on an expiring 

futures contract (CBOT Rules 59104.), the IRS Initial Payment Amount (CBOT Rule 59101.A.9.) due upon 

delivery (CBOT Rule 59103.) of such IRS Contract, and the Initial Amount Payer (CBOT Rule 

59101.A.10.), shall be determined as follows: 

Define P as the Final Settlement Price (CBOT Rule 812.) of an expiring futures contract, as 

determined by the Exchange at such contract’s Termination of Trading (CBOT Rule 59102.F.), where 

such Final Settlement Price is expressed in points and fractions of points, with par on the basis of 

100 points (Rule 59102.C.). 

1. If P is greater than 100 points, then the long IRS Clearing Member taking delivery shall pay to 

the Clearing House, and the short IRS Clearing Member making delivery shall receive from the 

Clearing House, an Initial Payment Amount equal to: 

($1,000 per point) x (P points minus 100 points) per contract. 

2. Else, if P is less than or equal to 100 points, then the short IRS Clearing Member making delivery 

shall pay to the Clearing House, and the long IRS Clearing Member taking delivery shall receive 

from the Clearing House, an Initial Payment Amount equal to: 

($1,000 per point) x (100 points minus P points) per contract. 

3. For each individual contract lot that is delivered, such Initial Payment Amount shall be 

rounded to the nearest cent, with half-cents rounded up to the nearest cent. 

Example: For a hypothetical expiring futures contract, assume the final settlement price P is 100-205 (ie, 

100 and 20.5/32nds or 100.640625 points). On the third Wednesday of the contract Delivery Month the 

holder of a long futures position taking delivery (the Floating Rate Payer in the delivered IRS Contract) 

shall pay to the Clearing House an Initial Payment Amount of $640.63 per contract, equal to ($1,000 per 

point) x (100.640625 points minus 100 points), or $640.625 (CBOT Rule 59101.B.1.) rounded up to the 

nearest penny (CBOT Rule 59101.B.3.). Conversely, the holder of a short futures position making delivery 

(the Fixed Rate Payer in the delivered IRS Contract) shall receive from the Clearing House an Initial 

Payment Amount of $640.63 per contract. 

59102. TRADING SPECIFICATIONS 

The number of contract delivery months open for trading at a given time shall be determined by the 

Exchange. Without limitation to the foregoing, the Exchange customarily shall list for trading futures 

contracts for delivery in at least each of the two nearest months in the March-June-September-December 

quarterly cycle. 

For a given futures contract for a given delivery month, the Exchange shall determine the value of the 

Fixed Rate that shall standardize the Contract Grade for such futures contract (CBOT Rule 59101.A.12.). 

The Exchange also shall determine whether, and when, to list for trading any additional futures contract(s) 
44

for such delivery month that are standardized to Fixed Rate value(s) different to the Fixed Rate value of 

such futures contract.

59102.A. Trading Schedule 

The hours of trading shall be determined by the Exchange. On the last day of trading in an expiring 

contract (CBOT Rule 59102.F.), the close of the expiring contract shall begin at 1:59 p.m., and trading 

shall be permitted thereafter for a period not to exceed one minute. 

59102.B. Trading Unit 

The unit of trading shall be IRS Contracts that meet Contract Grade (CBOT Rule 59101.A.) having 

notional amount of one hundred thousand US dollars ($100,000) or multiples thereof. 

59102.C. Price Increments 

Par shall be on the basis of 100 points, with each point equal to $1,000 per contract. The minimum price 

fluctuation shall be one-half of one thirty-second (1/2 of 1/32nd) of one point (equal to $15.625 per 

contract), except for intermonth spreads for which the minimum price fluctuation shall be one-quarter of 

one thirty-second (1/4 of 1/32nd) of one point (equal to $7.8125 per contract). Contracts shall not be made 

on any other price basis. 

59102.D. 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 Table in the Interpretations & Special 

Notices Section of Chapter 5. 

59102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth 

in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special 

Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 

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. 

59102.F. Termination of Trading 

Trading in an expiring futures contract shall terminate no later than 2:00 p.m. (CBOT Rule 59102.A.) on 

the second London business day before the third Wednesday of the contract delivery month. 

59103. DATE OF DELIVERY 

Subject to CBOT Rules 59104., delivery on an expiring futures contract shall be made by a short IRS 

Clearing Member, and shall be taken by a long IRS Clearing Member, on the third Wednesday of the 

futures delivery month (CBOT Rule 59102.). 

59103.A. IRS Effective Date 

Such Date of Delivery shall be the Effective Date (CBOT Rule 59101.A.3.) of the IRS Contract that is 

delivered or accepted for delivery in fulfillment of such expiring futures contract. 

59103.B. Acceptance Date and Clearing Effective Date 

The first Clearing Business Day (CME Rule 90002.D.) preceding such Date of Delivery shall be the 

Acceptance Date (CME Rule 90002.B.) and the Clearing Effective Date (CME Rule 90002.E.) of the IRS 

Contract to be delivered or accepted for delivery in fulfillment of such expiring futures contract. 

59104. DELIVERIES ON EXPIRING FUTURES CONTRACTS 

59104.A. Requirements for Participation in Delivery 

For an account carried by a clearing member to make or accept delivery on an expiring futures contract, 

the holder of such account is required to be: 

1. an Eligible Contract Participant, as that term is defined in Section 1a(18) of the Commodity 

Exchange Act (7 USC §1a(18) and 17 CFR 1.3(m)), and 
45

2. either an IRS Clearing Member (CME Rule 90005.A.) or an IRS Participant registered with CME 

by an IRS Clearing Member (CME Rule 8F009. and CME Rule 90005.B.). 

Subject to these requirements and to CBOT Rules 59104.B. and 59104.C., upon Termination of Trading 

in such expiring futures (CBOT Rule 59102.F.), the holder of each such account that holds a long interest 

in such futures contract shall be required to accept delivery from the Clearing House of IRS Contracts 

that meet Contract Grade (CBOT Rule 59101.A.), and the holder of each such account that holds a short 

interest in such futures contract shall be required to make delivery to the Clearing House of IRS Contracts 

that meet Contract Grade. 

59104.B. IRS Product Account Registration

Any IRS Contract delivered or accepted for delivery in fulfillment of an expiring futures contract must be 

identified with an IRS Product account number that identifies the holder of such IRS Product account, and 

that specifies whether such IRS Product account is either (1) a proprietary account of an IRS Clearing 

Member or (2) held by a customer registered with CME by an IRS Clearing Member as an IRS Participant 

(CME Rule 8F009. and CME Rule 90005.B.). 

59104.C. Clearing Member Obligations in Delivery 

Subject to the provisions of CBOT Rulebook Chapters 7, 8, and 9, as of the termination of trading in an 

expiring futures contract (CBOT Rule 59102.F.), each clearing member that carries accounts holding long 

or short interest in such expiring futures contract shall: 

1. ensure that the requirements set forth in CBOT Rule 59104.A. are met. 

2. in accord with the requirements set forth in CBOT Rule 59104.B., ensure that the holder of each 

such account has designated (a) the IRS Product account(s) in which the holder shall make or 

accept any deliveries on expiring futures contracts and (b) the IRS Clearing Member(s) carrying 

such IRS Product account(s). 

3. ensure that any IRS Clearing Member carrying such IRS Product account(s) as may 

be designated pursuant to CBOT Rule 59104.C.2. has been notified of such 

designation. 

4. obtain acknowledgement from each IRS Clearing Member designated pursuant to CBOT Rule 

59104.C.2. that such IRS Clearing Member shall guarantee and assume complete responsibility 

for the performance of all delivery requirements in respect of such expiring futures (CBOT Rule 

59104.E.). 

Where a clearing member carries accounts holding interest both long and short in such expiring futures 

contract, the clearing member must fulfill these Rules 59104.C. so as to procure that delivery shall be 

made by all such accounts holding short interest and shall be accepted by all such accounts holding long 

interest. 

59104.D. Clearing Member Reporting Obligations Prior to Delivery 

Each clearing member that carries accounts holding long or short interest in an expiring futures contract 

shall report to the Clearing House, on each of the last 5 days of trading in such expiring futures, an 

accurate inventory of such long and short interest, in such manner and at such times as the Clearing 

House may prescribe, provided that such inventory must include, for each account holding long or short 

interest: 

1. declaration of the number of expiring futures contracts held long, and the number of expiring 

futures contracts held short, in such account; 

2. confirmation whether such account meets, or does not meet, the requirements set forth in 

CBOT Rule 59104.A.; 
46

3. where such account meets the requirements set forth in CBOT Rule 59104.A., (a) the IRS 

Product account number, and the IRS Product account origin (house or customer), and the IRS 

Clearing Member carrying such IRS Product account, as designated pursuant to CBOT Rule 

59104.C.2., and (b) confirmation that such IRS Clearing Member has been notified as required 

by CBOT Rule 59104.C.3., and has made such acknowledgements as are required by CBOT 

Rule 59104.C.4.

59104.E. Notification of IRS Clearing Members in Delivery 

Following the termination of trading in an expiring futures contract (CBOT Rule 59102.F.), the Clearing 

House shall notify each IRS Clearing Member carrying one or more IRS Product accounts that are 

required to make or accept delivery in fulfillment of such expiring futures, as designated pursuant to CBOT 

Rules 59104.C. For each such IRS Clearing Member, such Clearing House notification shall include: 

1. identification of IRS Product accounts, carried by such IRS Clearing Member, that are 

required to accept delivery on long futures positions; the size of each such long futures 

position; and the identity of the clearing member firm(s) carrying the account(s) in which 

each such long futures position is held; and /or 

2. identification of IRS Product Accounts, carried by such IRS Clearing Member, that are required 

to make delivery on short futures positions; the size of each such short futures position; and the 

identity of the clearing member firm(s) carrying the account(s) in which each such short futures 

position is held. 

59104.F. IRS Clearing Member Obligations in Delivery 

In the event that an IRS Clearing Member disputes such notification of delivery on expiring futures as it 

may receive from the Clearing House, pursuant to CBOT Rule 59104.E., such IRS Clearing Member shall 

promptly notify the Clearing House, and the dispute must be settled no later than 12:30 p.m. on the 

Acceptance Date and Clearing Effective Date for delivery in fulfillment of such expiring futures (CBOT 

Rule 59103.B.), 

As of 12:30 p.m. on the Acceptance Date and Clearing Effective Date for delivery in fulfillment of an 

expiring futures, an IRS Clearing Member who carries an IRS Product account that is required to make 

or accept delivery on such expiring futures contract (CBOT Rules 59104.A, 59104.B., 59104.C., 59104.D. 

and 59104.E.) shall guarantee and assume complete responsibility for the performance of all delivery 

requirements set forth in the Rules. 

59104.G. Clearing House Financial Safeguards 

A futures contract made under these Rules shall be a Base Guaranty Fund Product subject to the Clearing 

House financial safeguards provided by the General Guarantee Fund (CME Rule 802.A.). 

An IRS Contract that is delivered or accepted for delivery in fulfillment of a futures contract made under 

these Rules shall be an IRS Product subject to the Clearing House financial safeguards provided by the 

IRS Guaranty Fund (CME Rule 8G07.). 

59105. [RESERVED] 

59106. [RESERVED] 

59107. PAYMENT 

Where an Initial Payment Amount is required in fulfillment of delivery on an expiring futures contract 

(CBOT Rule 59101.B.), an IRS Clearing Member that is determined as an Initial Payment Payer shall pay 

to the Clearing House, and an IRS Clearing Member that is determined as the receiver of an Initial 

Payment Amount shall receive from the Clearing House, an amount equal to such Initial Payment Amount 

on the Date of Delivery (CBOT Rule 59103.) at such time as the Clearing House may designate. 

If such Initial Payment Amount is equal to or greater than $100,000,000, then the IRS Clearing Member 

that is determined as the Initial Payment Payer shall pay such Initial Payment Amount to the Clearing 

House no later than 6:00pm on the Acceptance Date of the IRS Contracts that are delivered, and accepted 

for delivery, in fulfillment of such expiring futures contract (CBOT Rule 59103.B. and CME Rule 90102.C.)
47

Chapter 60

20-Year US Dollar Interest Rate Swap Futures

60100. SCOPE OF CHAPTER 

This chapter is limited in application to trading of 20-Year US Dollar Interest Rate Swap (“USD IRS”) 

futures. The procedures for trading, clearing, delivery, and settlement, and any other matters not 

specifically covered herein, shall be governed by the general rules of the Exchange (“Rules”). 

Capitalized terms in this Chapter that are not otherwise defined in this Chapter shall have the meanings 

given to such terms in the other Chapters of the Rules. Capitalized terms in this Chapter that are not 

otherwise defined in either this Chapter or the other Chapters of the Rules shall have the meanings set 

forth in the ISDA Definitions (Chicago Mercantile Exchange (“CME”) Rule 90002.N.). 

All times referenced in this chapter are Chicago times and are subject to change by the Exchange. 

60101. CONTRACT SPECIFICATIONS 

60101.A. Contract Grade 

The contract grade for delivery on expiring futures made under these Rules shall be an Interest Rate 

Swap Contract (“IRS Contract” per CME Rule 90002.J.) that is accepted for clearing by the Clearing 

House (CME Rulebook Chapters 8F, 8G, 900, and 901) and that is subject to the following Contract 

Elections (CME Rule 90002.F.): 

1. Fixed Rate Payer: Subject to CBOT Rules 60104., an account required to deliver on a 

short position in such expiring futures contract shall be the Fixed Rate 

Payer to the Clearing House. Where such account is required to accept 

delivery on a long position in such expiring futures contract, the Clearing 

House shall be the Fixed Rate Payer to such account. 

2. Floating Rate Payer: Subject to CBOT Rules 60104., an account required to accept delivery 

on a long position in such expiring futures contract shall be the Floating 

Rate Payer to the Clearing House. Where such account is required to 

deliver on a short position in such expiring futures contract, the Clearing 

House shall be the Floating Rate Payer to such account. 

3. IRS Effective Date: Third (3rd) Wednesday of futures contract delivery month

(CBOT Rules 60102. and 60103.A.). 

4. Currency: US dollars (CME Rule 90102.B.). 

5. Notional Amount: $100,000. 

6. Business Day(s): New York and London. 

7. Business Day Convention: Modified Following. 

8. Termination Date: Twentieth (20th) anniversary of IRS Effective Date.

(CBOT Rule 60101.A.3.). 

9. Initial Payment Amount: See CBOT Rule 60101.B. 
48

10. Initial Amount Payer: See CBOT Rule 60101.B. 

11. Fixed Rate Payment Dates: Semiannually from IRS Effective Date (CBOT Rule 60101.A.3.) subject 

to CBOT Rules 60101.A.6. and 60101.A.7. 

12. Fixed Rate: Futures contract fixed interest rate set by the Exchange at an integer 

multiple of 25 basis points (ie, one quarter of one percent) per annum 

when such futures contract is initially listed for trading (CBOT Rule 

60102.). 

13. Fixed Rate Day Count: 30/360. 

14. Floating Rate Payment 

Dates: Quarterly from IRS Effective Date (CBOT Rule 60101.A.3.) 

subject to CBOT Rules 60101.A.6. and 60101.A.7. 

15. Floating Rate Option: USD-LIBOR-BBA (CME Rule 90102.E.1.). 

16. Designated Maturity: Three (3) months. 

17. Floating Rate Day Count: Actual/360.

18. Spread: None. 

19. Compounding: None. 

60101.B. Physical Delivery 

Each individual futures contract lot that is delivered shall be an IRS Contract (CME Rule 90002.J.) that 

meets Contract Grade (CBOT Rule 60101.A.). 

For an IRS Clearing Member carrying an account that is required to make or accept delivery on an expiring 

futures contract (CBOT Rules 60104.), the IRS Initial Payment Amount (CBOT Rule 60101.A.9.) due upon 

delivery (CBOT Rule 60103.) of such IRS Contract, and the Initial Amount Payer (CBOT Rule 

60101.A.10.), shall be determined as follows: 

Define P as the Final Settlement Price (CBOT Rule 812.) of an expiring futures contract, as 

determined by the Exchange at such contract’s Termination of Trading (CBOT Rule 60102.F.), where 

such Final Settlement Price is expressed in points and fractions of points, with par on the basis of 

100 points (Rule 60102.C.). 

1. If P is greater than 100 points, then the long IRS Clearing Member taking delivery 

shall pay to the Clearing House, and the short IRS Clearing Member making delivery 

shall receive from the Clearing House, an Initial Payment Amount equal to: 

($1,000 per point) x (P points minus 100 points) per contract. 

2. Else, if P is less than or equal to 100 points, then the short IRS Clearing Member making 

delivery shall pay to the Clearing House, and the long IRS Clearing Member taking delivery 

shall receive from the Clearing House, an Initial Payment Amount equal to: 

($1,000 per point) x (100 points minus P points) per contract. 
49

3. For each individual contract lot that is delivered, such Initial Payment Amount shall be 

rounded to the nearest cent, with half-cents rounded up to the nearest cent. 

Example: For a hypothetical expiring futures contract, assume the final settlement price P is 100-23 (ie, 

100 and 23/32nds or 100.71875 points). On the third Wednesday of the contract Delivery Month the 

holder of a long futures position taking delivery (the Floating Rate Payer in the delivered IRS Contract) 

shall pay to the Clearing House an Initial Payment Amount of $718.75 per contract, equal to ($1,000 per 

point) x (100.71875 points minus 100 points). Conversely, the holder of a short futures position making 

delivery (the Fixed Rate Payer in the delivered IRS Contract) shall receive from the Clearing House an 

Initial Payment Amount of $718.75 per contract. 

60102. TRADING SPECIFICATIONS 

The number of contract delivery months open for trading at a given time shall be determined by the 

Exchange. Without limitation to the foregoing, the Exchange customarily shall list for trading futures 

contracts for delivery in at least each of the two nearest months in the March-June-September-December 

quarterly cycle. 

For a given futures contract for a given delivery month, the Exchange shall determine the value of the

Fixed Rate that shall standardize the Contract Grade for such futures contract (CBOT Rule 60101.A.12.). 

The Exchange also shall determine whether, and when, to list for trading any additional futures contract(s) 

for such delivery month that are standardized to Fixed Rate value(s) different to the Fixed Rate value of 

such futures contract. 

60102.A. Trading Schedule 

The hours of trading shall be determined by the Exchange. On the last day of trading in an expiring 

contract (CBOT Rule 60102.F.), the close of the expiring contract shall begin at 1:59 p.m., and trading 

shall be permitted thereafter for a period not to exceed one minute. 

60102.B. Trading Unit 

The unit of trading shall be IRS Contracts that meet Contract Grade (CBOT Rule 60101.A.) having 

notional amount of one hundred thousand US dollars ($100,000) or multiples thereof. 

60102.C. Price Increments 

Par shall be on the basis of 100 points, with each point equal to $1,000 per contract. The minimum price 

fluctuation shall be one thirty-second (1/32nd) of one point (equal to $31.25 per contract), except for 

intermonth spreads for which the minimum price fluctuation shall be one-quarter of one thirty-second (1/4 

of 1/32nd) of one point (equal to $7.8125 per contract). Contracts shall not be made on any other price 

basis. 

60102.D. 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 Table in the Interpretations & Special 

Notices Section of Chapter 5. 

60102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth 

in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special 

Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 

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. 

60102.F. Termination of Trading 

Trading in an expiring futures contract shall terminate no later than 2:00 p.m. (CBOT Rule 60102.A.) on 

the second London business day before the third Wednesday of the contract delivery month.

60103. DATE OF DELIVERY 
50

Subject to CBOT Rules 60104., delivery on an expiring futures contract shall be made by a short IRS 

Clearing Member, and shall be taken by a long IRS Clearing Member, on the third Wednesday of the 

futures delivery month (CBOT Rule 60102.). 

60103.A. IRS Effective Date 

Such Date of Delivery shall be the Effective Date (CBOT Rule 60101.A.3.) of the IRS Contract that is 

delivered or accepted for delivery in fulfillment of such expiring futures contract. 

60103.B. Acceptance Date and Clearing Effective Date 

The first Clearing Business Day (CME Rule 90002.D.) preceding such Date of Delivery shall be the 

Acceptance Date (CME Rule 90002.B.) and the Clearing Effective Date (CME Rule 90002.E.) of the IRS 

Contract to be delivered or accepted for delivery in fulfillment of such expiring futures contract. 

60104. DELIVERIES ON EXPIRING FUTURES CONTRACTS 

60104.A. Requirements for Participation in Delivery 

For an account carried by a clearing member to make or accept delivery on an expiring futures contract, 

the holder of such account is required to be: 

1. an Eligible Contract Participant, as that term is defined in Section 1a(18) of the 

Commodity Exchange Act (7 USC §1a(18) and 17 CFR 1.3(m)), and 

2. either an IRS Clearing Member (CME Rule 90005.A.) or an IRS Participant registered 

with CME by an IRS Clearing Member (CME Rule 8F009. and CME Rule 90005.B.). 

Subject to these requirements and to CBOT Rules 60104.B. and 60104.C., upon Termination of Trading 

in such expiring futures (CBOT Rule 60102.F.), the holder of each such account that holds a long interest 

in such futures contract shall be required to accept delivery from the Clearing House of IRS Contracts 

that meet Contract Grade (CBOT Rule 60101.A.), and the holder of each such account that holds a short 

interest in such futures contract shall be required to make delivery to the Clearing House of IRS Contracts 

that meet Contract Grade. 

60104.B. IRS Product Account Registration 

Any IRS Contract delivered or accepted for delivery in fulfillment of an expiring futures contract must be 

identified with an IRS Product account number that identifies the holder of such IRS Product account, and 

that specifies whether such IRS Product account is either (1) a proprietary account of an IRS Clearing 

Member or (2) held by a customer registered with CME by an IRS Clearing Member as an IRS Participant 

(CME Rule 8F009. and CME Rule 90005.B.). 

60104.C. Clearing Member Obligations in Delivery 

Subject to the provisions of CBOT Rulebook Chapters 7, 8, and 9, as of the termination of trading in an 

expiring futures contract (CBOT Rule 60102.F.), each clearing member that carries accounts holding long 

or short interest in such expiring futures contract shall: 

1. ensure that the requirements set forth in CBOT Rule 60104.A. are met. 

2. in accord with the requirements set forth in CBOT Rule 60104.B., ensure that the 

holder of each such account has designated (a) the IRS Product account(s) in which 

the holder shall make or accept any deliveries on expiring futures contracts and (b) 

the IRS Clearing Member(s) carrying such IRS Product account(s). 

3. ensure that any IRS Clearing Member carrying such IRS Product account(s) as may 

be designated pursuant to CBOT Rule 60104.C.2. has been notified of such 

designation. 
51

4. obtain acknowledgement from each IRS Clearing Member designated pursuant to CBOT 

Rule 60104.C.2. that such IRS Clearing Member shall guarantee and assume complete 

responsibility for the performance of all delivery requirements in respect of such expiring 

futures (CBOT Rule 60104.E.). 

Where a clearing member carries accounts holding interest both long and short in such expiring futures 

contract, the clearing member must fulfill these Rules 60104.C. so as to procure that delivery shall be 

made by all such accounts holding short interest and shall be accepted by all such accounts holding long 

interest. 

60104.D. Clearing Member Reporting Obligations Prior to Delivery 

Each clearing member that carries accounts holding long or short interest in an expiring futures contract 

shall report to the Clearing House, on each of the last 5 days of trading in such expiring futures, an 

accurate inventory of such long and short interest, in such manner and at such times as the Clearing 

House may prescribe, provided that such inventory must include, for each account holding long or short 

interest: 

1. declaration of the number of expiring futures contracts held long, and the number of 

expiring futures contracts held short, in such account; 

2. confirmation whether such account meets, or does not meet, the requirements set 

forth in CBOT Rule 60104.A.; 

3. where such account meets the requirements set forth in CBOT Rule 60104.A., (a) the IRS 

Product account number, and the IRS Product account origin (house or customer), and the 

IRS Clearing Member carrying such IRS Product account, as designated pursuant to CBOT 

Rule 60104.C.2., and (b) confirmation that such IRS Clearing Member has been notified as 

required by CBOT Rule 60104.C.3., and has made such acknowledgements as are required 

by CBOT Rule 60104.C.4. 

60104.E. Notification of IRS Clearing Members in Delivery 

Following the termination of trading in an expiring futures contract (CBOT Rule 60102.F.), the Clearing 

House shall notify each IRS Clearing Member carrying one or more IRS Product accounts that are 

required to make or accept delivery in fulfillment of such expiring futures, as designated pursuant to CBOT 

Rules 60104.C. For each such IRS Clearing Member, such Clearing House notification shall include: 

1. identification of IRS Product accounts, carried by such IRS Clearing Member, that are 

required to accept delivery on long futures positions; the size of each such long futures 

position; and the identity of the clearing member firm(s) carrying the account(s) in which 

each such long futures position is held; and /or 

2. identification of IRS Product Accounts, carried by such IRS Clearing Member, that are 

required to make delivery on short futures positions; the size of each such short futures 

position; and the identity of the clearing member firm(s) carrying the account(s) in which 

each such short futures position is held. 

60104.F. IRS Clearing Member Obligations in Delivery 
52

In the event that an IRS Clearing Member disputes such notification of delivery on expiring futures as it 

may receive from the Clearing House, pursuant to CBOT Rule 60104.E., such IRS Clearing Member shall 

promptly notify the Clearing House, and the dispute must be settled no later than 12:30 p.m. on the 

Acceptance Date and Clearing Effective Date for delivery in fulfillment of such expiring futures (CBOT 

Rule 60103.B.), 

As of 12:30 p.m. on the Acceptance Date and Clearing Effective Date for delivery in fulfillment of an 

expiring futures, an IRS Clearing Member who carries an IRS Product account that is required to make 

or accept delivery on such expiring futures contract (CBOT Rules 60104.A, 60104.B., 60104.C., 60104.D. 

and 60104.E.) shall guarantee and assume complete responsibility for the performance of all delivery 

requirements set forth in the Rules. 

60104.G. Clearing House Financial Safeguards 

A futures contract made under these Rules shall be a Base Guaranty Fund Product subject to the Clearing 

House financial safeguards provided by the General Guarantee Fund (CME Rule 802.A.). 

An IRS Contract that is delivered or accepted for delivery in fulfillment of a futures contract made under 

these Rules shall be an IRS Product subject to the Clearing House financial safeguards provided by the 

IRS Guaranty Fund (CME Rule 8G07.). 

60105. [RESERVED] 

60106. [RESERVED] 

60107. PAYMENT 

Where an Initial Payment Amount is required in fulfillment of delivery on an expiring futures contract 

(CBOT Rule 60101.B.), an IRS Clearing Member that is determined as an Initial Payment Payer shall pay 

to the Clearing House, and an IRS Clearing Member that is determined as the receiver of an Initial 

Payment Amount shall receive from the Clearing House, an amount equal to such Initial Payment Amount 

on the Date of Delivery (CBOT Rule 60103.) at such time as the Clearing House may designate. 

If such Initial Payment Amount is equal to or greater than $100,000,000, then the IRS Clearing Member 

that is determined as the Initial Payment Payer shall pay such Initial Payment Amount to the Clearing 

House no later than 6:00pm on the Acceptance Date of the IRS Contracts that are delivered, and accepted 

for delivery, in fulfillment of such expiring futures contract (CBOT Rule 60103.B. and CME Rule 90102.C.)

 
53

EXHIBIT C

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability, and Reportable Level Table

(attached under separate cover)

CBOT Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability, and Reportable Level Table 

(attached under separate cover)