SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 22-406

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): October 24, 2022 Filing Description: Delisting of USD-LIBORBBA Swaption 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

October 24, 2022

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

Re: CFTC Regulation 40.6(a) Certification. Delisting of USD-LIBOR-BBA Swaption 

Contracts.

CME Submission No. 22-406

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. (“CME”) certifies to the Commodity Futures Trading Commission

(“CFTC” or “Commission”) the delisting of European style Swaptions referencing USD LIBOR as the floating 

rate, with the attributes noted in the table below (the “Contracts”), effective Monday, October 24, 2022. The 

Contracts represent all swaptions that CME currently accepts for clearing. There is no open interest in the 

Contracts.

Swaption Attribute Supported at CME

Currency USD

Exercise Type European

Max Expiration Date 2 years

Settlement Method Physical

Premium USD

Strike Any fixed rate

Index USD-LIBOR-BBA

Index Tenor 3M

Max Maturity 30 years

The above product terms and conditions of swaptions accepted for clearing were communicated to market 

via CME Clearing Advisory 16-145, dated April 4, 2016. A Clearing Advisory announcing the delisting of 

the Contracts is attached hereto as Exhibit A. 

CME reviewed the derivatives clearing organization core principles (“Core Principles”) as set forth in the 

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

this initiative as follows:

• Public Information: CME will issue a Clearing Advisory regarding the delisting to notify the market 

authorities, market participants, and the public so that they have accurate, up-to-date information 

regarding the products, rules, regulations, and mechanisms for clearing transactions. The Clearing 

Advisory will also be posted on the CME Group website.
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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Pursuant to Section 5c(c) of the Act and CFTC Regulations 40.6(a), CME hereby certifies that the delisting 

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

opposing views to the proposal.

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

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

Should you have any questions concerning the above, please contact the undersigned at (212) 299-2200 

or via e-mail at CMEGSubmissionInquiry@cmegroup.com. 

Sincerely,

/s/ Christopher Bowen 

Managing Director and Chief Regulatory Counsel 

Attachment: Exhibit A – Clearing Advisory 22-407
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Exhibit A

CME Clearing Advisory 22-407

TO: Clearing Member Firms; Back Office Managers

FROM: CME Clearing

Advisory #: 22-407

SUBJECT: Product Delisting Summary for Clearing Firms, Bookkeeping Software Providers, 

ISVs

DATE: October 24, 2022

Product Delisting

Effective immediately, CME Clearing will no longer accept European style Swaptions referencing USD 

LIBOR as the floating rate, with the attributes noted in the table below (the “Contracts”), for clearing. The 

Contracts represent all swaptions that CME Clearing currently accepts for clearing.

There is no open interest in the Contracts.

Swaption Attribute Supported at CME

Currency USD

Exercise Type European

Max Expiration Date 2 years

Settlement Method Physical

Premium USD

Strike Any fixed rate

Index USD-LIBOR-BBA

Index Tenor 3M

Max Maturity 30 years

As a result of the delisting, IRS Swaptions Clearing Members will no longer be required to make 

submissions under CME Rule 8G18.B with respect to these Contracts. 

Information Contacts

General Information Products & Services (312) 930-1000

Operation Information Clearing House (312) 207-2525

Globex Information Global Command Center (800) 438-8616

Performance

Bond Information Risk Management Dept. (312) 648-3888

Position Limits Market Regulation (312) 341-7970

Clearing Fees Clearing Fee Hotline (312) 648-5470

Regards, 

CME Clearing