SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 24-034

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 01/09/24 Filing Description: Amendments to Rule XXX.03 

(“Settlement Procedures”) of the Lean Hog, Pork Cutout, Feeder Cattle, and Live Cattle

Futures 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

Official Product Name: 

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.
20 S Wacker Dr Chicago, IL 60606 T312 466 7478 tim.elliott@cmegroup.com cmegroup.com

1

Timothy Elliott 

Managing Director and Chief Regulatory Counsel

Legal Department

January 9, 2024

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: CFTC Regulation 40.4(b)(5). Request for Non-Material Agricultural Rule Change. 

Amendments to Rule XXX.03. (“Settlement Procedures”) of Lean Hog, Pork Cutout, 

Feeder Cattle, and Live Cattle Futures Contracts.

CME Submission No. 24-034

Dear Mr. Kirkpatrick:

Pursuant to Commodity Futures Trading Commission (“CFTC” or “Commission”) Regulation 40.4(b)(5), 

Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) is requesting a determination of non-materiality 

for amendments to Rule XXX.03. (“Settlement Procedures”) of the Lean Hog, Pork Cutout, Feeder Cattle, 

and Live Cattle Futures contracts noted in the table below (“the Contracts”) effective on January 25, 2024 

to codify contingency plans to be taken by the Exchange in the event the U.S. Department of Agriculture 

(“USDA”) is unable to publish data.

Contract Title Rulebook 

Chapter

CME 

ClearPort 

Code

CME 

Globex 

Code

Lean Hog Futures 152 LN HE

Pork Cutout Futures 156 PRK PRK

Feeder Cattle Futures 102 62 GF

Live Cattle Futures 101 48 LE

Specifically, the Exchange will adopt additional language in:

1. Rule XXX.03.A. (“Settlement Procedures”) of the Lean Hog, Pork Cutout, and Feeder Cattle 

Futures contracts to specify that the Exchange may incorporate market activity in the Contracts 

in the calculation of the final settlement price in the event the U.S. Department of Agriculture 

(“USDA”) is unable to publish prices during the settlement period; and

2. Rule 101.03.A. (“Settlement Procedures”) of the Live Cattle Futures contract to specify that in 

the event the USDA is unable to publish the reports utilized for adjustment factors in live and 

carcass deliveries, the most recently issued reports on or prior to the day a Certificate is

tendered shall be used for calculating final invoice amounts (collectively, the “Rule 

Amendments”).
20 S Wacker Dr Chicago, IL 60606 T312 466 7478 tim.elliott@cmegroup.com cmegroup.com

2

By way of background and at the request of the Commission, the Rule Amendments are intended to codify 

the Exchange’s historical practice and advise market participants of the Exchange’s course of action within 

the rules.

The Rule Amendments are administrative in nature and will not materially impact the economic value of the 

Contracts. The Rule Amendments shall only apply when USDA reporting is unavailable such as, for 

example, in certain circumstances surrounding a U.S. federal government shutdown. The Exchange 

believes that the Rule Amendments are specific contingency plans which shall be implemented in certain 

circumstances and do not materially amend the substance of the final settlement of the Contracts.

Appendix A provides the Rule Amendments in blackline format.

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 Rule Amendments may have some 

bearing on the following Core Principles:

• Contracts Not Readily Subject to Manipulation: The Rule Amendments are intended to maintain 

the continuance of orderly markets. The Contracts shall remain not readily subject to manipulation 

as a result of the Rule Amendments.

• Availability of General Information: CME will issue a Special Executive Report (“SER”) to the

Marketplace regarding the Rule Amendments. The SER will also be posted on the CME Group 

website. 

• Daily Publication of Trading Information: CME will continue to comply with this Core Principle 

by making public daily information on settlement prices, volume, open interest, and opening and 

closing ranges for the Contracts which will be published daily on the Exchange’s website.

• Compliance with Rules: The Exchange shall continue its normal practice to establish, monitor, 

and enforce compliance with the rules of the Contracts. 

• Execution of Transactions: The Exchange will continue its current practice of providing a 

competitive, open, and efficient market mechanism for executing transactions in the Contracts.

Pursuant to Section 5c(c) of the Act and CFTC Regulation 40.4(b)(5), the Exchange hereby certifies that 

the Rule Amendments comply with the Act, including regulations under the Act. There were no substantive 

opposing views to the proposal.

The Exchange 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 (312) 466-7478 

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

Sincerely,

/s/ Timothy Elliott

Managing Director and Chief Regulatory Counsel

Attachment: Appendix A – CME Rulebook Chapters (blackline format)
3

APPENDIX A

CME Rulebook 

(additions underscored; deletions struck through)

Chapter 152

Lean Hog Futures

***

15203. SETTLEMENT PROCEDURES 

15203.A. Final Settlement 

There shall be no delivery of hogs in settlement of this contract. All contracts open as of the termination of 

trading shall be cash settled based upon the CME Lean Hog Index® for the two–day period ending on the day 

on which trading terminates. 

1. The Sample 

The sample consists of all producer-sold negotiated, swine or pork market formula and negotiated formula 

barrows and gilts purchased on a lean value direct basis by packers for which the head count, average net 

price and average carcass weight are reported in the “National Daily Direct Hog Prior Day ReportSlaughtered Swine” released by the USDA. 

2. The Calculation 

The procedure for calculating the CME Lean Hog Index is as follows, using data reported on two 

consecutive weekdays. 

1. The daily head count for negotiated transactions is multiplied by the corresponding daily average 

carcass weight to obtain the negotiated daily total weight; 

2. The daily head count for swine or pork market formula transactions is multiplied by the corresponding 

daily average carcass weight to obtain the swine or pork market formula daily total weight; 

3. The daily head count for negotiated formula transactions is multiplied by the corresponding daily 

average carcass weight to obtain the negotiated formula daily total weight; 

4. The daily totals for negotiated weight (i.e., the result from 1. above), swine or pork market formula 

weight (i.e., the result from 2. above) and negotiated formula weight (i.e., the result from 3. above) are 

added to obtain the daily total weight; 

5. The daily total weights (i.e., the result from 4. above) for two consecutively reported days are 

aggregated to obtain the two–day total weight; 

6. The negotiated daily total weight (i.e., the result from 1. above) is multiplied by the corresponding daily 

average net price to obtain the negotiated daily total value; 

7. The swine or pork market formula daily total weight (i.e., the result from 2. above) is multiplied by the 

corresponding daily average net price to obtain the swine or pork market formula daily total value; 

8. The negotiated formula daily total weight (i.e., the result from 3. above) is multiplied by the 

corresponding daily average net price to obtain the negotiated formula daily total value; 

9. The daily totals for negotiated value (i.e., the result from 6. above), swine or pork market formula value 

(i.e. the result from 7. above) and negotiated formula value (i.e., the result from 8. above) are added 

to obtain the daily total value 

10. The daily total values (i.e., the result from 9., above) for two consecutively reported days are 

aggregated to obtain the two–day total value; and 
4

11. The two–day total value (i.e., the result from 10., above) is divided by the two–day total weight (i.e., the 

result from 5., above) to obtain the CME Lean Hog Index 

For the purposes of this rule, Friday of one week and Monday of the following week shall be considered to 

be consecutive weekdays. 

Also for the purposes of this rule, any days when the necessary data are not released by the USDA shall 

not be considered weekdays, in which case the first weekday immediately preceding and the first weekday 

immediately following such day(s) shall be considered two consecutive weekdays. Should USDA price 

reporting be unavailable during any portion of the final settlement pricing timeframe, CME may utilize data 

compiled from futures market activity during that corresponding pricing timeframe to calculate the final 

settlement price.

[Remainder of Chapter unchanged.]

Chapter 156

Pork Cutout Futures

***

15603. SETTLEMENT PROCEDURES 

15603.A. Final Settlement 

There shall be no delivery of pork carcasses in settlement of this contract. All contracts open as of the 

termination of trading shall be cash settled based upon the CME Pork Cutout Index® for the five– day period 

ending on the day on which trading terminates. 

1. The Sample 

The sample consists of the daily estimates by the USDA of the value of a 215-pound, 55-56% lean pork 

carcasses, with 0.55-0.70 inches of back fat at the last rib or equivalent and is based upon negotiated 

wholesale prices being paid for sub-primal pork cuts. The information upon which the estimates are made 

and the resulting values are reported daily by the USDA in the “NATIONAL DAILY PORK REPORT FOB 

PLANT – Negotiated Sales – Afternoon (LM_PK602)”. 

2. The Calculation 

The procedure for calculating the CME Pork Cutout Index is as follows, using data reported on five 

consecutive weekdays. 

a. The most recent daily number of loads is multiplied by the corresponding daily carcass price to 

determine the daily value; 

b. The most recent daily value is added to the four previous consecutive daily values to determine the 

5-day value;

c. The most recent daily load count is added to the four previous consecutive daily load counts to 

determine the 5-day load count;

d. The 5-day value (i.e. the result from b. above) is divided by the 5-day load count (i.e. the result from 

c. above) to obtain the CME Pork Cutout Index.

For the purposes of this rule, Friday of one week and Monday of the following week shall be considered to 

be consecutive weekdays. 

Also for the purposes of this rule, any days when the necessary data are not released by the USDA shall 

not be considered weekdays, in which case the first weekday immediately preceding and the first weekday 

immediately following such day(s) shall be considered two consecutive weekdays. Should USDA price 

reporting be unavailable during any portion of the final settlement pricing timeframe, CME may utilize data 

compiled from futures market activity during that corresponding pricing timeframe to calculate the final 

settlement price.

[Remainder of Chapter unchanged.]
5

Chapter 102

Feeder Cattle Futures

***

10203. SETTLEMENT PROCEDURES 

10203.A. Final Settlement 

There shall be no delivery of feeder cattle in settlement of this contract. All contracts open as of the termination 

of trading shall be cash settled based upon the CME Feeder Cattle IndexTM for the seven calendar days ending 

on the day on which trading terminates. 

1. The Sample The CME Feeder Cattle IndexTM is based upon a sample of transactions from these 

weight/frame score categories: 700 to 899 pound Medium and Large Frame #1 feeder steers, and 700 to 

899 pound Medium and Large Frame #1-2 feeder steers. 

The sample consists of all feeder cattle auction, direct trade, video sale, and Internet sale transactions 

within the 12-state region of Colorado, Iowa, Kansas, Missouri, Montana, Nebraska, New Mexico, North 

Dakota, Oklahoma, South Dakota, Texas and Wyoming for which the number of head, weighted average 

price and weighted average weight are reported by the Agricultural Marketing Service of the USDA (USDAAMS). 

All direct trade reports shall be considered to be Friday transactions. 

Multiple day sales, for which separate weighted average reports are not issued for each day or it is not 

evident from the reports issued what cattle sold on which day, shall be included in the sample as if all 

transactions occurred the final day of the sale. 

Saturday and Sunday sales shall be included in the sample as if all transactions occurred on Monday. 

Reports that are designated as "preliminary" shall not be included in the sample, and no transactions from 

that location shall be used until a final report is issued. 

Cattle identified in the report as having predominantly dairy, exotic or Brahma breeding; shall be excluded 

from the sample. Transactions for cattle that are reported by USDA-AMS as having an origin outside of the 

United States shall be excluded from the sample. Direct trade, video sale, and Internet sale transactions 

must be quoted on an FOB basis, 3% standing shrink or equivalent, with pickup within 14 days to be 

included in the sample. 

2. The Calculation 

The procedure for calculating the CME Feeder Cattle IndexTM is as follows: 

a. For each of the relevant weight/frame score categories in each report:

i. the number of head is multiplied by the corresponding weighted average weight to 

obtain the total pounds sold in that weight/frame score category for that report; and

ii. the number of head is multiplied by the corresponding weighted average weight, and 

the resulting product is then multiplied by the corresponding weighted average price, 

to obtain the total dollars sold in that weight/frame score category for that report.

b. For each report:

i. the total pounds sold in the relevant weight/frame score categories (i.e., the results from 

1.a., above) are aggregated to obtain the total pounds sold for that report; and

ii. the total dollars sold in the relevant weight/frame score categories (i.e., the results from 

1.b., above) are aggregated to obtain the total dollars sold for that report.

c. For all reports covering relevant transactions that occurred within the same seven calendar day 

period:

i. the total pounds (i.e., the results from 2.a., above) are aggregated to obtain the total 

pounds sold within the 12-state region during that seven calendar day period; and

ii. the total dollars (i.e., the results from 2.b., above) are aggregated to obtain the total 

dollars sold within the 12-state region during that seven calendar day period.

d. The total dollars sold within the 12-state region during that seven calendar day period (i.e., the 

result from 3.b., above) is divided by the total pounds sold within the 12-state region during that 
6

same seven calendar day period (i.e., the result from 3.a., above) to obtain the CME Feeder 

Cattle IndexTM.

Should USDA price reporting be unavailable during any portion of the final settlement pricing timeframe, CME 

may utilize data compiled from futures market activity during that corresponding pricing timeframe to calculate 

the final settlement price.

[Remainder of Chapter unchanged.]

Chapter 101

Live Cattle Futures

***

10103. SETTLEMENT PROCEDURES

10103.A. Sources and Calculation of Adjustment Factors 

Quality grade adjustments for all delivery units will make use of the live weight equivalent of the ChoiceSelect boxed beef spread calculated from information reported by USDA (in $/cwt.) for the day of tender 

in the National Daily Boxed Beef Cutout and Boxed Beef Cuts – Negotiated Sales – Afternoon report. 

This is referred to hereafter as the Live Equivalent Choice-Select Spread (LECSS) and is computed by 

subtracting the “Selected Boxed Beef Cut-Out Value” from the “Choice Boxed Beef Cut-Out Value” and 

multiplying that result by 0.0063. If the USDA National Daily Boxed Beef Cutout and Boxed Beef Cuts –

Negotiated Sales – Afternoon report for the day of tender is unavailable, the most recently issued report 

on or prior to the day a Certificate is tendered shall serve as the source of information for calculating the 

quality grade adjustments for all delivery units. 

The USDA By-Product Drop Value report for the day of tender shall serve as the source of information 

for calculating the condemned liver factor used in carcass-graded deliveries. The condemned liver factor 

shall equal the reported liver value (in $/cwt.) multiplied by -0.01. If the USDA By-Product Drop Value 

report for the day of tender is unavailable, the most recently issued report on or prior to the day a 

Certificate is tendered shall serve as the source of information for calculating the condemned liver factor 

used in carcass-graded deliveries.

In addition, quality grade, yield grade and carcass weight adjustments will make use of factors calculated 

from values reported by USDA (in $/cwt.) in the 5-Area Weekly Weighted Average Direct Slaughter Cattle 

– Premiums and Discounts report. The Prime, Standard, Yield Grade 1, Yield Grade 2, Yield Grade 4, 

Yield Grade 5, 400-500 lbs., 500-550 lbs, 550-600 lbs., 900-1000 lbs., 1000-1050 lbs. and over 1050 lbs. 

factors are calculated by multiplying the reported weighted average for the corresponding category by 

0.0063. If a quality grade or yield grade is broken into subcategories on this report, then the factor for that 

quality or yield grade shall be the simple average of all reported averages for the subcategories in that 

category multiplied by 0.0063. The most recently issued report on or prior to with respect to the day a 

Certificate is tendered shall be used to calculate the factors for that delivery unit. When a Certificate is

tendered on the same day that a new report is issued that new report shall be used in factor calculation 

regardless of the time of day that the report is released. 

The sub-Standard factor shall equal -25% of the tender day settlement price. 

Should the USDA determine that an error exists in any of the reports used to calculate adjustment factors 

and subsequently issues a corrected report, that corrected report shall be used in place of the original. 

[Remainder of Chapter unchanged.]