SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-257 (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): 08/10/23 Filing Description: Availability of Calendar Spread Basis 

Trade at Index Close (“BTIC”) Block Trades Submitted for Clearing via CME ClearPort for 

Certain CME and CBOT Equity Index 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: See filing.

New Product Please note only ONE product per Submission.

Certification § 40.2(a) 

Certification Security Futures § 41.23(a)

Certification Swap Class § 40.2(d)

Approval § 40.3(a)

Approval Security Futures § 41.23(b)

Novel Derivative Product Notification § 40.12(a)

Swap Submission § 39.5

Product Terms and Conditions (product related Rules and Rule Amendments)

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(c)

Approval Amendments to enumerated agricultural products § 40.4(a), § 40.5(a)

“Non-Material Agricultural Rule Change” § 40.4(b)(5)

Notification § 40.6(d)

Official Name(s) of Product(s) Affected: 

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

1

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

August 10, 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. Availability of Calendar Spread Basis 

Trade at Index Close (“BTIC”) Block Trades Submitted for Clearing via CME 

ClearPort for Certain CME and CBOT Equity Index Futures Contracts.

CME Submission No. 23-257 (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 availability of calendar spread Basis Trade at Index Close (“BTIC”) block trades 

submitted for clearing via CME ClearPort for the CME E-mini S&P 500 Index Futures, CME E-mini Nasdaq100 Index Futures, CME E-mini Russell 2000 Index Futures, and CBOT E-mini Dow Jones Industrial 

Average Index Futures contracts (collectively, the “Contracts”) in the nearby two (2) contact months as 

more specifically described in Exhibit A below (collectively, the “Rule Amendments”) effective on Sunday, 

August 27, 2023 for trade date Monday, August 28, 2023. 

Exhibit A

Thresholds and Reporting Requirements for Block Trades Table

(additions underscored)

Product 

Group Exchange Clearing Code Product Description BlockThreshold

Reporting 

Window

Equity

Index CME EST

BTIC on E-mini Standard 

and Poor's 500 Stock Price 

Index Futures ‡

RTH: 500

ETH: 100

ATH: 100

15

Equity

Index CME NQT BTIC on E-mini Nasdaq 100 Futures ‡

RTH: 500

ETH: 100

ATH: 100

15

Equity

Index CME RLT BTIC on E-mini Russell 2000 Index Futures ‡

40 15

Equity

Index CBOT YMT

BTIC on E-mini Dow Jones 

Industrial Average Index 

Futures ‡

RTH: 500

ETH: 100

ATH: 100

15

‡ BTIC Intra-commodity spread eligible via a single ticket for intra-commodity spreads 

between first two contract months, only. Each leg must meet the applicable block trade 

minimum threshold. Parties wishing to effectuate an intra-commodity spread in any other 

contract month will be required to negotiate the transaction as separate outright block 

trades, with each leg meeting the applicable block trade minimum threshold.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

2

Each leg of these calendar BTIC block trades must meet the applicable minimum block trade threshold. 

Market participants wishing to effectuate an intra-commodity spread in contract months other than the 

nearby two (2) contract months will be required to negotiate and submit the transactions as separate 

outright block trades. 

The Exchanges are implementing the Rule Amendments in response to market participants’ requests for 

ease of executing such calendar spread transactions. Upon review, the Exchanges determined to avail 

the execution type in the two (2) nearby contract months and will encourage market 

participants to continue to leverage CME Group’s central limit order book, the CME Globex electronic 

trading platform (“CME Globex”), for execution of similar transactions in future months and to roll positions.

The Exchanges 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: 

• Availability of General Information: The Exchanges shall disseminate a Special Executive 

Report (“SER”) that sets forth information with regard to specifications, terms, and conditions of the 

Contracts. In addition to such SER, daily trading volume, open interest, and price information for 

the Contracts shall be published on the Exchanges’ website. 

• Daily Publication of Trading Information: The Exchanges shall publish trading volumes, open 

interest levels, and price information daily of the transactions on the CME Group website.

• Compliance with Rules: The Exchanges will continue its normal practice to establish, monitor, 

and enforce compliance with the rules of the transactions.

Pursuant to Section 5c(c) of the Act and CFTC Regulation 40.6(a), the Exchanges certify that the Rule 

Amendments comply 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 Exchanges’ 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