SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested

Registered Entity Identifier Code (optional): 23-383

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 09/06/2023 Filing Description: Weekly Notification of Rule 

Amendments - Week of August 28, 2023

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: N/A

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: 

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

September 6, 2023

VIA ELECTRONIC PORTAL

Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

RE: Weekly Notification of Rule Amendments

CME Clearing Submission No. 23-383

Dear Mr. Kirkpatrick:

Pursuant to Commission Regulation 40.6(d), the clearing house division of Chicago Mercantile Exchange Inc. (“CME 

Clearing”) submits this Weekly Notification of the following rule amendments issued during the week of August 28,

2023: 

• Effective August 30, 2023, CME Clearing implemented non-substantive, administrative amendments to CME 

Chapter iii (“Definitions”) and Chapter 9 (“Clearing Members”) (collectively, the “Amendments”) to 

appropriately reference the incorporation of the SPAN 2 framework as approved by the Commission (see 

Submission No. 19-213R dated July 5, 2019). The Amendments reflect the current practice of the Exchanges 

and are attached hereto in blackline format as Exhibit A.

Copies of the above-referenced materials are available at www.cmegroup.com. If you require any additional 

information, please e-mail CMEGSubmissionInquiry@cmegroup.com or contact the undersigned at (212) 299-2200.

Sincerely,

/s/ Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachment: Exhibit A – Amendments to CME Chapter iii and CME Chapter 9 (blackline format) 
2

Exhibit A

(deletions are overstruck, additions are underlined)

CME Rulebook

Chapter iii

Definitions

INITIAL PERFORMANCE BOND

Generally, a factored amount over the maintenance performance bond requirement as calculated determined by the 

SPAN® performance bond system.Clearing House.

MAINTENANCE PERFORMANCE BOND

The minimum amount of performance bond equity required to be maintained in an account. The maintenance 

performance bond requirement is the actual risk performance bond as calculated determined by the SPAN® 

performance bond systemClearing House.

SPAN 2

A filtered historical value at risk margining framework.

[The remainder of the Definitions are unchanged]

CME Rulebook

Chapter 9

Clearing Members

***

930. PERFORMANCE BOND REQUIREMENTS: ACCOUNT HOLDER LEVEL

930.A. Performance Bond System

The Standard Portfolio Analysis of Risk (“SPAN®”) Performance Bond System is and SPAN 2 are the 

performance bond system systems adopted by the Exchange. SPAN and SPAN 2-generated 

performance bond requirements shall constitute Exchange performance bond requirements. All 

references to performance bond within the rules of the Exchange shall relate to those computed by the 

SPAN system or SPAN 2 systems, except for cleared over-the-counter (“OTC”) foreign exchange (“FX”) 

and interest rate swap (“IRS”) transactions, where the Historical Value at Risk (“HVaR”) Performance 

Bond System is used for cleared OTC FX and IRS transaction performance bonds.

Performance bond systems other than the SPAN system or SPAN 2 systems may be used to meet 

Exchange performance bond requirements if the clearing member can demonstrate that its system will 

always produce a performance bond requirement equal to or greater than the SPAN and SPAN 2

performance bond requirements.

[The remainder of the Rule is unchanged]