SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 24-055

Organization: The Board of Trade of the City of Chicago, Inc. (“CBOT”)

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 01/08/24 Filing Description: Weekly Notification of Amendments 

Related to Product Terms and Conditions (Week of January 1, 2024)

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 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

1

Timothy Elliott

Managing Director and Chief Regulatory Counsel

Legal Department

January 8, 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 40.6(d) Notification. The Board of Trade of the City of Chicago, Inc. 

(“CBOT” or “Exchange”) Weekly Notification of Amendments Related to Product 

Terms and Conditions.

CBOT Submission No. 24-055

Dear Mr. Kirkpatrick:

Pursuant to Commodity Futures Trading Commission (“CFTC” or “Commission”) Regulation 40.6(d), the 

Exchange submits this weekly notification of the following amendments related to product terms and 

conditions made effective during the week of January 1, 2024.

Effective Tuesday, January 2, 2024, the Exchange implemented administrative amendments to the contract 

title of all U.S. Treasury Note futures and options contracts as more specifically noted in Exhibit A below. 

The marketplace was alerted of the amendments via Special Executive Report (“SER”) 9302, which is 

attached hereto as Exhibit A.

If you require any additional information, 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: Exhibit A – SER 9302
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Exhibit A

Special Executive Report

DATE: December 12, 2023

SER#: 9302 

SUBJECT: Administrative Amendments to the Contract Title of all U.S. Treasury Note 

(61⁄2 to 73⁄4-Year) Futures and Options Contracts

Effective Tuesday, January 2, 2024, The Board of Trade of the City of Chicago, Inc. (“CBOT” or “Exchange”) 

will implement administrative amendments to the contract title of all U.S. Treasury Note futures and options 

contracts (the “Contracts”) as more specifically noted in Table 1. below (collectively, the “Amendments”). 

 Table 1.

Contract Title Rulebook 

Chapter

Commodity 

Code

U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) 19 21

Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) 19A 21

Friday Weekly Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) -

Week 1 19A TY1

Friday Weekly Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) -

Week 2 19A TY2

Friday Weekly Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) -

Week 3 19A TY3

Friday Weekly Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) -

Week 4 19A TY4

Friday Weekly Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) -

Week 5 19A TY5

Monday Weekly Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) -

Week 1 19A VY1

Monday Weekly Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) -

Week 2 19A VY2

Monday Weekly Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) -

Week 3 19A VY3

Monday Weekly Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) -

Week 4 19A VY4

Monday Weekly Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) -

Week 5 19A VY5

Wednesday Weekly Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) -

Week 1 19A WY1

Wednesday Weekly Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) -

Week 2 19A WY2

Wednesday Weekly Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) -

Week 3 19A WY3

Wednesday Weekly Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) -

Week 4 19A WY4
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Wednesday Weekly Options on U.S. Treasury Note Futures (6 1⁄2 to 873⁄4-Year) -

Week 5 19A WY5

The Amendments are designed to enhance clarity regarding the eligibility of U.S. Treasury notes for the 

deliverable basket of the Contracts. In accordance with CBOT Chapter 19, the remaining term to maturity 

for a U.S. Treasury note is to be "rounded down to the nearest three-month increment." Market participants 

advised that this language has caused confusion, particularly for notes with more than 7 years and 9 months 

but less than 8 years remaining term to maturity prior to rounding.

For example, a note with a remaining term to maturity of 7 years and 11 months would be rounded down 

to 7 years and 9 months. However, market participants advised that there is a lack of clarity regarding the 

inclusion of notes with 7 years and 11 months remaining term to maturity, as may by suggested in the 

Contracts’ title. The Amendments are designed to alleviate such potential confusion.

It is important to note that the Amendments are administrative in nature and shall solely serve as 

clarification. The Amendments will in no manner impact the notes which have been or shall be included in 

the respective deliverable basket of the Contracts.

Amendments to CBOT Chapter 19 and Chapter 19A are provided in Appendix A in blackline format. 

The Commodity Futures Trading Commission (“CFTC”) will be notified of the Amendments during the week 

of January 8, 2024, via the weekly notification procedures set forth in Part 40 of the CFTC’s Regulations.

Inquiries regarding this matter may be directed to:

Brendan Wilson Brendan.Wilson@cmegroup.com (347) 819-2663 

Brendan Lee Brendan.Lee@cmegroup.com (646) 709-5934
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Appendix A

CBOT Rulebook

Chapter 19

U.S. Treasury Note Futures (61⁄2 to 873⁄4-Year)

(additions underscored; deletions struck through)

19100. SCOPE OF CHAPTER

This chapter is limited in application to trading of U.S. Treasury Note futures 6 1⁄2 to 87 3⁄4-Year. The procedures for 

trading, clearing, delivery, and settlement, and any other matters not specifically covered herein or in Chapter 7 shall 

be governed by the general rules of the Exchange.

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

19101. CONTRACT SPECIFICATIONS

19101.A. Contract Grade

The contract grade for delivery on futures made under these Rules shall be U.S. Treasury fixed-principal notes which 

have fixed semi-annual coupon payments, and which have:

(a) an original term to maturity (i.e., term to maturity at issue) of not more than 10 years; and

(b) a remaining term to maturity of not less than 6 years 6 months and less than 8 years not greater than 7 

years 9 months. 

For the purpose of determining a U.S. Treasury note’s eligibility for contract grade, its remaining term to maturity shall 

be calculated from the first day of the contract’s named month of expiration, and shall be rounded down to the nearest 

three-month increment (e.g., 6 years 10 months 17 days shall be taken to be 6 years 9 months). New issues of U.S. 

Treasury notes that satisfy the standards in this Rule shall be added to the contract grade as they are issued. 

Notwithstanding the foregoing, the Exchange shall have the right to exclude any new issue from the contract grade or 

to further limit outstanding issues from the contract grade.

[Remainder of Rule unchanged.]

Chapter 19A

Options on U.S. Treasury Note Futures (6 1⁄2 to 87 3⁄4-Year)

(additions underscored; deletions struck through)

19A00. SCOPE OF CHAPTER

This chapter is limited in application to put and call options on U.S. Treasury Note futures (6 1⁄2 to 87 3⁄4-

Year). In addition to the rules of this chapter, transactions in such options shall be subject to the general 

rules of the Exchange insofar as applicable.

For purposes of this chapter, unless otherwise specified, times of day shall refer to and indicate Chicago 

time.

19A01. OPTIONS CHARACTERISTICS

19A01.A. Contract Expiration Dates and Trading Hours

Options shall be listed for expiration on such dates as may be determined by the Exchange, subject to 

Rules 19A01.D. and Rules 19A01.I.

Options shall be scheduled for trading during such hours as may be determined by the Exchange. Without 

limitation to the foregoing, markets in all options on U.S. Treasury Note futures (6 1⁄2 to 87 3⁄4-Year) futures 

generally shall be opened or closed simultaneously. 

1. All Options Excluding Monday Weekly Options and Wednesday Weekly Options

On its last day of trading, an expiring option shall cease trading at the same time as the close of trading 

on that day in such option’s Underlying Futures Contract (in accord with Rules 19A01.I.).

2. Monday Weekly Options
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On its last day of trading, an expiring Monday Weekly option shall cease trading at the same time at which 

the Exchange determines the settlement price for that day for such option’s Underlying Futures Contract 

(in accord with Rules 19A01.I.).

3. Wednesday Weekly Options

On its last day of trading, an expiring Wednesday Weekly option shall cease trading at the same time

at which the Exchange determines the settlement price for that day f o r such option’s Underlying

Futures Contract (in accord with Rules 19A01.I.).

19A01.B. Trading Unit

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

Treasury Note futures (6 1⁄2 to 87 3⁄4-Year) futures contract for a given delivery month (Chapter 19).

19A01.C. Minimum Fluctuations

The price of an option shall be in price points of such option’s Underlying Futures Contract (Rule 

19A01.D.), such that for each Underlying Futures Contract par is on the basis of 100 points, and each 

point is equal to $1,000 per Underlying Futures Contract (Rule 19102.C.).

The minimum price fluctuation for such option shall be one sixty-fourth (1/64th) of one point (equal to 

$15.625 per option contract), provided that a position in such option may be initiated or liquidated at any 

price level ranging from $1.00 to $15.00 per option contract, in $1.00 increments, unless otherwise 

specified in the current CBOT Market Regulation Advisory Notice entitled Cabinet Transactions in Options 

Products.

Where the price of such option is quoted in volatility terms, the minimum price fluctuation shall be one 

tenth (1/10th) of one percent per annum (e.g., 9.9 percent, 10.0 percent, 10.1 percent, 10.2 percent).

19A01.D. Underlying Futures Contracts

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

For any option for which the named month of expiration is in the March quarterly cycle (i.e., March, June, 

September, or December), the Underlying Futures Contract shall be U.S. Treasury Note futures (6 1⁄2 to 

87 3⁄4-Year) futures for delivery in the same month as such option’s named month of expiration. For 

example, for a given year, U.S. Treasury Note futures (6 1⁄2 to 87 3⁄4-Year) for delivery in March shall be 

the Underlying Futures Contract for a March option.

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

For any option for which the named month of expiration is not in the March quarterly cycle, (i.e., January, 

February, April, May, July, August, October, or November), the Underlying Futures Contract shall be U.S. 

Treasury Note futures (6 1⁄2 to 87 3⁄4-Year) futures for delivery in the March quarterly cycle month next 

following such option’s named month of expiration. For example, for a given year, U.S. Treasury Note 

futures (6 1⁄2 to 87 3⁄4-Year) futures for delivery in March shall be the Underlying Futures Contract for a 

January option and for a February option. 

3. Weekly Options

A weekly option shall be designated to expire on a given Friday, provided that no weekly option shall 

expire on any Friday that is also the scheduled last day of trading in a quarterly option (Rule 19A01.D.1.) 

or a serial option (Rule 19A01.D.2.). For any weekly option, the Underlying Futures Contract shall be 

U.S. Treasury Note futures (6 1⁄2 to 87 3⁄4-Year) futures for delivery in a March quarterly cycle month 

following such option’s date of expiration, as designated by the Exchange when such weekly option is 

listed for trading.

For an Underlying Futures Contract for a given delivery month, all weekly options shall expire prior to the 

expiration of quarterly options (Rule 19A01.D.1. and Rule 19A01.I.1.).

4. Monday Weekly Options

For any Monday Weekly option, the Underlying Futures Contract shall be U.S. Treasury Note futures (6 

1⁄2 to 87 3⁄4-Year) futures for delivery in a March quarterly cycle month following such option’s date of 

expiration, as designated by the Exchange when such Monday Weekly option is listed for trading. For an 

Underlying Futures Contract for a given delivery month, all Monday Weekly options shall expire prior to 

the expiration of quarterly options (Rule 19A01.D.1. and Rule 19A01.I.1.).

5. Wednesday Weekly Options 

For any Wednesday Weekly option, the Underlying Futures Contract shall be U.S. Treasury Note futures 

(6 1⁄2 to 87 3⁄4-Year) futures for delivery in a March quarterly cycle month following such option’s date of 

expiration, as designated by the Exchange when such Wednesday Weekly option is listed for trading. For 

an Underlying Futures Contract for a given delivery month, all Wednesday Weekly options shall expire 

prior to the expiration of quarterly options (Rule 19A01.D.1. and Rule 19A01.I.1.).
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19A01.E. Exercise Prices

1. One Half (1/2) of One (1) Point Exercise Prices

Option exercise prices shall be in terms of U.S. Treasury Note futures (6 1⁄2 to 87 3⁄4-Year) futures price 

points (Rule 19102.C.) and shall be in integer multiples of one half (1/2) of one (1) point (Rule 19A01.C.). 

At the commencement of trading in option contracts for a given expiration date, the Exchange shall list 

put and call options at the exercise price that is nearest the previous day's settlement price of the 

respective Underlying Futures Contract (“at-the-money price” or “ATM price”). If the previous day’s 

Underlying Futures Contract settlement price is midway between two eligible option exercise price levels, 

then the ATM price shall be set as the higher of the two eligible exercise price levels.

The Exchange also shall list Quarterly put and call options and Serial put and call options for trading at 

all eligible exercise price levels in a range of 25 points above and 25 points below (i.e., 50 exercise price 

levels above and 50 exercise price levels below) the ATM exercise price, and shall list Weekly put and 

call options, Monday Weekly put and call options, and Wednesday Weekly put and call options for trading 

at all eligible exercise price levels in a range of 12 1/2 points above and 12 1/2 points below (i.e., 25 

exercise price levels above and 25 exercise price levels below) the ATM exercise price.

Thereafter, the Exchange shall add new put and call options to ensure that such Quarterly and Serial 

options are listed for trading at all eligible exercise prices in a range of at least 25 points above and at 

least 25 points below, and that such Weekly, Monday Weekly, and Wednesday Weekly options are listed 

for trading at all eligible exercise prices in a range of at least 12 1/2 points above and at least 12 1/2 

points below, the ATM exercise price level that is set with reference to the most recent Underlying Futures 

Contract settlement price.

New options may be listed for trading up to and including the termination of trading in such options. 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 an integer multiple of one half (1/2) of one (1) price point (Rule 

19A01.C.). The Exchange may modify the procedure for the introduction of exercise prices as it deems 

appropriate.

2. Special Listings of One Quarter (1/4) of One Point Exercise Prices

At any given time, the Exchange shall ensure that options are listed for trading at exercise prices that are 

in terms of U.S. Treasury Note futures (6 1⁄2 to 87 3⁄4-Year) futures price points (Rule 19102.C.) and shall 

be in integer multiples of one quarter (1/4) of one (1) point for (i) all Weekly Options and (ii) the nearest 

expiring Serial or Quarterly Options (Rule 19A01.C.). For any Weekly, Serial or Quarterly Options with 

exercise price levels in integer multiples of one quarter (1/4) of one (1) point, the Exchange shall add new 

put and call options in integer multiples of one quarter (1/4) of one (1) price point in a range of at least 3 

points above and at least 3 points below (i.e. 6 additional exercise price levels above and 6 additional 

exercise prices below) the ATM exercise price level that is set with reference to the most recent 

Underlying Futures Contract settlement price. 

[Remainder of Rule unchanged.]