SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-497

Organization: Chicago Mercantile Exchange Inc. (“CME”)

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 12/15/23 Filing Description: Amendments to the Listing Schedule 

of the Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) Futures Contract

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.
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

December 15, 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. Amendments to the Listing Schedule of the 

Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) Futures Contract.

CME Submission No. 23-497

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) is certifying to the Commodity Futures Trading 

Commission (“CFTC” or “Commission”) amendments to the listing schedule for the Three-Month Bloomberg 

Short-Term Bank Yield Index (BSBY) Futures contract (the “Contract”) such that no contract month shall 

be available for trading on the CME Globex electronic trading platform (“CME Globex”) or available for 

clearing via CME ClearPort beyond the March 2026 contract month as more specifically described in Table 

1. below. This submission shall become effective on January 3, 2024. 

 Table 1. 

Contract Title

CME 

Rulebook 

Chapter

CME Globex 

and

CME 

ClearPort 

Code

Current

Consecutive 

Quarterly Months 

Listed for 

Trading and 

Clearing 

Amended 

Consecutive 

Quarterly 

Contract 

Months Listed 

for Trading and 

Clearing

Quarterly 

Contract 

Months Delisted 

on

December 15, 

2023

Last 

Listed 

Contract 

Month

Three-Month 

Bloomberg 

Short-Term 

Bank Yield 

Index (BSBY) 

Futures

454 BSB

December 2023 

through

December 2028

March 2024 

through

March 2026

June 2026

September 2026

December 2026

March 2027

June 2027

September 2027

December 2027

March 2028

June 2028

September 2028

December 2028

March 

2026

In addition to amending the listing schedule of the Contract, effective immediately, CME will delist the June 

2026, September 2026, December 2026, March 2027, June 2027, September 2027, December 2027, 

March 2028, June 2028, September 2028, and December 2028 contract months. There is no open interest 

in the impacted contract months being delisted (collectively, the “Rule Amendments”).
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

2

CME is implementing the Rule Amendments as a result of upcoming cessation of the Bloomberg Short 

Term Bank Yield (“BSBY”) Index.

1

Details regarding the Exchange’s plan regarding the remaining contract months post index cessation shall 

be forthcoming.

The Exchange reviewed the designated contracts 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:

• Compliance with Rules: As a result of the Rule Amendments, the Exchange shall continue its 

normal practice to establish, monitor, and enforce compliance with the rules for the Contract.

• Prevention of Market Disruption: The Exchange has the capacity to detect abnormal price 

movements and unusual trading volumes, including such abnormal price movements or trading 

volumes as may associated with bilaterally negotiated trades. The Exchange holds the authority 

to take remedial action as appropriate.

• Daily Publication of Trading Information: The Exchange will continue to publish on its website 

information regarding contract specifications, terms and conditions, as well as daily trading volume, 

open interest and price information for the Contract.

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

(“SER”) regarding the Rule Amendments. The SER will also be posted on the CME Group website.

• Execution of Transactions: The Rule Amendments will further enable the Exchange to continue 

their current practice of providing a competitive, open, and efficient market mechanism for 

executing transactions. 

Pursuant to Section 5c(c) of the Act and CFTC Regulations 40.6(a), 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 CMEGSubmissionInquiry@cmegroup.com. 

Sincerely,

/s/ Timothy Elliott

Managing Director and Chief Regulatory Counsel

1 On November 15, 2023 Bloomberg L.P. announced that the cessation of the BSBY index will occur on November 15, 2024.