SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 22-360

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 08/24/22 Filing Description: Revised Listing Schedule for All 

Mid-Curve and Calendar Spread Options on Three-Month Eurodollar 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

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.
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 24, 2022

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. Revised Listing Schedule for All MidCurve and Calendar Spread Options on Three-Month Eurodollar Futures

Contracts.

CME Submission No. 22-360

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 all Mid-Curve and Calendar 

Spread Options on Three-Month Eurodollar Futures contracts (the “Contracts”) as noted in the Exhibit A

below effective trade date September 12, 2022 (collectively, the “Rule Amendments”). 

No additional Weekly Mid-Curve, Term Mid-Curve, Mid-Curve, and Calendar Spread Options contracts will 

be listed after Monday, September 12, 2022. Serial listings for Yearly Mid-Curve Options will be amended 

so that no additional serial contracts will be listed after February 2023. Please note, all currently listed 

expirations will remain listed and available for trading. Additionally standard Eurodollar serial options will 

continue to be listed including the April and May 2023 contracts.

In a separate but related matter, CME amended the listing schedule for all Quarterly Options on ThreeMonth Eurodollar Futures contracts (see Submission No. 22-195 for additional details). 

Exhibit A

Contract 

Title

Rulebook 

Chapter

CME 

Globex /

CME 

ClearPort 

Code

Current Listing 

Schedule

Amended 

Listing 

Schedule 

Commencing

September 12, 

2022

Effected 

Contracts

One-Year 

Mid-Curve 

Options on 

Three-Month 

Eurodollar 

Futures

452A GE0 / E0

Quarterly 

contracts (Mar, 

Jun, Sep, Dec) 

listed for 4

consecutive 

quarters and 

serial contracts 

No additional 

serials shall be 

added upon a 

front serial 

expiration

April and May 

2023 serials 

and all 

subsequent 

serials will not 

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

2

listed for 4 

months

Two-Year 

Mid-Curve 

Options on 

Three-Month 

Eurodollar 

Futures

452A GE2 / E2

Quarterly 

contracts (Mar, 

Jun, Sep, Dec) 

listed for 4

consecutive 

quarters and 

serial contracts 

listed for 4 

months

No additional 

serials shall be 

added upon a 

front serial 

expiration

April and May 

2023 serials 

and all 

subsequent 

serials will not 

be listed

Three-Year 

Mid-Curve 

Options on 

Three-Month 

Eurodollar 

Futures

452A GE3 / E3

Quarterly 

contracts (Mar, 

Jun, Sep, Dec) 

listed for 4

consecutive 

quarters and 

serial contracts 

listed for 4 

months

No additional 

serials shall be 

added upon a 

front serial 

expiration

April and May 

2023 serials 

and all 

subsequent 

serials will not 

be listed

Four-Year 

Mid-Curve 

Options on 

Three-Month 

Eurodollar 

Futures

452A GE4 / E4

Quarterly 

contracts (Mar, 

Jun, Sep, Dec) 

listed for 4

consecutive 

quarters and 

serial contracts 

listed for 4 

months

No additional 

serials shall be 

added upon a 

front serial 

expiration

April and May 

2023 serials 

and all 

subsequent 

serials will not 

be listed

Five-Year 

Mid-Curve 

Options on 

Three-Month 

Eurodollar 

Futures

452A GE5 / E5

Quarterly 

contracts (Mar, 

Jun, Sep, Dec) 

listed for 4

consecutive 

quarters and 

serial contracts 

listed for 4 

months

No additional 

serials shall be 

added upon a 

front serial 

expiration

April and May 

2023 serials 

and all 

subsequent

serials will not 

be listed

Weekly OneYear MidCurve 

Options on 

Three-Month 

Eurodollar 

Futures –

Week 1

452A E01 / 1K Weekly contracts 

listed for 2 weeks

No additional 

weeklies shall 

be added upon 

a front weekly 

expiration

Week 1 

October and 

all subsequent 

contracts

Weekly OneYear MidCurve 

Options on 

452A E02 / 2K Weekly contracts 

listed for 2 weeks

No additional 

weeklies shall 

be added upon Week 1 

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

3

Three-Month 

Eurodollar 

Futures –

Week 2

a front weekly 

expiration

all subsequent 

contracts

Weekly OneYear MidCurve 

Options on 

Three-Month 

Eurodollar 

Futures –

Week 3

452A E03 / 3K Weekly contracts 

listed for 2 weeks

No additional 

weeklies shall 

be added upon 

a front weekly 

expiration

Week 1 

October and 

all subsequent 

contracts

Weekly OneYear MidCurve 

Options on 

Three-Month 

Eurodollar 

Futures –

Week 4

452A E04 / 4K Weekly contracts 

listed for 2 weeks

No additional 

weeklies shall 

be added upon 

a front weekly 

expiration

Week 1 

October and 

all subsequent 

contracts

Weekly OneYear MidCurve 

Options on 

Three-Month 

Eurodollar 

Futures –

Week 5

452A E05 / 5K Weekly contracts 

listed for 2 weeks

No additional 

weeklies shall 

be added upon 

a front weekly 

expiration

Week 1 

October and 

all subsequent 

contracts

Weekly TwoYear MidCurve 

Options on 

Three-Month 

Eurodollar 

Futures –

Week 1

452A E21 / EE1

Weekly contracts 

listed for 2 weeks

No additional 

weeklies shall 

be added upon 

a front weekly 

expiration

Week 1 

October and 

all subsequent 

contracts

Weekly TwoYear MidCurve 

Options on 

Three-Month 

Eurodollar 

Futures –

Week 2

452A E22 / EE2 Weekly contracts 

listed for 2 weeks

No additional 

weeklies shall 

be added upon 

a front weekly 

expiration

Week 1 

October and 

all subsequent 

contracts

Weekly TwoYear MidCurve 

Options on 

Three-Month 

Eurodollar 

452A E23 / EE3 Weekly contracts 

listed for 2 weeks

No additional 

weeklies shall 

be added upon 

a front weekly 

expiration

Week 1 

October and 

all subsequent 

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

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Futures –

Week 3

Weekly TwoYear MidCurve 

Options on 

Three-Month 

Eurodollar 

Futures –

Week 4

452A E24 / EE4 Weekly contracts 

listed for 2 weeks

No additional 

weeklies shall 

be added upon 

a front weekly 

expiration

Week 1 

October and 

all subsequent 

contracts

Weekly TwoYear MidCurve 

Options on 

Three-Month 

Eurodollar 

Futures –

Week 5

452A E25 / EE5 Weekly contracts 

listed for 2 weeks

No additional 

weeklies shall 

be added upon 

a front weekly 

expiration

Week 1 

October and 

all subsequent 

contracts

Weekly 

Three-Year 

Mid-Curve 

Options on 

Three-Month 

Eurodollar 

Futures –

Week 1

452A E31 / EF1 Weekly contracts 

listed for 2 weeks

No additional 

weeklies shall 

be added upon 

a front weekly 

expiration

Week 1 

October and 

all subsequent 

contracts

Weekly 

Three-Year 

Mid-Curve 

Options on 

Three-Month 

Eurodollar 

Futures –

Week 2

452A E32 / EF2 Weekly contracts 

listed for 2 weeks

No additional 

weeklies shall 

be added upon 

a front weekly 

expiration

Week 1 

October and 

all subsequent 

contracts

Weekly 

Three-Year 

Mid-Curve 

Options on 

Three-Month 

Eurodollar 

Futures –

Week 3

452A E33 / EF3 Weekly contracts 

listed for 2 weeks

No additional 

weeklies shall 

be added upon 

a front weekly 

expiration

Week 1 

October and 

all subsequent 

contracts

Weekly 

Three-Year 

Mid-Curve 

Options on

Three-Month 

Eurodollar 

Futures –

Week 4

452A E34 / EF4 Weekly contracts 

listed for 2 weeks

No additional 

weeklies shall 

be added upon 

a front weekly 

expiration

Week 1 

October and 

all subsequent 

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

5

Weekly 

Three-Year 

Mid-Curve 

Options on 

Three-Month 

Eurodollar 

Futures –

Week 5

452A E35 / EF5 Weekly contracts 

listed for 2 weeks

No additional 

weeklies shall 

be added upon 

a front weekly 

expiration

Week 1 

October and 

all subsequent 

contracts

Three-Month 

Mid-Curve 

Options on 

Three-Month 

Eurodollar 

Futures

452A TE2

Contracts listed 

for 1 March 

quarterly 

(H/M/U/Z) and 2 

Serial Months 

(F/G/J/K/N/Q/V/X)

No additional 

monthly shall 

be added upon 

a front monthly 

expiration

Dec 2022 and 

all subsequent 

contracts

Six-Month 

Mid-Curve 

Options on 

Three-Month 

Eurodollar 

Futures

452A TE3

Contracts listed 

for 1 March 

quarterly 

(H/M/U/Z) and 2 

Serial Months 

(F/G/J/K/N/Q/V/X)

No additional 

monthly shall 

be added upon 

a front monthly 

expiration

Dec 2022 and 

all subsequent 

contracts

Nine-Month 

Mid-Curve 

Options on 

Three-Month 

Eurodollar 

Futures

452A TE4

Contracts listed 

for 1 March 

quarterly 

(H/M/U/Z) and 2 

Serial Months 

(F/G/J/K/N/Q/V/X)

No additional 

monthly shall 

be added upon 

a front monthly 

expiration

Dec 2022 and 

all subsequent 

contracts

Calendar 

Spread 

Options on 

Three-Month 

Eurodollar 

Futures

452D SPO

Quarterly 

contracts (Mar, 

Jun, Sep and 

Dec) listed for 4 

consecutive 

quarters and 2 

serial contract 

months

No additional 

monthly shall 

be added upon 

a front monthly 

expiration

Sept 2023 

quarterly will 

not be listed. 

November 

2022 serial 

will be the last 

serial listed

The Rule Amendments are being implemented so that no additional contract months will be available for 

trading and clearing beyond the June 2023 contract month as a result of the final publication date for USD 

3-month LIBOR effective on June 30, 2023, the prices of which are utilized to calculate the final settlement 

of the Contracts.

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:

Daily Publication of Trading Information: CME will continue to publish contract trading volumes, 

open interest levels, and price information daily on its website.

Execution of Transactions: The Exchange will continue to provide a competitive, open, and efficient 

market and mechanism for executing transansactions that protects the price discovery process of 

trading the Contracts. 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

6

Availability of General Information: The Exchange will release a Special Executive Report (“SER”) 

regarding the Rule Amendments to ensure notification to market participants. The SER will also be 

posted on the CME Group website.

Pursuant to Section 5c(c) of the Act and CFTC Regulation 40.6(a), CME hereby certifies that the Rule 

Amendments comply with the Act, including the 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 Exchange’s 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