SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-009

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 01/12/23 Filing Description: Adoption of a Computational 

Conventions Rule to Clarify the Final Settlement Procedures for Three (3) Short Term 

Interest Rate 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: CME Chapters 480, 482, and 484
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

January 12, 2023

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

3 Lafayette Center

1155 21st Street NW

Washington, DC 20581

Re: CFTC Regulation 40.6(a) Certification. Adoption of a Computational Conventions 

Rule to Clarify the Final Settlement Procedures for Three (3) Short Term Interest Rate 

Futures Contracts.

CME Submission No. 23-009

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. (“CME” or “Exchanges”) certifies to the Commodity Futures Trading Commission 

(“CFTC” or “Commission”) the adoption of a Computational Conventions rule in connection with three (3) short term 

interest rate futures contracts as noted in Table 1. below (the “Contracts”) effective on Sunday, January 29, 2023 for 

trade date Monday, January 30, 2023 (collectively, the “Rule Amendments”). 

 Table 1.

Contract Title CME Rulebook 

Chapter Commodity Code

Euro Short-Term Rate (€STR) Futures 480 ESR

RepoFunds Rate (Germany) Futures 482 RFD

RepoFunds Rate (Italy) Futures 484 RFI

The adoption of the new Rule of the Contracts shall codify rounding conventions for the compounded daily rate value 

used to determine the Contracts’ final settlement prices. In addition, the new Rule will align computational conventions 

of the final settlement of the Contracts with those of the Exchange’s existing SOFR futures contracts.

Appendix A below provides amendments to the CME Rulebook Chapters with additions underscored. 

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: 

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.

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

open interest levels, and price information daily on its website and through quote vendors for the Contracts.

Prevention of Market Disruption: Trading in the Contracts will continue to be subject to the rules of the 

Exchange, which include prohibitions on manipulation, price distortion, and disruption to the cash settlement 

process. 
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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Compliance with Rules: The Exchange will continue its normal practice to establish, monitor, and enforce 

compliance with the rules of the Contracts 

Pursuant to Section 5c(c) of the Act and Regulation 40.6(a), the Exchange certifies that the Rule Amendments comply 

with the Act, including all regulations thereunder. There were no substantive opposing views to this proposal.

The Exchange certifies that this submission has been concurrently posted on the Exchange’s website at 

http://www.cmegroup.com/market-regulation/rule-fillings.html.

Should you have any questions concerning the above, please contact the undersigned at (212) 299-2200 or 

CMEGSubmissionInquiry@cmegroup.com. 

 

Sincerely,

 /s/ Christopher Bowen

 Managing Director and Chief Regulatory Counsel

Attachment: Appendix A - Amendments to CME Rulebook Chapters 480, 482, and 484 (blackline format)
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Appendix A 

CME Rulebook

Chapter 480

Euro Short-Term Rate (€STR) Futures 

***

48003. SETTLEMENT PROCEDURES

Delivery shall be by cash settlement.

48003.A. Final Settlement Price 

1. Definition of Reference Quarter

For a contract for a given delivery month, the Reference Quarter shall be the interval that ends on (and 

does not include) the third Wednesday of the contract delivery month, and that begins on (and includes) 

the third Wednesday of the third calendar month preceding the contract delivery month.

Example: For a hypothetical contract for which the delivery month is March 2022, the contract Reference 

Quarter shall start on (and shall include) the third Wednesday of December 2021 (December 15, 2021) 

and shall end on (and shall not include) the third Wednesday of March 2022 (March 16, 2022). 

2. Definition of Final Settlement Price

For a contract for a given delivery month, the Final Settlement Price shall be 100 minus compounded 

daily €STR during the contract Reference Quarter, as follows:

Final Settlement Price = 100 - R

where

R = [ Πi=1...n {1+(di /360)*(ri /100)} – 1 ] x (360/D) x 100

n =the number of TARGET market business days (“cash business days”)

during such Reference Quarter.

i = is the running variable that indexes each cash business day in such Reference Quarter,

such that i takes the values i = 1,2,...,(n-1),n.

Πi=1...n denotes the product of the values indexed by the running variable, i = 1,2,...,n.

ri the €STR value corresponding to cash business day i, expressed as an interest rate per

annum.

Example: If €STR for the ith cash business day is two and one quarter percent, then

ri = 2.25. 

di = the number of calendar days to which ri applies. For any calendar day that is not a

cash business day (eg, weekend days, TARGET market holidays), the applicable value shall be €STR

for the immediately preceding cash business day.
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Examples: If the ith day is a Monday, a Tuesday, a Wednesday, or a Thursday, and if the next following 

calendar day is a cash business day, then di = 1. If the ith day is a Friday, and if the next following 

Monday is a cash business day, then di = 3.

D = the number of calendar days in the Reference Quarter: D = Σi=1...n di.

3. Computational Conventions 

The value of R determined pursuant to Rule 48003.A.2. shall be rounded to the nearest 1/10,000th of one 

percent per annum, i.e, the nearest 1/100th of one interest rate basis point per annum, or 0.0001 Index 

points. A tie value, i.e, any such value ending in ending in 0.00005, shall be rounded away from zero. 

Example: A value of 3.14155 percent per annum would be rounded away from zero to 3.1416 percent 

per annum, and then subtracted from 100.000 to determine a contract final settlement price of 

96.8584 Index points.

[Remainder of Rule unchanged.]

Chapter 482

RepoFunds Rate (Germany) Futures 

***

48203. SETTLEMENT PROCEDURES

Delivery shall be by cash settlement.

48203.A. Final Settlement Price 

1. Definition of Reference Quarter

For a contract for a given delivery month, the Reference Quarter shall be the interval that ends on (and 

does not include) the third Wednesday of the contract delivery month, and that begins on (and includes) 

the third Wednesday of the third calendar month preceding the contract delivery month.

Example: For a hypothetical contract for which the delivery month is March 2022, the contract Reference 

Quarter shall start on (and shall include) the third Wednesday of December 2021 (December 15, 2021) 

and shall end on (and shall not include) the third Wednesday of March 2022 (March 16, 2022). 

2. Definition of Final Settlement Price

For a contract for a given delivery month, the Final Settlement Price shall be 100 minus compounded 

daily RFR Germany during the contract Reference Quarter, as follows:

Final Settlement Price = 100 - R

where

R = [ Πi=1...n {1+(di /360)*(ri /100)} – 1 ] x (360/D) x 100

n =the number of TARGET2 market business days (“cash business days”)

during such Reference Quarter.

i = is the running variable that indexes each cash business day in such Reference Quarter,

such that i takes the values i = 1,2,...,(n-1),n.
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Πi=1...n denotes the product of the values indexed by the running variable, i = 1,2,...,n.

ri the RFR Germany value corresponding to cash business day i, expressed as an interest rate per

annum.

Example: If RFR Germany for the ith cash business day is two and one quarter percent, then

ri = 2.25. 

di = the number of calendar days to which ri applies. For any calendar day that is not a

cash business day (eg, weekend days, TARGET2 market holidays), the applicable value shall be RFR 

Germany for the immediately preceding cash business day.

Examples: If the ith day is a Monday, a Tuesday, a Wednesday, or a Thursday, and if the next following 

calendar day is a cash business day, then di = 1. If the ith day is a Friday, and if the next following 

Monday is a cash business day, then di = 3.

D = the number of calendar days in the Reference Quarter: D = Σi=1...n di.

3. Computational Conventions 

The value of R determined pursuant to Rule 48203.A.2. shall be rounded to the nearest 1/10,000th of one 

percent per annum, i.e, the nearest 1/100th of one interest rate basis point per annum, or 0.0001 Index 

points. A tie value, i.e, any such value ending in ending in 0.00005, shall be rounded away from zero. 

Example: A value of 3.14155 percent per annum would be rounded away from zero to 3.1416 percent 

per annum, and then subtracted from 100.000 to determine a contract final settlement price of 

96.8584 Index points.

[Remainder of Rule unchanged.]

Chapter 484

RepoFunds Rate (Italy) Futures 

***

48403. SETTLEMENT PROCEDURES

Delivery shall be by cash settlement.

48403.A. Final Settlement Price 

1. Definition of Reference Quarter

For a contract for a given delivery month, the Reference Quarter shall be the interval that ends on (and 

does not include) the third Wednesday of the contract delivery month, and that begins on (and includes) 

the third Wednesday of the third calendar month preceding the contract delivery month.

Example: For a hypothetical contract for which the delivery month is March 2022, the contract Reference 

Quarter shall start on (and shall include) the third Wednesday of December 2021 (December 15, 2021) 

and shall end on (and shall not include) the third Wednesday of March 2022 (March 16, 2022). 
6

2. Definition of Final Settlement Price

For a contract for a given delivery month, the Final Settlement Price shall be 100 minus compounded 

daily RFR Italy during the contract Reference Quarter, as follows:

Final Settlement Price = 100 - R

where

R = [ Πi=1...n {1+(di /360)*(ri /100)} – 1 ] x (360/D) x 100

n =the number of TARGET2 market business days (“cash business days”)

during such Reference Quarter.

i = is the running variable that indexes each cash business day in such Reference Quarter,

such that i takes the values i = 1,2,...,(n-1),n.

Πi=1...n denotes the product of the values indexed by the running variable, i = 1,2,...,n.

ri the RFR Italy value corresponding to cash business day i, expressed as an interest rate per

annum.

Example: If RFR Italy for the ith cash business day is two and one quarter percent, then

ri = 2.25. 

di = the number of calendar days to which ri applies. For any calendar day that is not a

cash business day (eg, weekend days, TARGET2 market holidays), the applicable value shall be RFR 

Italy for the immediately preceding cash business day.

Examples: If the ith day is a Monday, a Tuesday, a Wednesday, or a Thursday, and if the next following 

calendar day is a cash business day, then di = 1. If the ith day is a Friday, and if the next following 

Monday is a cash business day, then di = 3.

D = the number of calendar days in the Reference Quarter: D = Σi=1...n di.

3. Computational Conventions 

The value of R determined pursuant to Rule 48403.A.2. shall be rounded to the nearest 1/10,000th of one 

percent per annum, i.e, the nearest 1/100th of one interest rate basis point per annum, or 0.0001 Index 

points. A tie value, i.e, any such value ending in ending in 0.00005, shall be rounded away from zero. 

Example: A value of 3.14155 percent per annum would be rounded away from zero to 3.1416 percent 

per annum, and then subtracted from 100.000 to determine a contract final settlement price of 

96.8584 Index points.

[Remainder of Rule unchanged.]