SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 22-468

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): 12/06/22 Filing Description: Amendments to Rule 19101.A. 

(“Contract Grade”) of the Long-Term U.S. Treasury Note Futures (61⁄2 to 10-Year) Contract

Commencing with the September 2023 Contract Month and Beyond

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: Long-Term U.S. Treasury Note Futures (61⁄2 to 10-Year).

Rule Numbers: CBOT Rulebook Chapter 19.
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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Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

December 6, 2022

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. Amendments to Rule 19101.A. (“Contract 

Grade”) of the Long-Term U.S. Treasury Note Futures (61⁄2 to 10-Year) Contract 

Commencing with the September 2023 Contract Month and Beyond.

CBOT Submission No. 22-468

The Board of Trade of the City of Chicago, Inc. (“CBOT” or “Exchange”) certifies to the Commodity Futures 

Trading Commission (“CFTC” or “Commission”) amendments to Rule 19101.A. (“Contract Grade”) of the

Long-Term U.S. Treasury Note Futures (61⁄2 to 10-Year) contract (the “Contract”) effective on Tuesday, 

December 20, 2022 for trade date Wednesday, December 21, 2022 commencing with the September 2023 

contract month and beyond.

Contract Title

CME Globex / 

CME 

ClearPort

Code

Rulebook 

Chapter

Long-Term U.S. Treasury Note Futures (61⁄2 to 10-Year)

(all contract months up to and including June 2023) ZN / 21 19

U.S. Treasury Note Futures (61⁄2 to 73⁄4-Year)

(all contract months commencing with September 2023 and 

beyond)

ZN / 21 19

Specifically, CBOT will:

Effective December 21, 2022

(1) amend Rule 19101.A. such that commencing with the September 2023 contract (which will be listed 

for trading and clearing currently on December 21, 2022), such that the terms to maturity of the 

Contract shall include notes with a remaining term to maturity of not less than 6 years 6 months and 

not greater than 7 years 9 months (Note: the existing terms to maturity shall remain unchanged for 

all previously-listed contract months of the Contract;

(2) commencing with the September 2023 contract month, amend the title of the Contract from LongTerm U.S. Treasury Note Futures (61⁄2 to 10-Year) to U.S. Treasury Note Futures (61⁄2 to 73⁄4 Year); 

and

Effective July 1, 2023

(3) upon September 2023 becoming the spot month of the Contract on July 1, 2023, implement 

administrative amendments to CBOT Chapter 19 to delete obsolete language (collectively, the “Rule 

Amendment”).

The Rule Amendments are intended ensure an effective delivery basket for a variety of interest rate 

environments and note issuance scenarios and allow all U.S. Treasury notes to be eligible for the delivery. 

Moreover, the Rule Amendments more clearly distinguish the specifications from that of CBOT’s Ultra 10-

Year U.S. Treasury Note Futures contract (Code: TN; CBOT Rulebook Chapter 26) in an environment 

where rates exceed 6%.
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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Currently, the Contract behaves as having approximately 6.5-year maturity, by tracking shortest duration 

security in the basket as the “cheapest-to-deliver (CTD)” is generally near the ‘left’ side. In an environment 

of yields above 6%, the futures CTD tends toward the longest duration security in the basket. The 

implication is that in that yield environment, the Ultra 10-Year U.S. Treasury Note Futures contract (Code: 

TN) and the Contract will likely track the same CTD near the 10-year point.

When interest rates remain well below 6%, treasury futures are likely to continue tracking the shortest 

duration securities, 6 years 6 months for the Contract and 9 years 5 months for the Ultra 10-Year U.S. 

Treasury Note Futures Futures contract (Code: TN). The Ultra 10-Year U.S. Treasury Note Futures

contract (Code: TN) basket will remain unchanged.

The deliverable basket design enables large amount of open interest buildup, far exceeding deliverable 

supply of any one security.

Appendix A and Appendix B below provide amendments to CBOT Chapter 19 effective on December 21, 

2022 and July 1, 2023, respectively. Appendix C and Appendix D provided under separate cover provide

amendments to the Position Limit, Position Accountability and Reportable Level Table located in Chapter 

5 effective on December 21, 2022 and July 1, 2023, respectively.

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:

• Contract Not Readily Subject to Manipulation: Pursuant to the Rule Amendments, it will consist 

of eleven issues that are eligible for delivery (five 10-yr and six 7-yr notes) with projected cumulative 

issuance of about $800 B, giving it the largest basket size among the Treasury Note futures. The new 

deliverable grade will be robust and shall not be readily subject to manipulation due to the breadth 

and depth of the basket.

• 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.

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

Attachments: Appendix A Amendments to CBOT Rule 19101.A. (“Contract Grade”) (blackline 

 format) (Effective December 21, 2022)

Appendix B Amendments to CBOT Rule 19101.A. (“Contract Grade”) (blackline 

 format) (Effective July 1, 2023)
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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Appendix C Amendments to the Position Limits, Position Accountability and

Reportable Level Table in Chapter 5 of the CBOT Rulebook (attached 

under separate cover) (Effective December 21, 2022)

Appendix D Amendments to the Position Limits, Position Accountability and

Reportable Level Table in Chapter 5 of the CBOT Rulebook (attached 

under separate cover) (Effective July 1, 2023)
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Appendix A

CBOT Rulebook

[Effective December 21, 2022]

Chapter 19

(additions underscored; deletions struck through)

Long-Term U.S. Treasury Note Futures (61⁄2 to 10-Year)

(ALL CONTRACT MONTHS UP TO AND INCLUDING THE JUNE 2023 CONTRACT MONTH)

Long-Term U.S. Treasury Note Futures (61⁄2 to 10- 73⁄4-Year)

(ALL CONTRACT MONTHS COMMENCING WITH THE SEPTEMBER 2023 CONTRACT MONTH 

AND BEYOND)

***

19101. CONTRACT SPECIFICATIONS

19101.A. Contract Grade

(ALL CONTRACT MONTHS UP TO AND INCLUDING THE JUNE 2023 CONTRACT MONTH)

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. 

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., 8 years 10 months 17 days shall be taken to 

be 8 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.

19101.A. Contract Grade

(ALL CONTRACT MONTHS COMMENCING WITH THE SEPTEMBER 2023 CONTRACT MONTH AND 

BEYOND)

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 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.]
5

Appendix B

CBOT Rulebook

[Effective July 1, 2023]

Chapter 19

(deletions struck through)

Long-Term U.S. Treasury Note Futures (61⁄2 to 10-Year)

(ALL CONTRACT MONTHS UP TO AND INCLUDING THE JUNE 2023 CONTRACT MONTH)

U.S. Treasury Note Futures (61⁄2 to 73⁄4-Year)

(ALL CONTRACT MONTHS COMMENCING WITH THE SEPTEMBER 2023 CONTRACT MONTH 

AND BEYOND)

***

19101. CONTRACT SPECIFICATIONS

19101.A. Contract Grade

(ALL CONTRACT MONTHS UP TO AND INCLUDING THE JUNE 2023 CONTRACT MONTH)

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) remaining term to maturity of not less than 6 years 6 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., 8 years 10 months 17 days shall be taken to 

be 8 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.

19101.A. Contract Grade

(ALL CONTRACT MONTHS COMMENCING WITH THE SEPTEMBER 2023 CONTRACT MONTH AND 

BEYOND)

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 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.]
6

Appendix C

CBOT Rulebook

[Effective December 21, 2022]

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability and Reportable Level Table

(attached under separate cover)

Appendix D

CBOT Rulebook

[Effective July 1, 2023]

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability and Reportable Level Table

(attached under separate cover)