SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-548

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 12/28/23 Filing Description: Notice of Emergency Action 

– Modification to BRL-CDI IRS Holiday Calendar and Fixed Rate

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: 

Rule Numbers: 
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

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Timothy Elliott

Managing Director and Chief Regulatory Counsel

Legal Department

December 28, 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, DC 20581

Re: CFTC Regulation 40.6(a)(6) Emergency Rule Certification.

Notification of Emergency Action – Modification to BRL-CDI IRS Holiday Calendar 

and Fixed Rate.

CME Submission No. 23-548

Dear Mr. Kirkpatrick:

Pursuant to Chicago Mercantile Exchange Inc. (“CME Clearing” or “Clearing House”) Rule 403.C. 

(“Emergency Actions”), the Clearing House Risk Committee took emergency action based on a request 

from CME Clearing staff effective immediately on December 28, 2023. The emergency action consists of 

modifying the holiday calendar and the fixed rate for Brazilian Real CDI interest rate swaps (“BRL-CDI 

IRS”) and making any necessary adjustments to the present-value notional of BRL-CDI IRS to maintain 

the future-value notional of those instruments. This action was prompted by the Brazil national 

government’s adoption of a new national holiday. 

CME Rulebook Chapter 901 provides terms for cleared BRL-CDI IRS. Uniquely among the IRS cleared 

by the Clearing House, the calculations for BRL-CDI IRS cash flows are based on local business days 

rather than calendar days. The adoption of a new, annual holiday thus removes one business day per 

year and impacts the swap’s cash flows. 

Background

On Friday, December 22, 2023, the Brazilian President signed into law a bill to establish a new national 

holiday (“Black Awareness Day”), to be celebrated on November 20th of each subsequent year. Adoption 

of the new holiday, and resultant cash flow impacts on BRL-CDI IRS swaps that expire after November 

20, 2024, occurred on December 26, 2023. CME Clearing determined that immediate action was 

necessary in order to mitigate financial and operational impacts from this implementation of the new 

holiday by market participants and trade platforms. CME adopted the updated holiday calendar to ensure 

its ability to clear new trades by primary trade submission platforms. This step also provided consistency 

with the onshore market (Brasil Bolsa Balcao, or B3) to facilitate hedging. 

Market Outreach

The adoption of the new holiday necessarily impacted the BRL-CDI IRS cash flows. CME Clearing 

engaged market participants in determining the best approach for addressing those cash flow impacts.

Following this consultation, CME Clearing determined to maintain all economic terms of the legacy BRLCDI IRS unchanged except for the fixed rate, which was adjusted to account for any additional holidays 

that occur during the swap term. The fixed rate has been updated to a precision level of seven (7)

decimal places. Given these rounding constraints, minimal adjustments were made to the present-value 

notional of the BRL-CDI IRS to keep the future-value notional of the swaps unchanged. However, one 

market participant noted a preference for six (6) decimal places due to technological limitations. 
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

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This update to the holiday calendar and adjustments to the fixed rate and present value notional amount 

of the BRL-CDI IRS were deemed appropriate by market participants to facilitate the fungibility of legacy 

and new BRL-CDI IRS and to provide consistency with the onshore BRL market for hedging purposes.

Other potential alternatives would have created significant issues with processing and netting swaps in 

clearing, or significant profit-and-loss moves in the value of the swap. 

The marketplace was notified of the emergency action via the issuance of a Notice of Emergency Action 

(“Notice”) and CME Group Clearing House Advisory Notice 23-380 (“23-380”). A copy of the Notice 

appears in Exhibit A. 

CME Clearing reviewed the derivatives clearing organization core principles (“Core Principles”) as set 

forth in the Commodity Exchange Act (“CEA” or “Act”) and identified that the emergency action may have 

some bearing on the following Core Principles:

Public Information: The emergency action has been communicated to the marketplace via 

issuance of the Notice and 23-380. The Notice and 23-380 have been distributed via email to 

subscribers of these publications in addition to being posted publicly on the CME Group website. 

CME Clearing certifies that the emergency action to update the BRL-CDI IRS holiday calendar, adjust the 

fixed rate of such swaps and modify the present-value notional value of such swaps as set forth in this 

submission complies with the Act and regulations thereunder. As noted above, one (1) market participant 

noted a preference for six (6) decimal places due to technological limitations. There were no substantive 

opposing views to this proposal.

CME Clearing certifies that this submission has been concurrently posted on the CME Group website at

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

If you have any questions regarding this submission, please contact me 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 – Notice of Emergency Action
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Exhibit A

CHICAGO MERCANTILE EXCHANGE

NOTICE OF EMERGENCY ACTION

FILE NO.: CME 23-0009

SUBJECT: Modification to BRL-CDI IRS Holiday Calendar and Fixed Rate 

APPLICABLE

CME RULE: 403.C. CLEARING HOUSE RISK COMMITTEE — Emergency Actions (in part)

The CHRC is authorized to determine whether an emergency exists and whether emergency action 

is warranted. The following events and/or conditions may constitute emergencies:

****

b. Any action taken by the United States or any foreign government or any state or local 

government body, any other contract market, board of trade, or any other exchange or trade 

association (foreign or domestic), which may have a direct impact on trading on the Exchange; 

In the event that the CHRC determines, in the good faith exercise of its sole discretion, that an 

emergency exists, it may take any of the following emergency actions or any other action that may 

be appropriate to respond to the emergency:

f. Order any other action or undertaking to address or relieve the emergency. 

EMERGENCY ACTION: On December 28, 2023, Chicago Mercantile Exchange Inc.’s (“CME”) Clearing House Risk 

Committee (“Committee”) took emergency action to modify the holiday calendar for Brazilian RealCDI interest rate swaps (“BRL-CDI IRS”) and the fixed rate of those swaps to account for the 

introduction of a new holiday. On December 22, 2023, the President of Brazil signed into law a bill 

creating an annual holiday on November 20. On December 26, 2023, the calendars used by 

market participants and the onshore exchange were updated to reflect the new holiday. Because 

BRL-CDI IRS cash flows are calculated with respect to actual business days rather than calendar 

days, this adoption of a holiday impacted the terms and conditions of cleared swaps. In the good 

faith exercise of its sole discretion, the Committee determined that an emergency exists, and that 

emergency action is warranted.

Pursuant to Rule 403.C.2.f., effective December 28, 2023, the Clearing House is authorized to 1) 

adopt the modified holiday calendar for BRL-CDI IRS; 2) adjust the fixed rate of the BRL-CDI IRS 

to account for the newly introduced holiday; and 3) make any necessary adjustments to the 

Present Value Notional Amount of the BRL-CDI IRS to keep the future-value of the swaps 

unchanged.

EFFECTIVE

DATE: December 28, 2023