SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 22-488

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): 11/17/22 Filing Description: Decrease of Spot Month Position 

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

November 17, 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. Decrease of the Spot Month Position Limits for 

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

CBOT Submission No. 22-488

Dear Mr. Kirkpatrick:

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

Futures Trading Commission (“CFTC” or “Commission”) amendments to CBOT Chapter 5 Position Limits, 

Position Accountability and Reportable Level table (the “Table”) to decrease the spot-month limit for the 

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

September 2023 contract month and beyond. This submission shall become effective on December 5, 

2022.

Contract Title Rulebook 

Chapter

CME Globex / 

CME ClearPort

Code

Spot-Month 

Limit (in Net 

Futures 

Equivalents)

(Up to and 

including the 

June 2023

Contract 

Month)

Spot-Month Limit (in 

Net Futures 

Equivalents)

(Commencing with 

the September 2023

Contract Month and 

Beyond)

Long-Term U.S. 

Treasury Note Futures 

(61⁄2 to 10-Year)

19 ZN/21 100,000 75,000

The Table will be amended to reflect the aforementioned changes to the Contract. Exhibit A provides 

amendments to the Table effective December 5, 2022. Exhibit B provides amendments to the Table on 

June 30, 2023, the date the September 2023 contract month of the Contract becomes the lead month

(collectively, the “Rule Amendments”). Note that the September 2023 contract month will be listed for 

trading and clearing on December 21, 2022.

The Exchange reviewed recent auction activity in deliverable-grade US Treasury Notes and Bonds of 

CBOT’s Treasury futures products. The Rule Amendments are partially attributable to smaller 7-year and 

10-year note issue sizes. The Exchange is providing advanced notification to market participants with 

application commencing with the September 2023 contract month and beyond to provide multiple quarters 

for consideration of the Rule Amendments prior to implementation. This amount of advance notification is 

intended to alleviate any potential disruptions. The decreased spot month position limit of the Contract will 

not apply to any futures delivery months with existing open interest.
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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The position limits for the remaining Treasury Note and Bond futures will remain at current levels – reflecting 

the Exchange’s determination that these limits are appropriate to the characteristics and supply of contractgrade Treasury notes and bonds that are eligible for delivery into these futures contracts.

For any given Treasury futures contract, the Exchange establishes and periodically reevaluates the 

corresponding position limit in light of both market conditions and the structure of the basket of deliverablegrade securities for such contract. Among the factors taken into consideration are: (a) the size distribution 

and supply of such deliverable-grade issues, (b) the proximity of market yields on deliverable grade issues 

to the 6% notional yield that the Exchange uses to set conversion factors for standardization of contract 

delivery invoice prices, and (c) the distribution of durations among Treasury issues eligible for delivery into 

the contract.

CBOT first implemented position limits in expiring Treasury futures in June 2005 in an effort to mitigate 

congested deliveries that might arise as a result of structural imbalances between the futures and cash 

markets. As in earlier instances, the aim of the present reexamination and revision is to ensure that the 

position limits comport with both market conditions and scale of deliverable supply.

The Exchange reviewed the designated contract market core principles (“Core Principles”) as set forth in 

the Commodity Exchange Act (“Act”) and identified that the Rule Amendments may have some bearing on 

the following Core Principles.

• Contracts Not Readily Subject to Manipulation: The Rule Amendments are designed 

to set position limits in expiring Treasury futures at levels that are consistent with existing 

and expected deliverable supplies of cash Treasury securities. As such, the proposed rule 

will eliminate the potential for congested deliveries of cash securities during delivery 

periods and thus obviate the chance of manipulation by market participants.

• Prevention of Market Disruption: The Rule Amendments, which determines position 

limits in expiring Treasury futures at levels that are consistent with existing and expected 

deliverable supplies of cash Treasury securities, will provide the Exchange’s market 

surveillance, compliance, and enforcement functions with an important metric for 

preventing market disruptions, price distortions, and delivery disruptions during delivery 

periods.

• Position Limitations or Accountability: The Rule Amendments, which sets position 

limits in expiring Treasury futures at levels that are consistent with existing and expected 

deliverable supplies of cash Treasury securities, will reduce the potential threat of market 

manipulation or delivery congestion during trading in the delivery month.

• Protection of Market Participants: The Rule Amendments, which determine position 

limits in expiring Treasury futures at levels that are consistent with existing and expected 

deliverable supplies of cash Treasury securities, will protect market participants from 

abusive trading practices by any party that seeks to benefit from unfair and inequitable 

trading practices.

• Availability of General Information: The information contained herein will be 

disseminated to the marketplace via Market Surveillance Notice. The Exchange will publish 

information on the contracts’ specifications on its website, together with daily trading 

volume, open interest, and price information.

Pursuant to Section 5c(c) of the Act and CFTC Regulation 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 this proposal.
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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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 me at (212) 299-2200 or via e-mail 

at CMEGSubmissionInquiry@cmegroup.com.

Sincerely, 

/s/Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachments: Exhibit A – Position Limit, Position Accountability, and Reportable Level Table in Chapter 5 

 of the CBOT Rulebook (attached under separate cover), effective December 5, 2022

 Exhibit B – Position Limit, Position Accountability, and Reportable Level Table in Chapter 5 

 Of the CBOT Rulebook (attached under separate cover), effective June 30, 2023
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Exhibit A

CBOT Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability and Reportable Level Table

(attached under separate cover)

(effective December 5, 2022)

Exhibit B

CBOT Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability and Reportable Level Table

(attached under separate cover)

(effective June 30, 2023)