SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-177 (2 of 24)

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 05/04/23 Filing Description: Initial Listing of Twenty-Four 

(24) U.S. (Boston, Burbank, Houston and Philadelphia) Weather 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

Official Product Name: See filing.

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: 
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

May 4, 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, D.C. 20581

Re: CFTC Regulation 40.2(a) Certification. Initial Listing of Twenty-Four (24) U.S. 

(Boston, Burbank, Houston and Philadelphia) Weather Futures Contracts

CME Submission No. 23-177 (2 of 24)

Dear Mr. Kirkpatrick:

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

Commission (“CFTC” or “Commission”) the initial listing of twenty-Four (24) CME Degree Days Index 

Futures and CME Seasonal Strip Degree Days Index Futures for the following U.S. cities: Boston, Burbank, 

Houston and Philadelphia (collectively, the “Contracts”) for trading on the CME Globex electronic platform 

(“CME Globex”) and for submission for clearing via CME ClearPort as more specifically described below 

effective on Sunday, May 21, 2023 for trade date Monday, May 22, 2023

Contract 

Title/Commodity 

Code/Rulebook 

Chapter

Commodity 

Code

CME Rulebook Chapter

CME Degree Days Index Futures –

BOSTON HDD

403 HW

CME Seasonal Strip Degree Days Index 

Futures - BOSTON HDD NOV

405 HWX

CME Seasonal Strip Degree Days Index 

Futures - BOSTON HDD DEC

405 HWZ

CME Degree Days Index Futures -

BOSTON CDD

403 KW

CME Seasonal Strip Degree Days Index 

Futures - BOSTON CDD MAY

405 KWK

CME Seasonal Strip Degree Days Index 

Futures - BOSTON CDD JUL

405 KWN

CME Degree Days Index Futures –

BURBANK HDD

403 LP

CME Seasonal Strip Degree Days Index 

Futures - BURBANK HDD NOV

405 LPX

CME Seasonal Strip Degree Days Index 

Futures - BURBANK HDD DEC

405 LPZ

CME Degree Days Index Futures -

BURBANK CDD

403 KP

CME Seasonal Strip Degree Days Index 

Futures - BURBANK CDD MAY

405 KPK

CME Seasonal Strip Degree Days Index 

Futures - BURBANK CDD JUL

405 KPN

CME Degree Days Index Futures –

HOUSTON HDD

403 HR

CME Seasonal Strip Degree Days Index 

Futures - HOUSTON HDD NOV

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

2

CME Seasonal Strip Degree Days Index 

Futures - HOUSTON HDD DEC

405 HRZ

CME Degree Days Index Futures -

HOUSTON CDD

403 KR

CME Seasonal Strip Degree Days Index 

Futures - HOUSTON CDD MAY

405 KRK

CME Seasonal Strip Degree Days Index 

Futures - HOUSTON CDD JUL

405 KRN

CME Degree Days Index Futures –

PHILADELPHIA HDD

403 H6

CME Seasonal Strip Degree Days Index 

Futures - PHILADELPHIA HDD NOV

405 H6X

CME Seasonal Strip Degree Days Index 

Futures - PHILADELPHIA HDD DEC

405 H6Z

CME Degree Days Index Futures -

PHILADELPHIA CDD

403 K6

CME Seasonal Strip Degree Days Index 

Futures - PHILADELPHIA CDD MAY

405 K6K

CME Seasonal Strip Degree Days Index 

Futures - PHILADELPHIA CDD JUL

405 K6N

The following existing CME product chapters will be amended to include Boston, Burbank, Houston, and 

Philadelphia: 

Chapter 403 CME Degree Days Index Futures

Chapter 405 CME Seasonal Strip Degree Days Index Futures

The CME Rulebook chapters are provided in Exhibits A and B. Exhibit C provides the Exchange fees. 

Exhibit D addresses the applicable position limits and reportable position levels pursuant to Chapter 5 of 

the CME Rulebook. Exhibit E sets forth the applicable CME Globex non-reviewable trading ranges as 

prescribed in CME Rule 588.H. Exhibit F provides the market overview.

In a separate but related matter, the Exchange is concurrently listing twelve (12) European (Essen and 

Paris) weather futures contracts for trading on CME Globex and for submission for clearing via CME 

ClearPort on trade date Monday, May 22, 2023 (see CME Submission No. 23-178 also dated May 4, 2023). 

Section 1: Contract Specifications:

Contract 

Title/Rulebook 

Chapter/Commodity 

Code

Rulebook 

Chapter

Commodity Code

CME Degree Days Index Futures -

BOSTON HDD

403 HW

CME Seasonal Strip Degree Days Index 

Futures - BOSTON HDD NOV

405 HWX

CME Seasonal Strip Degree Days Index 

Futures - BOSTON HDD DEC

405 HWZ

CME Degree Days Index Futures -

BOSTON CDD

403 KW

CME Seasonal Strip Degree Days Index 

Futures - BOSTON CDD MAY

405 KWK

CME Seasonal Strip Degree Days Index 

Futures - BOSTON CDD JUL

405 KWN

CME Degree Days Index Futures -

BURBANK HDD

403 LP

CME Seasonal Strip Degree Days Index 

Futures - BURBANK HDD NOV

405 LPX

CME Seasonal Strip Degree Days Index 

Futures - BURBANK HDD DEC

405 LPZ

CME Degree Days Index Futures -

BURBANK CDD

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

3

CME Seasonal Strip Degree Days Index 

Futures - BURBANK CDD MAY

405 KPK

CME Seasonal Strip Degree Days Index 

Futures - BURBANK CDD JUL

405 KPN

CME Degree Days Index Futures -

HOUSTON HDD

403 HR

CME Seasonal Strip Degree Days Index 

Futures - HOUSTON HDD NOV

405 HRX

CME Seasonal Strip Degree Days Index 

Futures - HOUSTON HDD DEC

405 HRZ

CME Degree Days Index Futures -

HOUSTON CDD

403 KR

CME Seasonal Strip Degree Days Index 

Futures - HOUSTON CDD MAY

405 KRK

CME Seasonal Strip Degree Days Index 

Futures - HOUSTON CDD JUL

405 KRN

CME Degree Days Index Futures -

PHILADELPHIA HDD

403 H6

CME Seasonal Strip Degree Days Index 

Futures - PHILADELPHIA HDD NOV

405 H6X

CME Seasonal Strip Degree Days Index 

Futures - PHILADELPHIA HDD DEC

405 H6Z

CME Degree Days Index Futures -

PHILADELPHIA CDD

403 K6

CME Seasonal Strip Degree Days Index 

Futures - PHILADELPHIA CDD MAY

405 K6K

CME Seasonal Strip Degree Days Index 

Futures - PHILADELPHIA CDD JUL

405 K6N

Trading Unit US Cities: $20 (US Dollars) times the respective CME 

Degree Day Index 

Listing Schedule CDD Index Futures

21 monthly contracts of Apr, May, Jun, Jul, Aug, Sep, Oct

CDD May Seasonal Strip 

Futures 1 monthly contract of Sep

CDD Jul Seasonal Strip 

Futures 1 monthly contract of Aug

HDD Index Futures

21 monthly contracts of Oct, Nov, Dec, Jan, Feb, Mar, Apr

HDD Nov Seasonal Strip 

Futures 1 monthly contract of Mar

HDD Dec Seasonal Strip 

Futures 1 monthly contract of Feb

Initial Listing July 2023 – March 2024

Trading and Clearing 

Hours 

CME Globex Pre-Open Sunday – 4:00 p.m. – 5:00 p.m. Central Time/CT

Monday – Thursday 4:45 p.m. – 5:00 p.m. CT

CME Globex Sunday - Friday 5:00 p.m. - 3:15 p.m. CT with daily trading 

halts 3:15 p.m. - 5:00 p.m.

CME ClearPort Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting 

Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT

Minimum Price 

Increments

US Cities: 1 index point (= $20 per contract)

Termination

of Trading

Trading shall terminate for U.S. cities at 9:00 a.m. CT on the second Exchange Business Day after 

the futures contract month. 

Settlement Type Financially Settled

CME Globex Matching 

Algorithm

T--FIFO (First-In, First 

Out) with LMM (Lead 

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

4

Final Settlement Boston CDD/HDD

Burbank CDD/HDD

Houston CDD/HDD

Philadelphia CDD/HDD

All futures contracts remaining open at the termination of trading shall be 

settled using the respective CME Degree Days Index reported by 

Speedwell Settlement Services Ltd. for that city for that contract month, 

using the methodology in effect on that date, on the second Exchange 

Business Day after the futures contract month. Each particular CME 

Degree Days index, is the accumulation of like Degree Days over a 

calendar month. The accumulation period of each CME-HDD or CMECDD Index Futures contract begins with the first calendar day of the 

contract month and ends with the last calendar day of the contract month.

Position Limits and 

Reportable Levels 

Single Month Accountability Level Reportable Levels

Boston CDD/HDD 10,000 25

Burbank CDD/HDD 10,000 25

Houston CDD/HDD 10,000 25

Philadelphia CDD/HDD 10,000 25

Block Trade Minimum 

Threshold and 

Reporting Window

Minimum Threshold 20 contracts

Reporting Window 15 minutes 

Section 2: Price Reporting Agency

The official weather data that is used to settle our contracts is published by government weather agencies 

and then supplied to us from Speedwell Settlement Services Ltd. (SSS). In the case of the United States, 

the National Weather Service (NWS), Federal Aviation Administration (FAA), the Department of Defense 

(DoD), and the National Oceanic and Atmospheric Administration (NOAA) are responsible for the 

measurement, recording and issuance of the data. Weather stations used for CME weather contracts are 

located at major airports or government owned properties having 24 hour/365 day security measures in 

place to insure the accuracy of the data being reported. Similar to the US, European and Asian governments 

have implemented similar systems and collect the data in the same way, with the same authority and 

oversight.

These weather stations serve a vital function to air traffic safety around the world. Data readings from these 

stations are used to determine such things as flying and de-icing conditions. Therefore, the accuracy and 

security of these instruments are a high priority for these government agencies. Instrument placement is 

usually out on the property in remote secure locations, so as not to be affected by jet engine or tarmac heat 

radiation and most importantly human tampering. 

Settlement Data

Raw Data Weather Elements that have been processed to produce Certified Data, and when needed, 

Calculated Data.

Data Certification

Data Certification involves the process of detecting data problems (Gross Errors and Missing Data) and 

then correcting those problems by removing and replacing problem values with Estimated Values. 

As weather data is being released, a number of weather data suppliers are monitoring the data for any 

unusual readings. If a reading were to be an outlier or missing it would be reported to the issuing agency 

to verify for accuracy and/or correction. Weather data suppliers, such as Speedwell, not only monitor the 

data from specific CME weather locations, but also the data from nearby sites as one means to verify for 

the accuracy of data being issued by the reporting agency. Speedwell is an industry leader in weatherrelated data to the futures and OTC markets. 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

5

Section 3: Compliance with Core Principles

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 following Core Principles may be 

impacted by this initiative as follows:

• Compliance with Rules: Trading in the Contracts will be subject to all CME Rules, including 

prohibitions against fraudulent, noncompetitive, unfair and abusive practices as outlined in CME 

Rule Chapter 4, the Exchange’s trade practice rules, the majority of which are contained in Chapter 

5 and Chapter 8 of the CME Rulebook, and the dispute resolution and arbitration procedures of 

CME Rule Chapter 6. As with all products listed for trading on one of CME Group’s designated 

contract markets, trading activity in the Contracts will be subject to monitoring and surveillance by 

CME Group’s Market Regulation Department. The Market Regulation Department has the authority 

to exercise its investigatory and enforcement power where potential rule violations are identified.

• Contracts not Readily Subject to Manipulation: The Contracts are not readily subject to 

manipulation because of their structural attributes and reliance on government supplied data. Final 

settlements are based on official weather data that is published by government weather agencies 

and supplied to the Exchange by a single PRA, Speedwell Settlement Services Ltd. In the case of 

the United States, the National Weather Service (NWS), Federal Aviation Administration (FAA), the 

Department of Defense (DoD), and the National Oceanic and Atmospheric Administration (NOAA) 

are responsible for the measurement, recording and issuance of the data. Weather stations used 

for CME weather contracts are located at major airports or government owned properties having 

24 hour/365 day security measures in place to insure the accuracy of the data being reported. 

Similar to the U.S., European and Asian governments have implemented similar systems and 

collect the data in the same way, with the same authority and oversight. 

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

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

settlement process. As with any new product listed for trading on a CME Group designated contract 

market, trading activity in the option contract proposed herein will be subject to monitoring and 

surveillance by CME Group’s Market Regulation Department.

• Position Limitations or Accountability: The speculative position limits for the Contracts as 

demonstrated in this submission are consistent with the Commission’s guidance.

• Availability of General Information: The Exchange will publish on its website information in 

regard to contract specifications, terms, and conditions, as well as daily trading volume, open 

interest, and price information for the Contracts. The Exchange will issue a Special Executive 

Report (“SER”) regarding the launch of the Contracts. The SER will also be posted on the CME 

Group website.

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

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

Contracts.

• Execution of Transactions: The Contracts will be listed for trading on the CME Globex and for 

submission of clearing through the CME ClearPort platform. The CME Globex trading venue 

provides for competitive and open execution of transactions and affords the benefits of reliability 

and global connectivity.

• Trade Information: All requisite trade information for the Contracts will be included in the audit trail 

and is sufficient for the Market Regulation Department to monitor for market abuse. 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

6

• Financial Integrity of Contracts: The Contracts will be cleared by the CME Clearing, a derivatives 

clearing organization registered with the CFTC and subject to all CFTC Regulations related thereto.

• Protection of Market Participants: CME Rulebook Chapters 4 and 5 set forth multiple prohibitions 

that preclude intermediaries from disadvantaging their customers. These rules apply to trading in 

all of the Exchange’s competitive trading venues.

• Disciplinary Procedures: Chapter 4 of the Rulebook contains provisions that allow the Exchange 

to discipline, suspend or expel members or market participants that violate the Rulebook. Trading 

in the Contracts will be subject to Chapter 4, and the Market Regulation Department has the 

authority to exercise its enforcement power in the event rule violations in these products are 

identified.

• Dispute Resolution: Disputes with respect to trading in the Contract will be subject to the 

arbitration provisions set forth in Chapter 6 of the Rulebook. Chapter 6 allows all non-members to 

submit a claim for financial losses resulting from transactions on the Exchange to arbitration. A 

member named as a respondent in a claim submitted by a non-member is required to participate 

in the arbitration pursuant to Chapter 6. Additionally, the Exchange requires that members resolve 

all disputes concerning transactions on the Exchange via arbitration.

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

Contracts comply with the Act, including regulations under the Act. 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-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

Attachments: Exhibit A – CME Rulebook Chapter 403

Exhibit B – CME Rulebook Chapter 405

Exhibit C – Exchange Fees

Exhibit D – Position Limit, Position Accountability, and Reportable Level Table in 

 Chapter 5 of the CME Rulebook (attached under separate cover)

Exhibit E – CME Rule 588.H. – (“Globex Non-Reviewable Trading Ranges”) Table 

Exhibit F – Position Limit/Accountability Levels and Market Overview
7

Exhibit A

CME Rulebook

(additions underscored)

Chapter 403

CME Degree Days Index Futures

40300. SCOPE OF CHAPTER

This chapter is limited in application to CME Degree Days Index futures: the CME Heating- DegreeDays (CME-HDD) Index and the CME Cooling-Degree-Days (CME-CDD) Index. In addition to this 

chapter, CME Degree Days Index futures shall be subject to the general rules and regulations of the 

Exchange insofar as applicable.

For purposes of this chapter, unless otherwise specified, times referred herein shall refer to and indicate 

Chicago time.

40301. CONTRACT SPECIFICATIONS 

 1. Heating Degree Days and Cooling Degree Days

The daily average temperature is defined as the arithmetic average of the maximum and minimum 

temperature recorded between 0000 LST to 2359 LST. Observations are recorded by the U.S. National 

Weather Service and processed by Speedwell Settlement Services Ltd.

For each day, Heating-Degree-Days (HDD) is the greater of (1) zero, (2) 65 degrees Fahrenheit minus the 

daily average temperature.

For each day, Cooling-Degree-Days (CDD) is the greater of (1) zero, (2) the daily average temperature 

minus 65 degrees Fahrenheit.

2. The CME Degree Days Indexes and Listing Cities

Each particular CME Degree Days index, is the accumulation of like Degree Days over a calendar month. 

The accumulation period of each CME-HDD or CME-CDD Index Futures contract begins with the first 

calendar day of the contract month and ends with the last calendar day of the contract month.

The temperature for a particular city is reported from a specific automated weather station. The table below 

lists the cities and their corresponding weather stations:

Listing Cities and Corresponding Automated Weather Stations

Atlanta Hartsfield International Airport (WBAN 13874)

Boston-Logan International Airport (WBAN 14739)

Burbank-Glendale-Pasadena Airport (WBAN 23152)

Chicago O'Hare International Airport (WBAN 94846)

Cincinnati Northern Kentucky (Covington) Airport (WBAN 93814)

Dallas-Fort Worth International Airport (WBAN 03927)

Houston-George Bush Intercontinental Airport (WBAN 12960)

Las Vegas McCarran International Airport (WBAN 23169)

Minneapolis-St. Paul International Airport (WBAN 14922)

New York La Guardia Airport (WBAN 14732)

Philadelphia International Airport (WBAN 13739)

Portland International Airport (WBAN 24229)

Sacramento Executive Airport (WBAN 23232)

40302. TRADING SPECIFICATIONS

40302.A. Trading Schedule

Futures contracts shall be scheduled for trading and delivery during such hours in such months as may 

be determined by the Exchange.

40302.B. Trading Unit 

The size of the unit of trading shall be $20 times the respective CME Degree Days Index.

40302.C. Price Increments 

The minimum price fluctuation on the respective CME Degree Days Index futures shall be 1 index point 
8

and have a value of $20.

40302.D. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth 

in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special 

Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 

Department may grant qualified exemptions in its sole discretion.

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions 

from the specified position limits.

40302.E. [Reserved]

40302.F. [Reserved]

40302.G. Termination of Trading

Futures trading shall terminate at 9:00 a.m. on the second Exchange Business Day after the futures 

contract month.

40302.H. [Reserved]

40302.I [Reserved]

40303. SETTLEMENT PROCEDURES

 40303.A. Final Settlement Price 

All futures contracts remaining open at the termination of trading shall be settled using the respective 

CME Degree Days Index reported by Speedwell Settlement Services Ltd. for that city for that contract 

month, using the methodology in effect on that date, on the second Exchange Business Day after the 

futures contract month. For example, on January 5, 1999, the December 1998 futures contract on the 

CME Chicago HDD Index would have been settled at 940.5 Heating Degree Days.

40303.B. Final Settlement

Clearing members holding open positions in a CME Degree Days Index futures contract at the termination 

of trading in that contract shall make payment to or receive payment from the Clearing House in 

accordance with normal variation performance bond procedures based on a settlement price equal to the 

final settlement price.

40304. [RESERVED]

40305. - 06.[RESERVED]

(End Chapter 403)

INTERPRETATIONS AND SPECIAL NOTICES

RELATING TO CHAPTER 403 

LIMITATION OF LIABILITY AND DISCLAIMER

Speedwell Settlement Services Ltd. (“SSS”) grants the Exchange the rights to use various data (“Data”) in connection 

with the trading of futures contracts and options on futures contracts based upon such Data. SSS makes no 

warranty, express or implied, as to the results to be obtained by any person or any entity from the use of the Data in 

connection with the trading of futures contracts, options on futures contracts or any other use. SSS makes no 

express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular 

purpose or use with respect to the Data. Without limiting any of the foregoing, in no event shall SSS have any liability 

for any special, punitive, indirect, or consequential damages (including lost profits), even if notified of the possibility of 

such damages.
9

Exhibit B

CME Rulebook

(additions underscored)

Chapter 405

CME Seasonal Strip Degree Days Index Futures

40500. SCOPE OF CHAPTER

 This chapter is limited in application to CME Seasonal Strip Degree Days Index futures: the CME 

Seasonal Strip Heating-Degree-Days (CME SSHDD) Index and the CME Seasonal Strip CoolingDegree-Days (CME SSCDD) Index. In addition to this chapter, CME Seasonal Strip Degree Days 

Index futures shall be subject to the general rules and regulations of the Exchange insofar as 

applicable.

 For purposes of this chapter, unless otherwise specified, times referred herein shall refer to and indicate 

Chicago time.

40501. CONTRACT SPECIFICATIONS 

1. Heating Degree Days and Cooling Degree Days 

The daily average temperature is defined as the arithmetic average of the maximum and minimum 

temperature recorded between 0000 LST to 2359 LST. Observations are recorded by the U.S. National 

Weather Service and processed by Speedwell Settlement Services Ltd. 

For each day, Heating-Degree-Days (HDD) is the greater of (1) zero, (2) 65 degrees Fahrenheit minus 

the daily average temperature.

For each day, Cooling-Degree-Days (CDD) is the greater of (1) zero, (2) the daily average temperature 

minus 65 degrees Fahrenheit.

2. The CME Seasonal Strip Degree Days Indexes and Listing Cities 

Each defined CME Seasonal Strip Degree Days index below is the accumulation of like Degree Days 

over the season.

Cooling Degree Days Strips:

• May – September

Atlanta Hartsfield International Airport (WBAN 13874)

Boston-Logan International Airport (WBAN 14739)

Burbank-Glendale-Pasadena Airport (WBAN 23152)

Chicago O'Hare International Airport (WBAN 94846)

Cincinnati Northern Kentucky (Covington) Airport (WBAN 93814)

Dallas-Fort Worth International Airport (WBAN 03927)

Houston-George Bush Intercontinental Airport (WBAN 12960)

Las Vegas McCarran International Airport (WBAN 23169)

Minneapolis-St. Paul International Airport (WBAN 14922)

New York La Guardia Airport (WBAN 14732)

Philadelphia International Airport (WBAN 13739)

Portland International Airport (WBAN 24229)

Sacramento Executive Airport (WBAN 23232)

• July – August

Atlanta Hartsfield International Airport (WBAN 13874)

Boston-Logan International Airport (WBAN 14739)

Burbank-Glendale-Pasadena Airport (WBAN 23152)

Chicago O'Hare International Airport (WBAN 94846)

Cincinnati Northern Kentucky (Covington) Airport (WBAN 93814)

Dallas-Fort Worth International Airport (WBAN 03927)

Houston-George Bush Intercontinental Airport (WBAN 12960)

Las Vegas McCarran International Airport (WBAN 23169)

Minneapolis-St. Paul International Airport (WBAN 14922)

New York La Guardia Airport (WBAN 14732)

Philadelphia International Airport (WBAN 13739)

Portland International Airport (WBAN 24229)
10

Sacramento Executive Airport (WBAN 23232)

Heating Degree Days Strips:

• November – March 

Atlanta Hartsfield International Airport (WBAN 13874)

Boston-Logan International Airport (WBAN 14739)

Burbank-Glendale-Pasadena Airport (WBAN 23152)

Chicago O'Hare International Airport (WBAN 94846)

Cincinnati Northern Kentucky (Covington) Airport (WBAN 93814)

Dallas-Fort Worth International Airport (WBAN 03927)

Houston-George Bush Intercontinental Airport (WBAN 12960)

Las Vegas McCarran International Airport (WBAN 23169)

Minneapolis-St. Paul International Airport (WBAN 14922)

New York La Guardia Airport (WBAN 14732)

Philadelphia International Airport (WBAN 13739)

Portland International Airport (WBAN 24229)

Sacramento Executive Airport (WBAN 23232)

• December – February

Atlanta Hartsfield International Airport (WBAN 13874)

Boston-Logan International Airport (WBAN 14739)

Burbank-Glendale-Pasadena Airport (WBAN 23152)

Chicago O'Hare International Airport (WBAN 94846)

Cincinnati Northern Kentucky (Covington) Airport (WBAN 93814)

Dallas-Fort Worth International Airport (WBAN 03927)

Houston-George Bush Intercontinental Airport (WBAN 12960)

Las Vegas McCarran International Airport (WBAN 23169)

Minneapolis-St. Paul International Airport (WBAN 14922)

New York La Guardia Airport (WBAN 14732)

Philadelphia International Airport (WBAN 13739)

Portland International Airport (WBAN 24229)

Sacramento Executive Airport (WBAN 23232)

A separate futures contract shall be listed for each strip. The accumulation period of each CME SSHDD 

or CME SSCDD begins with the first calendar day of the first month of the strip, and ends with the last 

calendar day of the last month of the defined strip. 

40502. TRADING SPECIFICATIONS

40502.A. Trading Schedule

Futures contracts shall be scheduled for trading and delivery during such hours in such months as may 

be determined by the Exchange. 

40502.B. Trading Unit 

The size of the unit of trading shall be $20 times the respective CME Seasonal Strip Degree Days Index.

40502.C. Price Increments 

The minimum price fluctuation on the CME Seasonal Strip Degree Days Index futures shall be 1 index 

point and have a value of $20.

40502.D. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth 

in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special 

Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 

Department may grant qualified exemptions in its sole discretion.

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions 

from the specified position limits.

40502.E. [Reserved]

40502.F. [Reserved]

40502.G. Termination of Trading

Futures trading shall terminate at 9:00 a.m. on the second Exchange Business Day after the last 

calendar day of the last month of the defined strip.

40502.H. [Reserved]
11

40502.I. [Reserved]

40503. SETTLEMENT PROCEDURES 

40503.A. Final Settlement Price 

All futures contracts remaining open at the termination of trading shall be settled using the respective 

CME Seasonal Strip Degree Days Index reported by Speedwell Settlement Services Ltd. for that city for 

that contract period, using the methodology in effect on that date, on the second Exchange Business 

Day after the last calendar day of the last month of the defined strip. For example, on April 3, 2001, the 

November 2000 - March 2001 futures contract on the CME Chicago Nov-Mar ’01 SSHDD Index would 

have been settled at 5660.0 Heating Degree Days.

40503.B. Final Settlement

Clearing members holding open positions in a CME Seasonal Strip Degree Days Index futures contract 

at the termination of trading in that contract shall make payment to or receive payment from the Clearing 

House in accordance with normal variation performance bond procedures based on a settlement price 

equal to the final settlement price. 

40504. [RESERVED]

40505 - 06 [RESERVED]

(End Chapter 405)

INTERPRETATIONS & SPECIAL NOTICES 

RELATING TO CHAPTER 405

LIMITATION OF LIABILITY AND DISCLAIMER

Speedwell Settlement Services Ltd. (“SSS”) grants the Exchange the rights to use various data (“Data”) in connection 

with the trading of futures contracts and options on futures contracts based upon such Data. SSS makes no warranty, 

express or implied, as to the results to be obtained by any person or any entity from the use of the Data in connection 

with the trading of futures contracts, options on futures contracts or any other use. SSS makes no express or implied 

warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with 

respect to the Data. Without limiting any of the foregoing, in no event shall SSS have any liability for any special, 

punitive, indirect, or consequential damages (including lost profits), even if notified of the possibility of such damages.
12

Exhibit C

Exchange Fees

Membership Type

Venue/Transaction 

Type Fee

Individual Members

Clearing Members

Rule 106.J Equity Member Firms & Rule 106.J Qualified 

Subsidiaries

Rule 106.I Members & Rule 106.I Qualified Affiliates

Rule 106.S Member Approved Funds

CME Globex $0.15

EFP $0.46 

EFR $0.46

Block $0.46

Delivery $0.02 

Exe|Asn|Future 

From $0.07 

Rule 106.D Lessees

Rule 106.F Employees 

CME Globex $0.20

EFP $0.51 

EFR $0.51 

Block $0.51

Delivery $0.07

Exe|Asn|Future 

From $0.12 

Rule 106.R Electronic Corporate Members 

(For other than CME Globex - Non-Member rates apply) CME Globex $0.44 

Rule 106.H and 106.N Firms 

CME Globex $0.25

EFP $0.56

EFR $0.56 

Block $0.56

Delivery $0.12

Exe|Asn|Future 

From $0.17 

International Incentive Program (IIP) Participants

International Volume Incentive Program (IVIP) Participants 

(For other than CME Globex - Non-Member rates apply)

CME Globex $0.26

Members Trading Outside of Division 

(For other than CME Globex During ETH - Non-Member rates apply)

CME Globex

During ETH Only $0.29

Non-Members

CME Globex $0.54

EFP $0.60

EFR $0.60 

Block $0.60

Delivery $0.16

Exe|Asn|Future 

From $0.21

Processing Fees Fee

Position Adjustment/Position Transfer $0.10 

Give-Up Surcharge $0.05 

Facilitation Fee $0.40 
13

Exhibit D

CME Rulebook 

Chapter 5

(“Trading Qualifications and Practices”) 

Position Limits, Position Accountability and Reportable Level Table 

(attached under separate cover)
14

Exhibit E

CME Rulebook 

Chapter 5

(“Trading Qualifications and Practices”) 

Rule 588.H. – (“Globex Non-Reviewable Trading Ranges”) Table

(additions underscored)

Outrights Spreads

Instrument Globex 

Symbol

Globex Non-Reviewable 

Ranges (NRR)

NRR: Globex 

Format

NRR:Minimum 

Ticks

NRR: Globex 

Format

NRR: Minimum 

Ticks

U.S. Cooling and Heating (Monthly and Seasonal) (CME)

Boston HW, KW 25.00 index points 25 25 N/A

Burbank LP, KP 25.00 index points 25 25 N/A

Houston HR, KR 25.00 index points 25 25 N/A

Philadelphia H6, K6 25.00 index points 25 25 N/A
15

Exhibit F

Position Limit/Accountability Levels and Market Overview

Position Limit/Accountability Levels 

The Contracts will mirror the currently listed weather futures and options contracts with single month 

accountability levels of 10,000 contracts. These changes will be reflected in the position accountability table 

in Chapter 5. 

The 10,000 per month contract accountability level for similar weather products has been previously vetted 

with the CFTC. Note that Section 151 of the Act was vacated and reverted back to Section 150, which 

does not have an interpretation for position accountability for Alternative products. The CFTC previously 

acknowledged that weather is unique and that it is an excluded commodity and has no deliverable supply. 

At that time, CME noted the following: 1) due to the secured locations of the recording instruments, major 

airports, the index is not easily susceptible to manipulation and 2) a number of weather data suppliers are 

monitoring the data being released by these governmental agencies and any errors would most likely be 

reported and corrected promptly by the reporting agencies.

Cash Market Overview

Heating Degree Days (HDD)/Cooling Degree Days (CDD) and Cumulative Average Temperature (CAT) 

contracts are employed by a wide variety of enterprises, largely operating in the context of the energy 

industry, to manage their temperature related risks. 

Energy companies, for example, have been known to sell HDD or CDD contracts to manage the risk of 

diminished revenues under mild weather conditions, noting that the quantity of energy sold is heavily 

contingent upon consumer demand driven by temperatures. Large scale energy consumers including 

automobile manufacturers and large residential building operators may buy HDD or CDD contracts to hedge 

against the risk of rising utility costs under extreme weather conditions. 

Retailers whose sales are sensitive to weather conditions might control inventory costs more effectively 

through the use of HDD or CDD contracts. Beer consumption reaches a seasonal peak in the summer and 

cool weather can put a dent in beer sales. “the 2000 Preliminary Report for SABMiller, “History shows that 

on a summer day with the temperature over 25 degrees Celsius, sales can be more than 50% greater than 

on a day where the temperature is under 20 degrees... ” 

Utility companies may utilize HDD or CDD contracts to guard against “volumetric risks.” These volumetric 

risks are based upon the quantity of energy that might be expected to be marketed throughout the course 

of a heating or cooling season. These transactions rely upon the intuitive and well-documented relationship 

between power consumption and temperature extremes. 

Thus, if the daily average temperatures during the course of a winter season were abnormally high, utility 

firms might face depressed demand for heating. Utilities have traditionally increased consumer prices to 

offset lower retail consumption volume. However, intensifying competition caused by ongoing deregulation 

has made it increasingly difficult for utilities to raise prices arbitrarily. Therefore, it becomes necessary for 

utility firms to address volumetric risks using other means such as HDD or CDD contracts. 

Proper use of temperature related contracts not only enables utility firms to stabilize revenue streams but 

may also be used to provide at least a partial hedge to the cost side of the equation. Note that most utility 

firms operate under inherent capacity limitations. Electricity represents a non-storable commodity. If 

temperature suddenly rises or declines dramatically, utility firms may need to deploy less efficient 

generators to meet the sudden jump in demand or may be compelled to purchase electricity from the power 

grid in the face of soaring demands and rising prices. This implies that energy prices may increase, and 

transmission costs may grow simultaneously. In this case, utility firms may find both weather derivatives 
16

and energy contracts useful to stabilize their economic outcomes, i.e., to hedge both volumetric and costbased risks. 

Weather Market Overview

It has been estimated that over 2/3 of the global economy is impacted either directly or indirectly by weather 

conditions. The impact that weather has on businesses such as energy and agriculture is particularly acute. 

However, not only energy and agriculture observe the weather conditions. The lists of other economic 

sectors that are affected by the weather include construction and transportation sectors that have to 

contend with delays and budget overruns. The retail and entertainment sectors face similar challenges 

when weather turns unfavorable. A retailer may have stocked up on winter clothing only to have the season 

be unseasonably warm, causing markdowns at the end of the season to move merchandise, and incurring 

a loss. Entertainment such as concerts, municipal parades, ski resorts, amusement parks etc. can be 

impacted by rain, cold and heat translating into lost revenue. 

In addition to the commercial market participants like utility companies, some of the most active participants 

in the existing weather markets are insurance and reinsurance companies. Reinsurance companies, for 

example, offer clients a path to transfer their weather-related risk, and are then able to lay off a portion of 

that risk by participating in our weather futures and options markets. Hedge funds, pension funds, and asset 

managers that are looking for assets that are uncorrelated to their current portfolio holdings are also active 

participants in weather futures and options markets.