SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested

Registered Entity Identifier Code (optional): 22-472

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): 10/27/22 Filing Description: Increase of Single Month and All 

Month Position Limits for the Bloomberg Commodity Index Futures 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

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: 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

1

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

October 27, 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, DC 20581

Re: CFTC Regulation 40.6(a) Certification. Increase of Single Month and All Month 

Position Limits for the Bloomberg Commodity Index Futures Contract. 

CBOT Submission No. 22-472

Dear Mr. Kirkpatrick:

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

Trading Commission (“CFTC” or the “Commission”) an increase of the single month and all month position 

limits for the Bloomberg Commodity Index Futures contract (the “Contract”), effective on November 14, 

2022 as more specifically described in the table below. 

Contract Title

CME Globex / 

CME ClearPort 

Code

Rulebook

Chapter

Current Single / 

All Month Position 

Limit

Increased Single / 

All Month Position 

Limit

Bloomberg Commodity Index 

Futures AW / 70 29 52,000 100,000

The Position Limit, Position Accountability and Reportable Level Table and Header Notes located in the 

Interpretations and Special Notices Section of Chapter 5 of the CBOT Rulebook (the “Table”) will be 

amended to reflect the increased single month and all month position limits of the Contract. Exhibit A reflects 

the amendments to the Table as of November 15, 2022, the effective date of this submission (collectively, 

the “Rule Amendments”). Exhibit A is provided in blackline format under separate cover.

Exhibit B provides updated information regarding the Contract’s deliverable supply analysis.

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 Contract is not readily subject to manipulation 

due to the deep liquidity and robustness in the underlying cash and futures markets, which provides 

diverse participation and are based on liquid futures contract months. 

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

demonstrated in this submission are consistent with the Commission’s guidance.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

2

Availability of General Information: The Exchange will make publicly available the details of the 

single and all month position limit increases by publishing a Market Surveillance Notice (“MSN”) to the 

market. The MSN will also be available on CME Group’s website.

The Exchange certifies that the Rule Amendments comply with the Act and regulations thereunder. There 

were no opposing views to the amendments to Chapter 5.

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 – Amendments to CBOT Rulebook Chapter 5 Position Limit, Position 

Accountability, and Reportable Level Table (attached under separate cover)

Exhibit B – Deliverable Supply Analysis
3

Exhibit A

CBOT Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability, and Reportable Level Table

(attached under separate cover)
4

Exhibit B

Deliverable Supply Analysis

Cash Market Overview

The Bloomberg Commodity Index (“BCOM” or “Index”) is designed to be a highly liquid and diversified 

benchmark for commodity investments. BCOM provides broad-based exposure to commodities and no 

single commodity or sector dominates the Index.1

BCOM uses both liquidity data and U.S.-dollar-weighted production data in determining the relative 

quantities of included commodities. BCOM purports to provide diversified exposure to commodities as an 

asset class. The explicit inclusion of liquidity as a weighting factor helps to ensure that BCOM can 

accommodate substantial investment flows.

BCOM primarily relies on liquidity data, or the relative amount of trading activity of a particular commodity, 

as an important indicator of the value placed on that commodity by financial and physical market 

participants. BCOM also relies on production data as a useful measure of the importance of a commodity 

to the world economy. Production data alone, however, may underestimate the economic significance of 

storable commodities (e.g., gold) at the expense of relatively non-storable commodities (e.g., live cattle). 

Production data alone may also underestimate the investment value that financial market participants place 

on certain commodities and/or the amount of commercial activity that is centered on various commodities. 

Accordingly, production statistics alone do not necessarily provide as accurate a reflection of economic 

importance as the pronouncements of the markets themselves. BCOM thus relies on data that is both 

endogenous to the futures markets (liquidity) and exogenous to the futures markets (production) in 

determining relative weightings.

The Index is composed of commodity futures contracts rather than physical commodities. Unlike equities, 

which typically entitle the holder to a continuing stake in a corporation, commodity futures contracts normally 

specify a certain date for delivery of the underlying physical commodity. As the exchange-traded futures 

contracts that compose the Index approach expiration, they are replaced by similar contracts that have a 

later expiration. Thus, for example, a futures contract purchased and held in August may specify an October 

expiration date. As time passes, the contract expiring in October may be replaced by a contract for delivery 

in December. This process is referred to as “rolling.” 

BCOM and all related subindices are cash settled, and, to avoid the physical delivery of commodities from 

the underlying futures, the indices roll from current to subsequent contracts during the roll period defined in 

the methodology, which typically falls within the 6th-10th business day of each month. 

Weighted average 1 (WAV1) and weighted average 2 (WAV2) are values used in the calculation of the 

Index. These values are calculated on the basis of prices for the nearest contract month (“Lead Future”)

and the next nearest contract month (“Next Future”), respectively. Exhibit 1 below lists the Designated 

Contract months that are to be used to determine the Lead Future and Next Future for each Index 

Commodity for this calculation. To illustrate, the Lead Future for Natural Gas Futures in January is March, 

as is the Next Future, and in February the Lead Future is March and the Next Future is May. Thus, in 

February, WAV1 will incorporate the price for the March Natural Gas contract, and WAV2 will incorporate 

the price for the May contract. Note that as a new month begins, the Next Future becomes the Lead Future. 

Similarly, as a new month begins, the WAV2 from the prior month is redesignated as WAV1. 

1 Explanations of the methodology in this section are adapted and/or copied from BCOM Methodology March 2022 found here: 

https://assets.bbhub.io/professional/sites/10/BCOM-Methodology-MAR-2022_FINAL.pdf
5

Exhibit 1: Bloomberg Commodity Index Contract Calendar

Once the applicable futures month is determined, the price for each commodity used to calculate WAV1 

and WAV2 for each business day is obtained and converted into U.S. dollars. Once settlement prices are 

obtained for the Lead Future and Next Future for each commodity, the WAVs are calculated in respect of 

each business day as follows: WAV1 is calculated by multiplying each Commodity Index Multiplier (“CIM”) 

by the settlement price for the respective Lead Future for that day and summing the results. WAV2 is 

calculated by multiplying each CIM by the settlement price for the respective Next Future for that day and 

summing the results. The WAVs are rounded to 8 decimal places. 

The CIMs are determined using the settlement price for each commodity on the fourth business day of each

year, weighted against the multiplier from the previous year. 

The BCOM settlement price is calculated on each business day using the applicable settlement prices for 

WAV1 and WAV2 on the current business day and the prior business day. The suffix “_PS” designates the 

settlement price for the previous business day, and the suffix “_S” designates the settlement price for the 

current business day. “BCOM_S” indicates the value of BCOM on the current business day. The manner 

in which BCOM is calculated on a given business day depends on which of three periods during the month 

in which this day falls: the period prior to the roll period, the roll period, or the period following the roll period. 
6

The “Roll Period” is used in this Methodology to refer to the sixth through tenth business days of every 

month. 

Prior to the Roll Period 

On business day 1 of the month, the Index is calculated as follows: 

BCOM _S= BCOM_PS* WAV1_S/WAV2_PS2

On business days 2 through 5 of the month, BCOM is calculated as follows: 

BCOM _S= BCOM_PS * WAV1_S / WAV1_PS 

During the Roll Period 

On each day of the Roll Period, the dependence of BCOM is shifted, at the rate of 20% per day, from WAV1 

to WAV2 as follows: 

Day 1 of Roll Period (business day 6 of the month): 

BCOM_S = BCOM _PS*(WAV1_S*.80 + WAV2_S*.20)/(WAV1_PS * .80+ WAV2_PS*.20) 

Day 2 of Roll Period (business day 7 of the month): 

BCOM_S = BCOM _PS*(WAV1_S*.60 + WAV2_S*.40)/(WAV1_PS * .60+ WAV2_PS*.40) 

Day 3 of Roll Period (business day 8 of the month): 

BCOM_S = BCOM _PS*(WAV1_S*.40 + WAV2_S*.60)/(WAV1_PS * .40+ WAV2_PS*.60) 

Day 4 of Roll Period (business day 9 of the month): 

BCOM_S = BCOM _PS*(WAV1_S*.20 + WAV2_S*.80)/(WAV1_PS * .20+ WAV2_PS*.80) 

Day 5 of Roll Period (business day 10 of the month): 

BCOM _S = BCOM _PS *(WAV2_S / WAV2_PS) (3) 

After the Roll Period 

For the remainder of the month, the calculation of BCOM will be 

BCOM _S = BCOM _PS *(WAV2_S / WAV2_PS)

As the calculation above shows, during the roll period, the value of BCOM is gradually shifted from the 

utilization of WAV1 for Index calculation to the utilization of WAV2, at the rate of 20% per business day. 

Upon the 10th business day, the current Lead Future officially rolls off. Exhibit 2 below represents an 

example of a roll calculation. 

2 On the first Business Day of the month, WAV1 is comprised of the same group of commodities that comprised the WAV2 of the 

prior month. Therefore, when calculating the change in the WAV1, it is divided by the WAV2 from the last Business Day of the prior 

month. This does not represent a “roll”, but rather a redesignation of the WAV2 to WAV1.
7

Exhibit 2: Roll Period Calculation Example

Continuing the Natural Gas example, the December 2022, CBOT’s BCOM Index Futures contract will be 

comprised of January 2023 Natural Gas futures contracts, among others, as noted in Exhibit 1 above. 

These January 2023 Natural Gas contracts will roll to March 2023 contracts over the period of the 6th and 

10th business days of December (this equates to the period from December 8, 2022 – December 14, 2022). 

After December 14, the underlying Natural Gas futures contract within the December 2022 BCOM Index 

Futures contract will reference the March 2023 as the Lead Future. 

This example illustrates that the underlying futures contracts comprising CME Group futures on the BCOM 

Index, including its related subindices, will roll to the next available contract month during the 6th-10th 

business days of each month. The way the Contract is designed, the roll period for the underlying futures 

will occur just before the overarching futures contract expires. To complete the example, the December 

2022 BCOM Index Futures contract will expire on December 21, 2022, the 3rd Wednesday of the contract 

month. Thus, in conjunction with the roll period, the listing schedule and expiration of the Contract makes 

it so that there is zero possibility of the underlying contracts going spot. 

Each of the Commodities eligible for inclusion in BCOM are assigned to “Commodity Groups.” The 

Commodity Groups, and the Commodities composing each Commodity Group, are as follows: 

Commodity Group Commodities

Energy Crude Oil (WTI & Brent)

Natural Gas

RBOB Gasoline

Low Sulphur Gas Oil

ULS Diesel

Precious Metals Gold

Platinum

Silver

Industrial Metals Aluminum 

Copper

Lead Nickel
8

Tin

Zinc

Livestock Live Cattle

Lean Hogs

Grains Corn Soybeans

Soybean Oil

Soybean Meal

Wheat (Chicago and KC 

HRW)

Softs Cocoa

Coffee

Cotton

Sugar

The 2022 target weights for BCOM are shown in the pie chart below. 

The weights of each sector in BCOM may fluctuate according to market price fluctuations, however, upon 

each annual rebalancing, the weights are reset to the target weights. 

BCOM is rebalanced annually, and it is during this rebalancing that the CIMs are determined. At the start 

of each calendar year, new CIMs are calculated for each component future in the BCOM Index on the “CIM 

Determination Date.” The CIM Determination Date is always the 4th business day of each calendar year. 

After the CIMs are calculated, they remain fixed for the remainder of the year. The CIMs are a critical input 

to the calculation of the Index and help determine the target weightings for each component future in the 

Index. Again, the component futures weightings may fluctuate from the target weighting illustrated in the 

pie chart above throughout the course of the year. 

Constituents for the Index are included in Exhibit 3 below with data as of October 19, 2022.

3

Exhibit 3 – Bloomberg Commodity Index Constituents

Exchange Ticker Constituent Futures Name Expiration Weight (%)

CBOT SMF3 SOYBEAN MEAL 23-Jan 3.23

CBOT BOF3 SOYBEAN OIL 23-Jan 3.48

CME LCZ2 CATTLE 22-Dec 3.75

3 Exhibit 3 contains data pulled from the Bloomberg Terminal
9

CBOT C Z2 CORN 22-Dec 5.97

NYMEX CLF3 WTI CRUDE 23-Jan 8.08

COMEX GCZ2 COMEX GOLD 22-Dec 13.03

COMEX HGZ2 COMEX COPPER 22-Dec 3.91

NYMEX HOF3 HEATING OIL PHY 23-Jan 2.74

CBOT KWZ2 KC WHEAT 22-Dec 1.94

CME LHZ2 HOGS 22-Dec 1.76

NYMEX NGF23 NATURAL GAS PHY 23-Jan 12.81

NYMEX XBF3 RBOB PHY 23-Jan 2.16

CBOT S F3 SOYBEAN 23-Jan 5.49

COMEX SIZ2 COMEX SILVER 22-Dec 3.74

CBOT W Z2 CHI WHEAT 22-Dec 3.05

ICE Europe COF3 BRENT CRUDE 23-Jan 7.32

ICE Europe QSF3 LOW SU GASOIL 23-Jan 3.48

LME LNF3 NICKEL 23-Jan 2.77

LME LAF23 PRI ALUM 23-Jan 3.00

LME LXF3 ZINC 23-Jan 2.42

ICE US SBH3 SUGAR 23-Mar 2.73

ICE US KCZ2 COFFEE 22-Dec 2.16

ICE US CTZ2 COTTON 22-Dec 0.98

Analysis of Deliverable Supply

Bloomberg calculates and publishes official closing values for the Bloomberg Commodity Index based on 

the settlements of the index’s component commodity futures contracts. CME Group’s BCOM futures settle 

to the Bloomberg Commodity Index official closing value on a daily basis. 

If Bloomberg does not provide a Bloomberg Commodity Index official closing value by 16:00 Central Time 

(CT), then CBOT’s Bloomberg Commodity Index Futures contract (the “Contract”) will settle to the most 

recent index value available.

Under normal market conditions, Bloomberg provides and distributes final settlements for all related 

Bloomberg Commodity Index Futures contracts with open interest. The final settlement price is based on a 

special quotation of the Bloomberg Commodity Index which corresponds to the expiring futures contract at 

the close of business on the third Wednesday of the contract month, or, if the related Index is not published 

for that day, on the first preceding day on which the Index was published.4

The Bloomberg Commodity Index is calculated using the settlement prices of the index’s component futures 

on that day, except under the special conditions noted below:

• If an exchange that lists a component or components of the commodity index is not open on the 

final settlement day because of a scheduled closing, then the contribution to the final settlement 

price for the affected component or components shall be based on the settlement quotation of the 

first preceding trading day; or

• Market Disruption Event (“MDE”) shall mean: (a) the termination or suspension of, or material 

limitation or disruption in the trading of, any futures contract used in the calculation of 

the Bloomberg Commodity Index on that day, including if due to the closing of an exchange prior 

to the regularly scheduled closing time of an exchange; (b) the settlement price of any such contract 

reflects the maximum permitted price change from the previous day’s settlement price; or (c) the 

failure of an exchange to publish official Settlement Prices for any such contract. If an MDE occurs 

on the expiration date, the Bloomberg Commodity Index contract will settle based on a special 

value calculated using all component futures prices as of the expiration date that were not subject 

4 Adapted from CME Group’s Settlement Methodology -

https://www.cmegroup.com/confluence/display/EPICSANDBOX/Commodity+Index+Products
10

to an MDE and, for any futures contracts which were subject to an MDE, using the next available 

futures settlement price for which an MDE is no longer in effect, with a delay limited to 10 business 

days from the original expiration date. If on the 10th business day, an MDE is still in effect for the 

affected contracts, then UBS Securities LLC and CBOT will agree upon an appropriate estimated 

futures price or prices to be used to calculate the final adjusted settlement value of 

the Bloomberg Commodity Index.

To provide a snapshot of the underlying futures that would be used in the final settlement for the Contract, 

price and volume data are provided in Exhibits 4-7 below for the past four expiration dates corresponding 

to the 3rd Wednesday of the past four quarterly contract months (Sep 21, 2022; Jun 15, 2022; Mar 16, 2022; 

Dec 15, 2021). The contract months shown relate to Bloomberg’s methodology on which contract months 

are eligible (please refer back to Exhibit 1 for more detail). 

Given that the final settlement price for the Index is calculated from the underlying futures contracts on the 

final settlement day (i.e., the 3rd Wednesday of the contract month), settlement prices for the underlying 

futures contracts comprising the Contract are provided below. Data for both the Lead Future and Next 

Future contract months for each commodity are included. The volume data represents the individual 

commodity futures contracts volume during the respective settlement window on the final settlement day of 

the Index. 

Exhibit 4: September 21, 2022 Final Settlement – Underlying Futures Settlement Prices and 

Volume5

Contract 

Month Year 

(YYYY-MM)

Contract 

Month Rank

Underlying 

Futures Product

Commodity 

Code

Settle 

Price6

Volume 

during

Settlement 

Window

Settlement 

Window

2022-12 Lead CHICAGO 

WHEAT W

903.75 1,206 13:14:00 to 

2022-12 Next 903.75 1,206 13:15:00 CT

2022-12 Lead CORN C

685.50 1,734 13:14:00 to 

2022-12 Next 685.50 1,734 13:15:00 CT

2022-11 Lead LIGHT SWEET 

CRUDE OIL CL 82.94 4,170 14:28:00 to 

2023-01 Next 81.62 152 14:30:00 ET

2022-12 Lead GOLD GC 1,675.70 973 13:29:00 to 

2022-12 Next 1,675.70 97. 13:30:00 ET

2022-11 Lead RBOB GASOLINE RB 2.41 1,151 14:28:00 to 

2023-01 Next 2.32 62 14:30:00 ET

2022-12 Lead COPPER HG 3.47 561 12:59:00 to 

2022-12 Next 3.47 561 13:00:00 ET

2022-12 Lead KC HRW WHEAT KW 967.00 350 13:14:00 to 

2022-12 Next 967.00 350 13:15:00 CT

2022-12 Lead LEAN HOG LN 86.45 688 12:59:30 to 

2022-12 Next 86.45 688 13:00:00 CT

2022-12 Lead LIVE CATTLE 48 150.75 1,183 12:59:30 to 

2022-12 Next 150.75 1,183 13:00:00 CT

2022-11 Lead NATURAL GAS NG 7.83 633 14:28:00 to 

2023-01 Next 8.11 90 14:30:00 ET

2022-11 Lead NY HEATING OIL HO 3.26 774

5 CME Group futures price data sourced from Infosource. Competitor exchange price data and all volume data sourced from 

Bloomberg Terminal.

6 Please note the prices used in the calculation of the Index and all related Subindices are converted from the raw futures settlement 

prices provided in Exhibits 4-7. The raw settlement prices are provided for purposes of surveillance. The conversions used in the 

Index calculation for each contract can be found on page 34 of the methodology document. 
11

2023-01 Next 3.15 5

14:28:00 to 

14:30:00 ET

2022-12 Lead SILVER SI 19.48 417 13:24:00 to 

2022-12 Next 19.48 417 13:25:00 ET

2022-11 Lead SOYBEAN S1,461.25 798 13:14:00 to 

2023-01 Next 1,467.00 52 13:15:00 CT

2023-03 Lead SUGAR #11 SB 17.81 874 12:53:00 to 

2023-03 Next 17.81 874 12:55:00 ET

2022-12 Lead COFFEE KC 221.30 361 12:23:00 to 

2022-12 Next 221.30 361 12:25:00 ET

2022-12 Lead COTTON NO 2 CT 96.92 661 14:14:00 to 

2022-12 Next 96.92 661 14:15:00 ET

2023-01 Lead

BRENT CRUDE CO

87.31 214 19:28:00 to 

19:30:00 

London Time 2023-01 Next 87.31 214

2022-11 Lead

LOW SU GASOIL QS

934.50 44 16:28:00 to 

16:30:00 

London Time 2023-01 Next 896.00 13

2022-11 Lead

LME NICKEL LN

24,921.00 - 12:20:00 to 

13:25:00 

London Time 2023-01 Next 24,983.00 -

2022-11 Lead

LME PRI ALUM LA

2,195.00 5 12:20:00 to 

13:25:00 

London Time 2023-01 Next 2,209.90 -

2022-11 Lead

LME ZINC LX

3,110.75 - 12:20:00 to 

13:25:00 

London Time 2023-01 Next 3,084.50 -

Exhibit 5: June 15, 2022 Final Settlement – Underlying Futures Settlement Prices and Volume

Contract 

Month Year 

(YYYY-MM)

Contract 

Month 

Rank

Underlying 

Futures Product

Commodity 

Code

Settle 

Price

Volume 

during 

Settlement 

Window

Settlement 

Window

2022-09 Lead CHICAGO 

WHEAT W

1,063.50 292 13:14:00 to 

2022-09 Next 1,063.50 292 13:15:00 CT

2022-09 Lead

CORN C

729.00 400 13:14:00 to 

2022-09 Next 729.00 400 13:15:00 CT

2022-09 Lead LIGHT SWEET 

CRUDE OIL CL

110.75 1,058 14:28:00 to 

2022-09 Next 110.75 1,058 14:30:00 ET

2022-08 Lead

GOLD GC

1,819.60 1,826 13:29:00 to 

2022-12 Next 1,839.40 66 13:30:00 ET

2022-09 Lead RBOB 

GASOLINE RB

3.62 279 14:28:00 to 

2022-09 Next 3.62 279 14:30:00 ET

2022-09 Lead

COPPER HG

4.18 494 12:59:00 to 

2022-09 Next 4.18 494 13:00:00 ET

2022-09 Lead

KC HRW WHEAT KW

1,140.25 120 13:14:00 to 

2022-09 Next 1,140.25 120 13:15:00 CT

2022-08 Lead

LEAN HOG LN

104.33 830 12:59:30 to 

2022-10 Next 91.70 555 13:00:00 CT

2022-08 Lead

LIVE CATTLE 48

136.80 695 12:59:30 to 

2022-10 Next 142.23 283 13:00:00 CT
12

2022-09 Lead

NATURAL GAS NG

7.37 375 14:28:00 to 

2022-09 Next 7.37 375 14:30:00 ET

2022-09 Lead

NY HEATING OIL HO

4.29 206 14:28:00 to 

2022-09 Next 4.29 206 14:30:00 ET

2022-09 Lead

SILVER SI

21.50 10 13:24:00 to 

2022-09 Next 21.50 10 13:25:00 ET

2022-11 Lead

SOYBEAN S

1,523.50 515 13:14:00 to 

2022-11 Next 1,523.50 515 13:15:00 CT

2022-10 Lead

SUGAR #11 SB

18.57 1,459 12:53:00 to 

2022-10 Next 18.57 1,459 12:55:00 ET

2022-09 Lead

COFFEE KC

228.50 233 12:23:00 to 

2022-09 Next 228.50 233 12:25:00 ET

2022-12 Lead

COTTON NO 2 CT

117.92 346 14:14:00 to 

2022-12 Next 117.92 346 14:15:00 ET

2022-09 Lead

BRENT CRUDE CO

115.47 1,635 19:28:00 to 

19:30:00 London 

Time 2022-11 Next 110.76 1,163

2022-09 Lead

LOW SU GASOIL QS

1,250.00 301 16:28:00 to 

16:30:00 London 

Time 2022-09 Next 1,250.00 301

2022-09 Lead

LME NICKEL LN

25,854.0

0

- 12:20:00 to 

13:25:00 London 

2022-09 Next Time 25,854.0

0

-

2022-09 Lead

LME PRI ALUM LA

2,591.50 19 12:20:00 to 

13:25:00 London 

Time 2022-09 Next 2,591.50 19

2022-09 Lead

LME ZINC LX

3,641.50 - 12:20:00 to 

13:25:00 London 

Time 2022-09 Next 3,641.50 -

Exhibit 6: March 16, 2022 Final Settlement – Underlying Futures Settlement Prices & Volume

Contract 

Month Year 

(YYYY-MM)

Contract 

Month 

Rank

Underlying 

Futures Product

Commodity 

Code

Settle 

Price

Volume 

during 

Settlement 

Window

Settlement 

Window

2022-05 Lead CHICAGO 

WHEAT W

1,069.25 57 13:14:00 to 

2022-07 Next 1,042.50 14 13:15:00 CT

2022-05 Lead CORN C730.00 1,974 13:14:00 to 

2022-07 Next 697.00 685 13:15:00 CT

2022-05 Lead LIGHT SWEET 

CRUDE OIL CL 93.59 1,171 14:28:00 to 

2022-07 Next 89.53 121 14:30:00 ET

2022-06 Lead GOLD GC 1,914.30 285 13:29:00 to 

2022-06 Next 1,914.30 285 13:30:00 ET

2022-05 Lead RBOB 

GASOLINE RB

2.95 586 14:28:00 to 

2022-07 Next 2.80 15 14:30:00 ET

2022-05 Lead COPPER HG 4.60 553 12:59:00 to 

2022-07 Next 4.60 9 13:00:00 ET

2022-05 Lead KC HRW WHEAT KW1,072.50 5 13:14:00 to 

2022-07 Next 1,058.50 28 13:15:00 CT
13

2022-06 Lead LEAN HOG LN120.48 595 12:59:30 to 

2022-06 Next 120.48 595 13:00:00 CT

2022-06 Lead LIVE CATTLE 48135.53 731 12:59:30 to 

2022-06 Next 135.53 731 13:00:00 CT

2022-05 Lead NATURAL GAS NG 4.78 944 14:28:00 to 

2022-07 Next 4.88 228 14:30:00 ET

2022-05 Lead NY HEATING OIL HO 2.97 407 14:28:00 to 

2022-07 Next 2.83 58 14:30:00 ET

2022-05 Lead SILVER SI 24.71 572 13:24:00 to 

2022-07 Next 24.74 12 13:25:00 ET

2022-05 Lead SOYBEAN S1,649.25 819 13:14:00 to 

2022-07 Next 1,626.00 309 13:15:00 CT

2022-05 Lead SUGAR #11 SB 18.56 1,555 12:53:00 to 

2022-07 Next 18.47 647 12:55:00 ET

2022-05 Lead COFFEE KC 217.50 90 12:23:00 to 

2022-07 Next 217.25 49 12:25:00 ET

2022-05 Lead COTTON NO 2 CT 119.80 245 14:14:00 to 

2022-07 Next 116.00 62 14:15:00 ET

2022-05 Lead

BRENT CRUDE CO

98.02 11 19:28:00 to 

19:30:00 London 

Time 2022-07 Next 93.66 11

2022-05 Lead

LOW SU GASOIL QS

887.75 3 16:28:00 to 

16:30:00 London 

Time 2022-07 Next 836.75 -

2022-05 Lead

LME NICKEL LN

45,697.0

0

- 12:20:00 to 

13:25:00 London 

2022-07 Next Time 45,585.0

0

-

2022-05 Lead

LME PRI ALUM LA

3,257.50 1 12:20:00 to 

13:25:00 London 

Time 2022-07 Next 3,253.25 -

2022-05 Lead

LME ZINC LX

3,812.50 - 12:20:00 to 

13:25:00 London 

Time 2022-07 Next 3,805.00 3

Exhibit 7: December 15, 2021 Final Settlement – Underlying Futures Settlement Prices & Volume

Contract 

Month Year 

(YYYY-MM)

Contract 

Month 

Rank

Underlying 

Futures Product

Commodity 

Code

Settle 

Price

Volume 

during 

Settlement 

Window

Settlement 

Window

2022-03 Lead CHICAGO 

WHEAT W

756.00 1,798 13:14:00 to 

13:15:00 CT 2022-03 Next 756.00 1,798

2022-03 Lead

CORN C

585.75 3,000 13:14:00 to 

13:15:00 CT 2022-03 Next 585.75 3,000

2022-03 Lead LIGHT SWEET 

CRUDE OIL CL

70.36 539 14:28:00 to 

14:30:00 ET 2022-03 Next 70.36 539

2022-02 Lead

GOLD GC

1,764.50 1,638 13:29:00 to 

13:30:00 ET 2022-04 Next 1,766.90 19

2022-03 Lead RBOB GASOLINE RB 2.11 73
14

2022-03 Next 2.11 73 14:28:00 to 

14:30:00 ET

2022-03 Lead

COPPER HG

4.18 468 12:59:00 to 

13:00:00 ET 2022-03 Next 4.18 468

2022-03 Lead

KC HRW WHEAT KW

785.50 793 13:14:00 to 

13:15:00 CT 2022-03 Next 785.50 793

2022-02 Lead

LEAN HOG LN

79.33 855 12:59:30 to 

13:00:00 CT 2022-04 Next 84.20 190

2022-02 Lead

LIVE CATTLE 48

136.58 1,170 12:59:30 to 

13:00:00 CT 2022-04 Next 140.93 448

2022-03 Lead

NATURAL GAS NG

3.67 372 14:28:00 to 

14:30:00 ET 2022-03 Next 3.67 372

2022-03 Lead

NY HEATING OIL HO

2.20 97 14:28:00 to 

14:30:00 ET 2022-03 Next 2.20 97

2022-03 Lead

SILVER SI

21.55 885 13:24:00 to 

13:25:00 ET 2022-03 Next 21.55 885

2022-03 Lead

SOYBEAN S

1,265.25 537 13:14:00 to 

13:15:00 CT 2022-03 Next 1,265.25 537

2022-03 Lead SUGAR #11 SB 19.29 2,182 12:53:00 to 

2022-03 Next 19.29 2,182 12:55:00 ET

2022-03 Lead COFFEE KC 237.30 226 12:23:00 to 

2022-03 Next 237.30 226 12:25:00 ET

2022-03 Lead COTTON NO 2 CT 105.79 410 14:14:00 to 

2022-03 Next 105.79 410 14:15:00 ET

2022-03 Lead

BRENT CRUDE CO

73.78 1,029 19:28:00 to 

19:30:00 London 

Time 2022-05 Next 73.13 78

2022-03 Lead

LOW SU GASOIL QS

630.50 381 16:28:00 to 

16:30:00 London 

Time 2022-03 Next 630.50 381

2022-03 Lead

LME NICKEL LN

19,110.0

0

29 12:20:00 to 

13:25:00 London 

2022-03 Next Time 19,110.0

0

29

2022-03 Lead

LME PRI ALUM LA

2,597.00 145 12:20:00 to 

13:25:00 London 

Time 2022-03 Next 2,597.00 145

2022-03 Lead

LME ZINC LX

3,270.50 40 12:20:00 to 

13:25:00 London 

Time 2022-03 Next 3,270.50 40

The Exchange believes that positions of 100,000 contracts of the Contract could be held without exceeding 

any non-spot single month position limit for any of the component futures contracts. There is no spot month 

pricing from any component used in the index, so no spot month position limit is specified.

The position limit calculation methodology described below is based on an approach suggested by the 

Commission and has been previously used to adjust position limit levels for S&P GSCI contracts in 2012 

and 2013. (See Chicago Mercantile Exchange Inc. (“CME”) Submission No. 13-036, dated February 8, 

2013.) The same methodology has also been used to determine positions limit levels for Dow Jones–UBS 
15

Roll Select Commodity Index Futures, launched in 2013, as well as Dow Jones-UBS Commodity Index 

Futures (See CBOT Submission No. 13-232, dated June 12, 2013, and CBOT Submission No. 13-494, 

dated October 10, 2013, respectively. 

This position limit calculation methodology draws from the BCOM methodology, which utilizes each 

component’s CIM. These CIMs are updated on a yearly basis and are calculated based on the liquidity, 

production, and settlement prices of each component. Also critical to this calculation is the WAV1 figure as 

it serves as the “normalizing constant” which can be thought of as a weighting factor for each commodity. 

The WAV1 figure is 5651.324 and this figure is calculated by multiplying each CIM by the settlement price 

for the component future for that day (in this case, the prices for each component future on September 21,

2022) and summing the results. Dividing each constituent’s CIM by the WAV1 gives us the “Hedge Ratio.” 

To find the Equivalent Position, the Exchange multiplied the Hedge Ratio by an arbitrary index value then 

divide that product by the component’s contract unit, then multiply by the proposed position limit of 100,000 

and then finally multiply by the BCOM futures contract multiplier of 100. 

The component futures equivalency is a positive function of the value of the BCOM. That is, when the 

BCOM’s value increases, more futures contracts of the underlying components are needed to replicate a 

position in BCOM. The current value (as of October 19, 2022) of the BCOM is 111.20. However, the highest 

index value over the whole history of the index is 237.95 set in July 2008. Setting the index value at 237.95 

for this analysis makes it extremely unlikely that position limits for any component will be exceeded.

Once the component equivalent positions are calculated, they are then compared to each component’s 

single month limit.7 All CME and CBOT products in the Index have single month position limits, in addition 

to Cotton, and these limits are used in comparison to the equivalent positions. For those products that either 

have single month accountability levels or no limits/levels (the remaining balance of products in the Index), 

a hypothetical limit is calculated using open interest of each contract. The hypothetical limit is calculated by 

finding the average annual open interest (“OI”) for each contract over the past two years and using the 

higher annual figure. In this case, the two time periods observed were Sep. 15, 2020 – Sep. 15, 2021 and 

Sep. 15, 2021 – Sep. 15, 2022, and for each component, the higher annual average OI figure was used 

between the two time periods. Once this annual OI figure is calculated, if the figure is over 50,000, the 

hypothetical limit is calculated by summing 10% of 50,000 and 2.5% for the amount above 50,000. For 

example, COMEX Silver had an annual average OI figure of 191,801. The hypothetical limit for Silver is 

thus 8,545 (0.1 x 50,000 + 0.025 x (191,801-50,000)). For those contracts with an annual average OI less 

than 50,000, the hypothetical limit is simply calculated as 10% of the annual average OI figure. 

The equivalent positions were calculated using the OI approach for the following constituent futures: WTI 

Crude, Heating Oil, Natural Gas, RBOB Gasoline (NYMEX); Gold, Copper, Silver (COMEX); Brent Crude, 

Low Sulphur Gasoil (ICE U.S.); Nickel, Aluminum, Zinc (LME); Sugar and Coffee (ICE Europe). The 

NYMEX and COMEX equivalent positions were calculated using a futures equivalent open interest figure, 

whereas the equivalent positions for the LME, ICE U.S., and ICE Europe products were calculated using a 

futures-only open interest figure. 

The component equivalencies using 2022 weighting variables for 100,000 BCOM futures contracts with a 

multiplier of $100 when the index value is set at the Index high of 237.9531 are as follows:

7 The following links contain references for the constituent futures position limits/accountability levels. CME Group position limit 

page: https://www.cmegroup.com/market-regulation/position-limits.html; LME accountability level memo: 

https://www.lme.com/api/sitecore/MemberNoticesSearchApi/Download?id=1278bb3c-4a12-4afd-9065-7a494deabf47; ICE U.S. 

Market Resource page: https://www.theice.com/futures-us/market-resources; ICE Europe Market Resource page: 

https://www.theice.com/futures-europe/market-resources. 
16

The largest component equivalency is for natural gas futures. The calculated single-month limit for that 

component is 35,593 contracts so the limit of 100,000 index futures contracts results in an equivalency 

(4,658 contracts) that is under the calculated limit. For all other components, the component equivalencies 

are lower than their respective position limits. 

CBOT proposes a single and all month position limit of 100,000 index futures contracts of the Contract. The 

reporting limit for the Contract shall remain 200 contracts.