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SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 22-567

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 12/22/22 Filing Description: Amendments to the Three-Month 

Eurodollar Futures and Options on Three-Month Eurodollar Futures Contracts to Amend 

USD London Inter-bank Offered Rate (“LIBOR”) Fallback Provisions 

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.
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1

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

December 22, 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 40.5(a) Request for Approval. Amendments to the Three-Month 

Eurodollar Futures and Options on Three-Month Eurodollar Futures Contracts to 

Amend London Inter-bank Offered Rate (“LIBOR”) Fallback Provisions.

CME Submission No. 22-567

Dear Mr. Kirkpatrick:

Pursuant to Commodity Futures Trading Commission (“CFTC” or “Commission”) Regulation 40.5(a), 

Chicago Mercantile Exchange Inc. (“CME” or the “Exchange”) hereby voluntarily submits for Commission 

review and approval amendments to the Three-Month Eurodollar Futures and Options on Three-Month 

Eurodollar Futures contracts (the “Contracts”) to amend existing contractual fallbacks for the Contracts 

(collectively, the “Rule Amendments”) to be incorporated into the rules of the Exchange on February 6, 

2023. 

Contract Title

CME Globex/ 

CME ClearPort Code/

Open Outcry-Trading Floor CME Rulebook Chapter

Three-Month Eurodollar Futures GE/ED 452

Options on Three-Month Eurodollar Futures GE/ED/Put: PE; Call: CE

1 Year Mid Curve 

GE0/ E0

2 Year Mid Curve 

GE2/E2

3 Year Mid Curve

GE3/E3

4 Year Mid Curve

GE4/E4

5 Year Mid Curve

GE5/E5

452A
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

2

The Contracts reference three-month US Dollar ICE LIBOR (“USD LIBOR”)1 and the Rule Amendments 

are required to address future circumstances in which USD LIBOR:

(i) is scheduled to be deemed unrepresentative of the underlying market or economic reality

immediately after publication on June 30, 2023, following the U.K. Financial Conduct Authority 

(“FCA”) announcement of March 5, 20212, made in its capacity as supervisor of the 

administrator of USD LIBOR (the “FCA Announcement”), or 

(ii) in the event that USD LIBOR is otherwise permanently discontinued. 

The Rule Amendments shall be binding on existing and new position holders in such contracts from the 

effective date of the Rule Amendments.3

1. Overview of and Rationale for the Rule Amendments

CME previously amended the terms of the Contracts in March 2021 to implement contractual fallback 

provisions for the Contracts, which amendments were deemed approved by the Commission under the 

Commission Regulation 40.5(a) process on March 29, 2021 and subsequently incorporated into the CME 

Rulebook (the “Current Eurodollar Fallback Provisions”).4 The Current Eurodollar Fallback Provisions were 

broadly aligned with initiatives in the OTC cleared and uncleared derivatives market at the time of 

implementation, coordinated with the International Swaps and Derivatives Association (“ISDA”), and 

endorsed by global regulatory authorities, each of which anticipates derivative contractual fallback from 

exposure to USD LIBOR to exposure to the alternative reference rate for USD, the Secured Overnight 

Financing Rate (“SOFR”). The Current Eurodollar Fallback Provisions were prepared in advance and in 

anticipation of the FCA Announcement and therefore do not specifically incorporate the scheduled date of 

30 June, 2023, following which USD LIBOR will no longer be deemed representative of the underlying 

market and economic reality the setting is intended to measure (the “Scheduled Final Representative

LIBOR Publication Date”). Furthermore, the Current Eurodollar Fallback Provisions were implemented 

before, and therefore do not take into account, cleared OTC IRS industry USD LIBOR fallback proposals

recently finalized during 2022 that propose, in response to market participant preferences for operational 

scheduling of fallbacks for OTC IRS, to implement contractual fallbacks for cleared USD LIBOR swaps a

number of months prior to the Scheduled Final Representative LIBOR Publication Date.5

1 The USD ICE LIBOR rate is administered by ICE Benchmark Administration Limited (“IBA”), which is regulated and supervised by 

the UK Financial Conduct Authority as administrator of the benchmark. USD LIBOR is designed to provide an average rate at which 

certain international banks can borrow funds in USD for certain tenors in the wholesale unsecured funding market.

2 See FCA announcement on future cessation and loss of representativeness of the LIBOR benchmarks, available at: 

https://www.fca.org.uk/publication/documents/future-cessation-loss-representativeness-libor-benchmarks.pdf. The FCA noted that it 

would not require any panel banks to continue to submit USD LIBOR rates after publication on 30 June 2023 or to require IBA to 

continue to publish LIBOR on the basis of panel bank submissions beyond such date. While the FCA reserved its rights to require 

continued publication of USD LIBOR on a synthetic basis of the 1- month, 3-month and 6-month US dollar LIBOR settings for a further 

period after end-June 2023, the FCA noted that LIBOR settings published on this synthetic basis will no longer be representative of 

the underlying market and economic reality the setting is intended to measure. Consequently, the FCA concluded and announced 

that, in the case of three-month USD LIBOR, such rate will no longer be representative of the underlying market and economic reality 

that such setting is intended to measure and that representativeness will not be restored, immediately after publication on 30 June 

2023.

3 CME Options on Three-Month Eurodollar Futures contracts (Chapter 452A) exercise into CME Three-Month Eurodollar Futures 

contracts (Chapter 452). CME also lists for trading (i) One-Month Eurodollar Futures (that reference 1 Month USD LIBOR) (Chapter 

453) and (ii) Options on Three-Month Eurodollar Futures Calendar Spreads (Chapter 452D). In each case there are no contracts 

available for trading that extend beyond the date of end-June 2023 and no further contracts shall be listed by the Exchange. As a 

result, CME will not amend the rules of Chapter 453, Chapter 453A or Chapter 452D to implement contractual fallbacks for these 

contracts.

4 See https://www.cmegroup.com/content/dam/cmegroup/market-regulation/rule-filings/2021/2/21-082.pdf. The Current Eurodollar 

Fallback Provisions provide that from the effective date that USD LIBOR is deemed to be non-representative of the underlying market 

or economic reality by the FCA or the date that USD LIBOR is otherwise permanently discontinued, trading and clearing of the 

Contracts will terminate and CME would convert open positions in the Contracts into positions in the corresponding CME futures and 

options contracts referencing the Secured Overnight Financing Rate (“SOFR”) on such date.

5

In August 2022, following extensive consultation with market participants, CME announced that, subject to regulatory review, it

intends to convert cleared USD LIBOR swaps into equivalent standardized SOFR overnight index swaps (“OIS”) commencing April 

21, 2023. The timing of the proposed primary conversion date was based on market participant feedback, with market participants 

consulted expressing a preference to conduct the conversion process in good time ahead of the Scheduled Final Representative 

LIBOR Publication Date in order to limit the amount of operational risk and processing throughput challenges faced by those market 

participants for cleared swaps, and to ensure a minimal amount of operational and timing overlap with the processing of bilateral 
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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Under the Current Eurodollar Fallback Provisions, assuming there is no subsequent event that supersedes 

the FCA Announcement, the effective date of the contractual fallbacks for the Contracts would be 

immediately after publication of USD LIBOR on the Scheduled Final Representative LIBOR Publication 

Date (June 30, 2023). Following discussions with market participants during 2022, in order to ensure that 

open positions in the Contracts are transitioned away from USD LIBOR (i) in good time ahead of the 

Scheduled Final Representative LIBOR Publication Date and (ii) at a time scheduled to be closely 

coordinated with the scheduling of the equivalent OTC IRS industry USD LIBOR transition process, CME 

proposes to amend the terms of the Contracts and the Current Eurodollar Fallback Provisions such that the

contractual fallback provisions will take effect on or shortly after close of business on April 14, 2023 (the 

“Proposed Eurodollar Fallback Effective Date”), subject to the terms of the Contracts as amended by the 

Rule Amendments.

6

CME’s revised approach to the effective time of implementation of contractual fallbacks for the Contracts

to be implemented by the Rule Amendments is driven by market participant feedback. The Proposed 

Eurodollar Fallback Effective Date was selected by CME in response to market participant requests that 

contractual fallbacks in relation to CME Eurodollar Futures and Options contracts should not occur at the 

same time as the implementation of the contractual fallbacks in uncleared bilateral derivative contracts in 

order to limit the amount of operational risk and processing throughput challenges faced by market 

participants subject to the bilateral market transitions scheduled to take place shortly after June 30, 2023. 

Given the close relationship between the cleared swap and futures and options markets, market participants 

also expressed a preference that any Exchange-led transition away from CME Eurodollar Futures and 

Options should occur as close as possible in terms of timing to the primary cleared USD LIBOR OTC IRS 

transitions scheduled by major Central Counterparties (“CCPs”), without significant overlap in processing. 

On the basis of this engagement, CME has determined that the conversion of CME Eurodollar Futures and 

Options should take place shortly before the equivalent processes for cleared swaps scheduled by CME 

Clearing (also referred to as the “Clearing House”) and other major CCPs.

While the change to the proposed timing of the Proposed Eurodollar Fallback Effective Date is a material 

change to the equivalent date under the Current Eurodollar Fallback Provisions, CME’s approach and 

methodology to effect the conversion process set out in the Rule Amendments is otherwise substantially 

the same as the Current Eurodollar Fallback Provisions, which approach and methodology was and 

continues to be supported by market participants. As with the Current Eurodollar Fallback provisions, the 

proposed revised contractual fallbacks for the Contracts are intended to align with CME’s approach to 

uncleared swap transition arrangements that are scheduled to take place on or around the Scheduled Final Representative LIBOR 

Publication Date. Further details are available at https://www.cmegroup.com/content/dam/cmegroup/trading/interest-rates/files/cmeconversion-for-usd-libor-cleared-swaps.pdf. LCH Group (“LCH”) similarly conducted a consultation exercise with its cleared OTC IRS 

market participants and has proposed that it will convert USD LIBOR referencing swaps into corresponding market standard SOFR 

OIS across two dates, a first in April 2023 and a second in May 2023. LCH identified that market participant feedback has determined 

the proposed timing for the conversion to take place in good time ahead of end-June 2023. Further details are available at 

https://www.lch.com/membership/ltd-membership/ltd-member-updates/lchs-consultation-conversion-outstanding-usd-liborr

6 Note that the Rule Amendments provide that only positions in the Contracts relating to underlying futures expiring after June 30, 

2023 will be in scope and eligible for the conversion, based on the timeline set out in the FCA Announcement. The Rule Amendments 

further provide for certain limited circumstances where the Eurodollar Fallback Effective Date may be amended: (i) in the unlikely 

event of a “fallback event” in respect of USD LIBOR that supersedes the FCA Announcement, or (ii) in the event that CME determines 

in its sole and absolute discretion that the Eurodollar Fallback Effective Date must be amended, for example and without limitation, in 

response to operational, market disruption or financial stability issues that could threaten the orderly transition of the Contracts.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

4

fallbacks for USD LIBOR-referencing OTC IRS contracts7, which is in turn broadly aligned with initiatives in 

the wider OTC cleared and uncleared derivatives market.

8

On the Proposed Eurodollar Fallback Effective Date, CME proposes that trading and clearing of affected 

Contracts will terminate and CME will convert open positions in such affected Contracts into positions in 

the corresponding Three-Month SOFR Futures (Rulebook Chapter: 460/Commodity Code: SR3) or Options 

on Three-Month SOFR Futures (Rulebook Chapter 460A; Commodity Code: SR3/S30) (collectively, the 

“SOFR Contracts”), as applicable, according to a methodology and procedure described in this 

submission.

9 Given the general alignment between the contractual periods of interest rate risk between 

CME Three-Month Eurodollar Futures and CME Three-Month SOFR futures, and guided by the principles 

of maintaining market stability and promoting effective risk management, CME continues to believe that 

this approach to conversion of open interest in the Contracts meets the needs of market participants and

promotes market stability and an orderly transition to SOFR from USD LIBOR, whilst ensuring appropriate 

alignment with the proposed approach to fallbacks that will be followed by CME Clearing and the wider 

swap clearing industry for OTC IRS referencing USD LIBOR.

10

2. Background to USD LIBOR Transition

“Non-representativeness” of USD LIBOR

Following industry consultations,

11 on March 5, 2021, IBA, the UK FCA regulated and supervised 

administrator of USD LIBOR, announced that in the absence of sufficient panel bank support and without 

the intervention of the FCA to compel continued contributions to USD LIBOR, it would not be possible for 

IBA to continue to publish the relevant USD LIBOR settings on a “representative” basis beyond June 30, 

2023.12 In coordination with the IBA announcement, on March 5, 2021, the FCA Announcement confirmed 

that the FCA would not require any panel banks to continue to submit USD LIBOR rates after publication 

on 30 June 2023 or to require IBA to continue to publish LIBOR on the basis of panel bank submissions 

beyond such date. While the FCA reserved its rights to require continued publication of the 1- month, 3-

month and 6-month US dollar LIBOR settings on a “synthetic” basis for a further period after end-June 

7 See CME Clearing rule filing dated December 8, 2020 regarding modifications to OTC interest rate swaps contracts to implement 

ISDA IBOR fallback provisions: https://www.cmegroup.com/content/dam/cmegroup/market-regulation/rule-filings/2020/12/20-517.pdf. 

As noted above, following discussions with market participants, and to ensure alignment with the broader cleared derivatives industry 

approach to effecting transition from USD LIBOR to SOFR in IRS contracts, CME proposes to effect a conversion of USD LIBOR

referencing IRS contracts into corresponding cleared contracts referencing SOFR, on or around April 21, 2023. See

https://www.cmegroup.com/content/dam/cmegroup/trading/interest-rates/files/cme-conversion-for-usd-libor-cleared-swaps.pdf. CME 

Group will be filing appropriate modifications to the applicable CME Clearing rules to implement these changes, amending those set 

out in Submission 20-517.

8 Regulatory authorities have stressed the need for exchange traded derivatives (“ETDs”) to include robust contractual fallbacks for 

IBORs, in a similar manner to OTC IRS. While the Rule Amendments effectively bring forward the conversion process for the 

Contracts, the basic principles of the conversion are still designed to closely reflect the ISDA IBOR fallback provisions, through 

incorporation of the ISDA Spread Adjustment (explained further in this Submission). Given that cleared OTC and ETD contracts 

comprise the overwhelming majority of derivative exposures to USD LIBOR, CME considers that it is more important that ETD fallback 

arrangements should be closely coordinated in terms of timing with the cleared OTC market transitions, rather than with the fallback 

implementation for bilateral uncleared contracts.

9 CME Three-Month SOFR Futures (Chapter 460, CME Rulebook) utilize SOFR to determine the final settlement price of the contract 

on expiry; in a given delivery month the final settlement price is determined by the compounded daily SOFR during the contract 

reference quarter.

10 Under the terms of the ISDA contractual fallbacks applicable to bilateral uncleared USD LIBOR swaps, such contracts will fall back 

to SOFR fallback rates on the relevant Index Cessation Effective Date (within the meaning of the relevant ISDA provisions), which 

(based on the FCA Announcement), is scheduled to be shortly after the Scheduled Final Representative LIBOR Publication Date. As 

noted above, CME Group and the wider cleared derivatives industry has consciously elected to effect a transition of cleared USD 

LIBOR swaps to corresponding SOFR OIS, and also of the Contracts, in good time ahead of the Index Cessation Effective Date to 

reduce the operational burden on market participants subject to contractual fallbacks for uncleared bilateral swaps.

11 The consultation was published by IBA on December 4, 2020 and closed on January 25, 2021 and is available at: 

https://www.theice.com/publicdocs/ICE_LIBOR_Consultation_on_Potential_Cessation.pdf. 

12 See IBA Feedback Statement on consultation, March 5, 2021, available at: 

https://www.theice.com/publicdocs/ICE_LIBOR_feedback_statement_on_consultation_on_potential_cessation.pdf
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2023, the FCA noted that LIBOR settings published on this synthetic basis will no longer be representative 

of the underlying market and economic reality the setting is intended to measure. Consequently, the FCA 

concluded and announced that, in the case of three-month USD LIBOR, such rate will no longer be 

representative of the underlying market and economic reality that such setting is intended to measure and 

that representativeness will not be restored, immediately after publication on 30 June 2023. The FCA 

Announcement also confirmed that such statements were issued “in the awareness that it will engage 

certain contractual triggers for the calculation and future application of fallbacks that are activated by precessation or cessation announcements made by the FCA (howsoever described) in contracts”.13 Therefore, 

the FCA and other regulatory authorities will require that contractual fallbacks should be implemented in 

bilateral uncleared, cleared and exchange traded derivative markets, triggered by the scheduled date that 

the rate ceases to be representative, even where the FCA determines that a “synthetic” USD LIBOR shall 

be published after the Scheduled Final Representative LIBOR Publication Date.

14

In response to the FCA Announcement, on March 5, 2021, ISDA confirmed that the FCA Announcement

constitutes an “Index Cessation Event” under the ISDA Fallbacks Supplement and the ISDA 2020 IBOR 

Fallbacks Protocol for all USD LIBOR settings, and further confirmed that, as a result, the fallback spread 

adjustment (which determines the fallback price of the resulting converted SOFR swap arising under the 

ISDA fallback methodology) published by Bloomberg Index Services Limited (“Bloomberg”) was fixed as of 

the date of the announcement for such contracts.15 Under the terms of the ISDA contractual fallbacks for 

uncleared derivatives, following final publication of a “representative” USD LIBOR on June 30, 2023, the 

fallbacks for USD LIBOR derivatives under ISDA’s documentation would be implemented so that USD 

LIBOR swaps will be converted to reference forms of SOFR plus the fixed fallback spread adjustment. In 

response, Bloomberg issued a Technical Notice confirming that March 5, 2021 was the “Spread Adjustment 

Fixing Date” for all LIBOR rates and published the fixed Spread Adjustment for USD 3M LIBOR of 0.26161%

(the “Spread Adjustment”).

16

SOFR as Successor to USD LIBOR

In 2014, the Federal Reserve Board and the Federal Reserve Bank of New York convened the Alternative 

Reference Rates Committee (“ARRC”) tasked with the mandate of identifying a “nearly risk-free” successor

reference rate (“RFR”) to the LIBOR benchmark interest rate for USD LIBOR. In 2017, the ARRC fulfilled 

this mandate by selecting SOFR, a reference rate administered by the Federal Reserve Bank of New York. 

SOFR provides a broad measure of the cost of borrowing USD cash overnight collateralized by US Treasury 

securities, which rate is based on overnight observable transactions in the active and liquid US Treasury 

repo market.

13 See p.2, FCA Announcement, available at https://www.fca.org.uk/publication/documents/future-cessation-lossrepresentativeness-libor-benchmarks.pdf

14 In November 2022, the FCA opened a public consultation on proposals to require publication of the 1-, 3- and 6- month USD LIBOR 

settings on a synthetic basis until end-September 2024, as well as the appropriate methodology for constructing such synthetic LIBOR 

settings, and what use of them should be permitted. The FCA confirmed that “while in our view synthetic LIBOR settings are a fair and 

reasonable approximation of what LIBOR might have been had it continued to exist, they are not representative of the markets that 

the original LIBOR settings were intended to measure.” The FCA has proposed that there would be limitations on use of such synthetic 

USD LIBOR settings, for example, supervised entities would not be permitted to use such rates except for legacy contracts specifically 

permitted by the FCA. The designation as a permanently unrepresentative benchmark also empowers the FCA to require the 

administrator of the benchmark to change the methodology of calculation. The FCA has proposed that synthetic US dollar LIBOR 

would be the sum of the CME Group Benchmark Administration Limited’s Term SOFR Reference Rate plus the ISDA fixed spread 

adjustment for the corresponding LIBOR setting. The FCA consultation paper is available at:

https://www.fca.org.uk/publication/consultation/cp22-21.pdf. 

15 See ISDA announcement, available at https://www.isda.org/2021/03/05/isda-statement-on-uk-fca-libor-announcement/

16 See Bloomberg Technical Notice, available at https://assets.bbhub.io/professional/sites/10/IBOR-Fallbacks-LIBORCessation_Announcement_20210305.pdf. Leadership from the Federal Reserve Board, the Federal Reserve Bank of New York and 

the CFTC applauded the developments represented by these announcements, noting that they provided a clear end-date for USD 

LIBOR and a clear path for the change to alternative reference rates and encouraged market participants to continue the transition to 

alternative reference rates. See Alternative Reference Rates Committee Press Release available at

https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2021/ARRC_Press_Release_Endgame.pdf
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 ARRC identified SOFR as the rate that represents best practice for use in new USD derivatives and 

other financial contracts and the ARRC’s Paced Transition Plan sets out milestones to promote and 

facilitate the transition away from USD LIBOR to SOFR.17 SOFR is considered to be more resilient than 

panel-based IBOR rates because of how the SOFR rate is calculated and the liquidity and depth of the 

underlying market transactions that determine the rate. Transactions underlying SOFR regularly exceed $1 

trillion in daily volumes, rendering the SOFR rate a transparent rate that is representative of the market 

across a broad range of market participants, which provides protection against attempted manipulation. 

Global regulatory authorities continue to encourage market participants with exposure to USD LIBOR to 

implement contractual fallback arrangements to ensure an orderly transition away from USD LIBOR and to 

minimize any risk of market disruption ahead of the Scheduled Final Representative LIBOR Publication 

Date.

18

Since its first publication in April 2018, use of SOFR has grown significantly for a wide range of financial 

products, from loans and commercial paper to interest rate swaps and exchange traded futures contracts. 

CME has supported the key milestones of the ARRC’s Paced Transition Plan, launching the SOFR Futures 

contract in May 2018, OTC SOFR swaps in October 2018 and Options on SOFR Futures in January 2020. 

Trading and open interest in CME SOFR derivative products has grown rapidly since launch, and 

particularly during 2022, such that CME SOFR Futures are now the leading source of SOFR price discovery. 

As of the end of November 2022, CME SOFR Futures and Options average daily volume (“ADV”) was

consistently higher than CME Eurodollar Futures and Options, as demonstrated in the table below:

2022 Q4 

through 

November

ADV November-End

Open Interest

CME Futures

SOFR 2.2M 9M

Eurodollar 785k 7.3M

SOFR % of ED 275% 124%

CME Options on Futures

SOFR 932k 21.9M

Eurodollar 545k 19.9M

SOFR % of ED 171% 110%

The chart below demonstrates the growth in CME SOFR Futures and Options ADV and open interest since 

launch in 2018:

17 Details of the ARRC Paced Transition Plan for SOFR are available at https://www.newyorkfed.org/arrc/sofrtransition#pacedtransition.

18 See, for example, statements from the Federal Reserve at https://www.federalreserve.gov/supervisionreg/libor-transition.htm and 

the FCA at https://www.fca.org.uk/markets/libor.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

7

SOFR is an overnight rate only based on the funding cost of overnight transactions secured by US

Treasuries. As a result, CME’s Three-Month SOFR Futures reference a rate equal to the compounded daily 

SOFR interest during the relevant contract reference quarter, expressed as an interest rate per annum for 

which such interest rate shall accrue on the basis of the actual number of days spanned by such contract 

reference quarter, divided by a 360-day year.

CME’s leading SOFR Futures and Options contracts and cleared OTC SOFR swaps are alternative liquid 

SOFR products available to market participants as they transition away from USD LIBOR. The timing of the 

Proposed Eurodollar Fallback Date continues to provide market participants with a choice among the 

Contracts, the SOFR Contracts and CME Fed Funds Futures and Options as close to the Scheduled Final 

Representative LIBOR Publication Date as is considered appropriate for their risk management needs.

Coordination with Contractual Fallbacks in OTC Interest Rate Derivative Contracts

CME’s broad approach to contractual fallbacks set out in the Rule Amendments remains consistent with 

the Current Eurodollar Fallback Provisions, which were designed, in turn, to be consistent with the industry 

approach in cleared and uncleared OTC derivatives contracts markets and in line with the goals of global 

regulatory authorities.19

19 CME Group first outlined our proposed approach to transition for USD LIBOR for Eurodollar futures and options in a webinar in 

November 2019, which was implemented through Submission 21-082 (accessible at

https://www.cmegroup.com/content/dam/cmegroup/market-regulation/rule-filings/2021/2/21-082.pdf), subject to minor amendments 

to reflect market developments and market participant feedback during 2020. CME provided a follow up webinar for market participants 

on January 26th, 2021, available at https://www.cmegroup.com/education/videos/sofr-based-fallbacks-for-eurodollar-futures-andoptions.html. CME introduced the Current Eurodollar Fallback Provisions on March 29, 2021.

See https://www.cmegroup.com/content/dam/cmegroup/market-regulation/rule-filings/2021/2/21-082.pdf

 -

 5,000,000

 10,000,000

 15,000,000

 20,000,000

 25,000,000

 30,000,000

 35,000,000

0

500,000

1,000,000

1,500,000

2,000,000

2,500,000

3,000,000

3,500,000

4,000,000

Open Interest

Average Daily Volume

SOFR futures and options ADV and OI

SOFR Futures ADV SOFR Options ADV Total Open Interest
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

8

ISDA’s IBOR Fallbacks Supplement20 and IBOR Fallbacks Protocol21 were published in October 2020 and 

are designed to provide a contractual framework for implementation of fallback provisions for OTC 

derivative market participants using ISDA legal documentation and include contractual fallbacks to term 

and spread-adjusted versions of RFRs triggered by defined “fallback events”, i.e. a permanent 

discontinuation of a covered IBOR or the non-representativeness of a LIBOR rate (the “ISDA IBOR 

Fallbacks”).

22 In the case of USD LIBOR, the ISDA IBOR Fallbacks provide for a contractual fallback to a 

term and spread adjusted SOFR rate on the effective date of a relevant Fallback Event. Market participants 

have been encouraged by regulatory authorities to adopt and adhere to these fallback provisions such that 

the overwhelming majority of uncleared USD LIBOR OTC IRS are understood to have incorporated the 

ISDA contractual fallbacks.

Under the ISDA IBOR Fallback provisions applicable to Three-Month USD LIBOR, the effective date of the 

“Index Cessation Event” represented by the FCA Announcement will occur after the Scheduled Final 

Representative LIBOR Publication Date, which is the first London business day on which Three-Month USD 

LIBOR is non-representative (including where a “USD LIBOR” rate continues to be published in “synthetic” 

form) or no longer provided (as applicable, the “Index Cessation Effective Date”).

CME Group believes that a coordinated approach to triggers and fallbacks between cleared and uncleared 

derivatives markets is positive for the marketplace.

23 While CME has recently proposed to effect an “early”

conversion of USD LIBOR referencing IRS contracts ahead of the Index Cessation Effective Date, the 

relevant methodology to be utilized by CME Clearing remains closely aligned with the ISDA IBOR Fallbacks 

and, critically, applies the ISDA Spread Adjustment to ensure close correlation with the ISDA IBOR Fallback 

Rate for SOFR to be used in bilateral uncleared derivatives.

24

ISDA IBOR Fallback Rate for Three-Month USD LIBOR and Spread Adjustment

Under the ISDA IBOR Fallbacks, on the “Index Cessation Effective Date” the relevant derivative contract 

would “fall back” from the relevant USD LIBOR tenor to the (term and spread adjusted) SOFR rate for the 

designated maturity. The tenor, term and spread adjusted SOFR rate (the “all-in” Fallback Rate) is 

calculated and published by Bloomberg which applies under the ISDA fallbacks from the Index Cessation

Effective Date for contracts of the relevant maturity, and is based on the methodology prescribed by ISDA, 

as follows:

20 The ISDA IBOR Fallbacks Supplement is titled “Amendments to the 2006 ISDA Definitions to include new IBOR fallbacks,

Supplement number 70 to the 2006 ISDA Definitions, Final on October 23, 2020 and published and effective on January 25, 2021”. 

The ISDA IBOR Fallbacks Supplement will have the effect of amending the 2006 ISDA Definitions to include new IBOR fallback 

provisions for new contracts entered into after the date of implementation. The ISDA IBOR Fallbacks Supplement is available at 

http://assets.isda.org/media/3062e7b4/23aa1658-pdf/. 

21 The ISDA 2020 IBOR Fallbacks Protocol is a voluntary protocol for market participants that wish to incorporate the ISDA IBOR 

Fallbacks into existing contracts with other adhering bilateral counterparties from the date of implementation of the ISDA IBOR 

Fallbacks Supplement. The Protocol is available at http://assets.isda.org/media/3062e7b4/08268161-pdf/. 

22 In each case, fallback triggers, fallback rates and the term and spread adjustment have been determined by ISDA following feedback 

during the extensive consultation process conducted by ISDA, details of which are available at

https://www.isda.org/2020/05/11/benchmark-reform-and-transition-from-libor/#consultations. For example, term and spread 

adjustments are considered necessary because IBORs are available in multiple tenors and incorporate bank credit premiums and 

other factors that are not applicable to overnight RFRs. ISDA conducted extensive public consultation on methodologies for spread 

and term adjustments to overnight RFRs to inform the fallback approach. 

23 CME has fully supported the efforts of the official sector, ARRC and ISDA and their industry-wide working groups to improve and 

strengthen LIBOR fallbacks and indicated at an early stage our intention to align with ISDA to include revised fallback language in our 

rules at a time which is concurrent with amendments or new definitions being adopted across the OTC derivative marketplace: 

https://www.cmegroup.com/education/articles-and-reports/cme-group-supports-isda-s-libor-fallback-provisions.html. See also CME 

Clearing rule filing dated December 8, 2020 regarding modifications to OTC interest rate swaps contracts to implement ISDA IBOR 

fallback provisions: https://www.cmegroup.com/content/dam/cmegroup/market-regulation/rule-filings/2020/12/20-517.pdf and CME 

Clearing Advisory 21-039 of January 25, 2021 https://www.cmegroup.com/notices/clearing/2021/01/Chadv21-039.html. 

24 CME Group will be filing appropriate modifications to the applicable CME Clearing rules to implement these changes, amending 

those set out in Submission 20-517, https://www.cmegroup.com/content/dam/cmegroup/market-regulation/rule-filings/2020/12/20-

517.pdf.
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• Adjusted SOFR: the compounded setting in arrears SOFR for each relevant term – daily 

compounding of the publicly available SOFR rate.

• Spread Adjustment: the median of the historical differences between USD LIBOR for each tenor 

and the compounded SOFR for that tenor over a five-year lookback period, i.e. the Spread 

Adjustment, calculated by Bloomberg in accordance with the relevant methodology.

• Fallback Rate: the “all-in” fallback rate (i.e., the Adjusted SOFR plus the Spread Adjustment for 

each tenor).25

As noted above, the FCA Announcement on March 5, 2021 was the fixing date for the Spread Adjustment,

published by Bloomberg. The relevant Spread Adjustment in respect to Three-Month USD LIBOR was 

accordingly fixed by Bloomberg at 0.26161%. In order to promote alignment with the ISDA IBOR Fallbacks, 

the Current Eurodollar Fallback Provisions incorporated the Spread Adjustment into the conversion 

methodology by reference to the future rate to be published by Bloomberg. Following the fixing of the 

Spread Adjustment at 0.26161% in response to the FCA Announcement, the Rule Amendments will 

expressly incorporate the actual Spread Adjustment figure and the Exchange will utilize this figure for the 

purposes of the conversion process, although no other substantive changes are required to the conversion 

methodology underpinning the Current Eurodollar Fallback Provisions.

3. Implementation of Rule Amendments to modify USD LIBOR Fallbacks for CME Three-Month 

Eurodollar Futures and Options on Three-Month Eurodollar Futures

In order to align CME’s approach to fallbacks for the Contracts with recent proposals for cleared OTC IRS 

market developments and market participant feedback, CME considers it necessary to implement the Rule 

Amendments, as described in this filing, into the rules applicable to open interest and new positions in the 

Contracts. 

CME anticipates that the Rule Amendments will become effective in good time ahead of the Proposed 

Eurodollar Fallback Effective Date to ensure market participants are fully informed and have sufficient time 

for operational preparation and readiness. 

CME proposes that, subject to the amended terms of the Contracts (as amended by the Rule Amendments)

on the Proposed Eurodollar Fallback Effective Date:

• trading in CME Three-Month Eurodollar Futures that expire after the Scheduled Final 

Representative LIBOR Publication Date, and Options on such Three-Month Eurodollar Futures, will 

terminate; and 

• open positions in CME Three-Month Eurodollar Futures that expire after the Scheduled Final 

Representative LIBOR Publication Date, and Options on such Three-Month Eurodollar Futures 

contracts, will be converted into positions in the corresponding CME Three-Month SOFR Futures 

or CME Options on Three-Month SOFR Futures contract (as applicable), according to a 

methodology and procedure set out in this submission and previously published by CME.

26

25 Further information on the calculations and rates performed by Bloomberg, for example, are available on the Bloomberg website at: 

https://data.bloomberglp.com/professional/sites/10/IBOR-Fallbacks-Fact-Sheet.pdf. Bloomberg maintains a publicly available 

rulebook (the “IBOR Fallback Rate Adjustments Rule Book”, available at https://data.bloomberglp.com/professional/sites/10/IBORFallback-Rate-Adjustments-Rule-Book.pdf) which sets out the processes utilized by Bloomberg to calculate the rate adjustments in 

line with the approach and methodology agreed by market participants under ISDA’s extensive consultation process. To account for 

the (nearly) risk-free nature of the RFRs v. the liquidity characteristics and supply/demand factors affecting IBORs, a spread 

adjustment is calculated for each RFR/IBOR pair (per tenor) using a five year historical median calculation. These calculations are 

each generally referred to as the “Spread Adjustment”.

26 See Eurodollar Fallbacks Implementation confirmation published by CME on October 11, 2022, available at: 

https://www.cmegroup.com/articles/files/2022/eurodollar-fallbacks-implementation-plan.pdf
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Note that following the Proposed Eurodollar Fallback Effective Date, trading in CME Three-Month 

Eurodollar Futures that expire before the Scheduled Final Representative LIBOR Publication Date, and 

Options on such Three-Month Eurodollar Futures, will continue to be available for trading until expiration.

CME proposes that the Rule Amendments to implement USD LIBOR Fallbacks into the contract terms for 

the Contracts will be implemented via a change to the CME Rulebook chapters setting out the contract 

terms for the relevant products:

• Chapter 452 (Three-Month Eurodollar Futures)

• Chapter 452A (Options on Three-Month Eurodollar Futures)

(the “Contracts”).27

The Rule Amendments are summarized below and set out in Exhibit 1 (with additions underscored and 

deletions struck through) and will be binding on all position holders and Clearing Members. The Rule 

Amendments shall be applicable to new positions and existing open positions in the affected Contracts from 

the effective date, subject to regulatory approval. The Rule Amendments will be published in a market 

notice / Special Executive Report (“SER”) which will be made available to Clearing Members, market 

participants and the general public via the CME Group website.

Amendments to Current Eurodollar Fallback Provisions for CME Three-Month Eurodollar Futures

CME Three-Month Eurodollar Futures contracts directly reference Three-Month USD LIBOR for 

determining the final settlement price of the contract on expiry. As a result, the Current Eurodollar Fallback 

Provisions were designed to incorporate robust ex ante contractual fallbacks into the relevant contract rules 

governing the trading and clearing of those contracts to provide the market with clarity and to promote an 

orderly transition for open positions in CME Three-Month Eurodollar Futures in the event that the relevant

USD LIBOR tenor was to be permanently discontinued or cease to be representative of the underlying 

market or economic reality.

28

The FCA Announcement constitutes a fallback trigger under ISDA documentation and also a “USD 3M 

LIBOR Fallback Announcement” under the Current Eurodollar Fallback Provisions in Current Rule 45236.A. 

In accordance with the FCA Announcement, the effective date of the fallback trigger under Current Rule 

45236.B. is the date on which USD LIBOR will cease to be representative even if the rate continues to be 

provided (the Index Cessation Effective Date within the meaning of the ISDA IBOR Fallbacks and the 

“Eurodollar Fallback Effective Date” for the purposes of Current Rule 45236.B.) which is the London 

business day after the Scheduled Final Representative LIBOR Publication Date. As a result, under Current 

Rule 45236.B., the conversion of the Contracts would take place on the “Eurodollar Fallback Effective Date” 

determined in accordance with the provisions of Current Rule 45236.C. (Eurodollar Futures) and Current 

27 The Rule Amendments do not apply to CME One-Month Eurodollar Futures (Chapter 453), Options on One-Month Eurodollar 

Futures (Chapter 453A) or Options on Three-Month Eurodollar Futures Calendar Spreads (Chapter 452D). In each case there are no 

contracts available for trading that extend beyond the anticipated 3 month or 1 month USD LIBOR cessation date of end-June 2023. 

CME proposes to continue to support One-Month Eurodollar Futures, Options on One-Month Eurodollar Futures contracts and Options 

on Three-Month Eurodollar Futures Calendar Spreads but has not scheduled for trading on the Exchange any contract months beyond 

June 2023. As a result, it is not necessary for CME to amend the rules of Chapter 453, Chapter 453A or Chapter 452D to implement 

additional contractual fallbacks as the contracts will expire and cease to trade before the Scheduled Final Representative LIBOR 

Publication Date.

28 CME agrees with regulatory authorities that it would not be acceptable for exchange traded derivatives to continue to reference a 

USD LIBOR rate that had been declared by the FCA as non-representative of the underlying market or economic reality, from the 

effective date of that determination, even if the USD LIBOR rate continues to be provided to assist market participants in “tough legacy” 

contracts that are not able to implement contractual fallbacks.
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Rule 452A04.B. (Eurodollar Options), which would be July 3, 2023, the “Index Cessation Effective Date” for 

the purposes of ISDA IBOR contractual fallbacks.

As noted above, in order to reflect market participant feedback, in response to the trigger event represented 

by the FCA Announcement, CME proposes to convert certain Contracts ahead of the Index Cessation 

Effective Date; in the absence of a subsequent announcement by the FCA that supersedes the FCA 

Announcement, CME proposes that the conversion of certain of the Contracts should take place on April 

14, 2023 (the “Proposed Eurodollar Fallback Effective Date”).

CME proposes that, on the Proposed Eurodollar Fallback Effective Date, trading in CME Three-Month 

Eurodollar Futures that expire after the Scheduled Final Representative LIBOR Publication Date (the 

“Affected Futures Contracts”), will terminate and open positions in the Affected Futures Contracts that 

expire after the Scheduled Final Representative LIBOR Publication Date, will be converted into positions in 

the corresponding CME Three-Month SOFR Futures contract, according to the methodology and procedure 

set out in this submission. 

In order to implement this change to the fallback provisions, CME proposes the following:

Amendments to Fallback Events and Eurodollar Fallback Effective Date

The Rule Amendments amend the contractual fallback trigger language for CME Three-Month Eurodollar 

Futures in Current Rule 45236.A. to make explicit reference to the FCA Announcement. Proposed Rule 

45236.A. expressly acknowledges that CME considers that the FCA Announcement is a “USD 3M LIBOR 

Fallback Announcement” for the purposes of the contractual fallback provisions in the Chapter. This is 

consistent with the approach adopted by the FCA and ISDA which have recognized that the FCA 

Announcement is a trigger event for the purposes of contractual fallbacks. 

This is because the FCA Announcement constitutes, in respect of USD LIBOR: 

a public statement or publication of information by the regulatory supervisor for the administrator of 

the rate announcing that: 

(A) the regulatory supervisor has determined that such rate is no longer, or as of a specified 

future date will no longer be, representative of the underlying market and economic reality 

that such rate is intended to measure and that representativeness will not be restored, and

(B) it is being made in the awareness that the statement or publication will engage certain 

contractual triggers for fallbacks activated by pre-cessation announcements by such 

supervisor (howsoever described) in contracts.

As noted above, the FCA Announcement confirms that the Scheduled Final Representative LIBOR 

Publication Date will be the last date on which a representative USD LIBOR rate will be published, 

notwithstanding that a “synthetic” USD LIBOR may continue to be published after such date.

Under Current Rule 45236.B., following the FCA Announcement, the “Eurodollar Fallback Effective Date” 

(i.e., the date of conversion of open positions and termination of trading) would be the first date on which 

the Three-Month USD LIBOR rate is non-representative by reference to the most recent statement or 

publication referred by the FCA, even if the rate continues to be provided on such date, which corresponds 

to the ISDA Index Cessation Effective Date.

CME proposes to amend Current Rule 45236.B. such that, except in the event of a subsequent 

announcement by the FCA that supersedes the FCA Announcement, Proposed Rule 45236.B. will provide 

that, on or shortly after close of business on the Proposed Eurodollar Fallback Effective Date of April 14, 

2023: 
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(i) Trading in CME Three-Month Eurodollar Futures that expire after the Scheduled Final 

Representative LIBOR Publication Date (the “Affected Futures Contracts”), will terminate; and

(ii) Open positions in the Affected Futures Contracts will be converted into positions in the 

corresponding CME Three-Month SOFR Futures contract, according to a methodology and 

procedure set out in this submission,

subject to the terms of the Contracts as amended by the Rule Amendments. 29

Following the Proposed Eurodollar Fallback Effective Date, trading in CME Three-Month Eurodollar Futures 

that are not Affected Futures Contracts (i.e. that expire before the Scheduled Final Representative LIBOR 

Publication Date) will continue to be available for trading until expiration.

As noted above, CME’s revised approach to the effective time of implementation of contractual fallbacks 

for the Contracts (to be implemented by the Rule Amendments) is driven by market participant feedback.30

While the change to the proposed timing of the Proposed Eurodollar Fallback Effective Date is a material 

change to the equivalent date under the Current Eurodollar Fallback Provisions, CME’s approach and 

methodology to effect the conversion process set out in the Rule Amendments is otherwise materially the 

same as the Current Eurodollar Fallback Provisions, which approach and methodology was and continues 

to be supported by market participants. As with the Current Eurodollar Fallback provisions, the proposed 

revised contractual fallbacks for the Contracts are intended to align with CME’s approach to fallbacks for 

USD LIBOR-referencing OTC IRS contracts31, which is, in turn, broadly aligned with initiatives in the wider 

OTC cleared and uncleared derivatives market, coordinated with ISDA, and endorsed by global regulatory 

authorities.

While it is considered extremely unlikely, it remains theoretically possible that a fallback event with respect 

to USD LIBOR could take place that supersedes the FCA Announcement; for example, the FCA determines 

that the rate is no longer representative or fit for purpose, triggering a subsequent fallback announcement 

by the FCA. Similarly, there may be exceptional circumstances where CME, in its sole and absolute 

discretion, determines that it is necessary to amend the Eurodollar Fallback Effective Date.32 CME proposes 

to amend Current Rule 45236.B. such that, in the event of a subsequent announcement by the FCA that 

supersedes the FCA Announcement, or in the event that CME determines in its absolute and sole discretion 

that the conversion should not take place on April 14, 2023, Proposed Rule 45236.B. will require CME to 

determine an alternative Eurodollar Fallback Effective Date and Scheduled Final Representative LIBOR 

29 The Rule Amendments provide for certain limited circumstances where the Eurodollar Fallback Effective Date may be amended: (i) 

in the unlikely event of a “fallback event” in respect of USD LIBOR that supersedes the FCA Announcement, or (ii) in the event that 

CME determines in its sole and absolute discretion that the Eurodollar Fallback Effective Date must be amended, for example and 

without limitation, in response to operational, market disruption or financial stability issues that could threaten the orderly transition of 

the Contracts.

30 The Proposed Eurodollar Fallback Effective Date was selected by CME in response to market participant requests that the 

conversion of Eurodollar futures and options contracts should not occur at the same time as the implementation of the contractual 

fallbacks in uncleared bilateral derivative contracts in order to limit the amount of operational risk and processing throughput 

challenges faced by market participants subject to the bilateral market conversions scheduled to take place shortly after June 30, 

2023. Similarly, market participants expressed a preference that the conversion of Eurodollar futures and options should occur as 

close as possible in terms of timing to the primary cleared USD LIBOR OTC IRS transitions scheduled by major CCPs.

31 See CME Clearing rule filing dated December 8, 2020 regarding modifications to OTC interest rate swaps contracts to implement

ISDA IBOR fallback provisions: https://www.cmegroup.com/content/dam/cmegroup/market-regulation/rule-filings/2020/12/20-517.pdf. 

As noted above, following discussions with market participants, and to ensure alignment with the broader cleared derivatives industry 

approach to effecting transition from USD LIBOR to SOFR in IRS contracts, CME proposes to effect a conversion of USD LIBOR 

referencing IRS contracts into corresponding cleared contracts referencing SOFR, on or around April 21, 2023. See

https://www.cmegroup.com/content/dam/cmegroup/trading/interest-rates/files/cme-conversion-for-usd-libor-cleared-swaps.pdf. CME 

Group will be filing appropriate modifications to the applicable CME Clearing rules to implement these changes, amending those set 

out in Submission 20-517.

32 For example, where the Exchange determines at any time in its sole and absolute discretion that implementation of the fallback 

procedure on such date could result in an unacceptable level of operational or market disruption or where financial stability issues 

could threaten the orderly transition of the Contracts.
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13

Publication Date which will apply in the place of April 14, 2023 for the purposes of Chapter 452 and Chapter 

452A. 

CME Actions on the Eurodollar Fallback Effective Date

CME proposes minor amendments to the Fallback Procedure set out in Current Rule 45236.C. to reflect 

the fact that the ISDA Spread Adjustment was fixed and published by Bloomberg following the FCA 

Announcement on March 5, 2021. Under Current Rule 45236.C., this procedure would have taken place 

on the Index Cessation Effective Date. However, as noted above, CME proposes that, following the FCA 

Announcement and in the absence of a subsequent FCA Announcement that supersedes it or where CME 

exercises its discretion to act under Proposed Rule 45236.B., the conversion procedure will take place on 

April 14, 2023 (the “Eurodollar Fallback Effective Date”).

As proposed in the Rule Amendments at Proposed New Rule 45236.C. (“Fallback Procedure”), on the 

Eurodollar Fallback Effective Date the Exchange shall:

• terminate trading in the Affected Futures Contracts; and 

• convert open positions in the Affected Futures Contracts into positions in the corresponding CME 

Three-Month SOFR Futures contract, by terminating each such open position at the most recent 

daily settlement price for the contract on the Eurodollar Fallback Effective Date and replacing it with 

a position in the corresponding CME Three-Month SOFR Futures contract according to a 

methodology and procedure set out in this submission (a “Replacement Futures Position”). 

The Replacement Futures Position shall be assigned to a position holder by the Exchange in accordance 

with the following procedure:

• the Replacement Futures Position in the relevant CME Three-Month SOFR Futures contract shall 

be equal in trading unit size and direction to the position in the relevant terminated CME ThreeMonth Eurodollar Futures contract and with the same contract month; and

• the price at which the Replacement Futures Position is assigned to the position holder (the 

“Assignment Price”) shall be determined by the Exchange and shall be equal to:

o the most recent daily settlement price for CME Three-Month Eurodollar Futures on the 

Eurodollar Fallback Effective Date33,

plus

o a value adjustment amount which shall be equal to the fixed Spread Adjustment for 

Three-Month USD LIBOR published by Bloomberg (0.26161% or 26.161 basis points).

33 The daily settlement price for Eurodollar futures is determined by the Exchange based on the market activity on CME Globex in 

accordance with the Settlement Procedures available at https://www.cmegroup.com/confluence/display/EPICSANDBOX/Eurodollar. 

See also CME Submission 22-391 available at https://www.cmegroup.com/content/dam/cmegroup/market-regulation/rulefilings/2022/10/22-391.pdf. The Exchange Eurodollar daily settlement price determination process takes into account the bid/ask 

activity of both outright and spread markets on CME Globex between 13:59:00 and 14:00:00 Central Time (CT). Spreads to be 

considered in this manner are 3 month calendars, 6 month calendars, 9 month calendars, 12 month calendars, 3 month butterflies, 

12 month butterflies and the inter-commodity 3-Month SOFR vs Eurodollar spreads. Bids and asks in calendar spreads, butterfly 

instruments and inter-commodity 3-Month SOFR vs Eurodollar spreads will be used in conjunction with settlements from any months 

where a settlement price has been determined to form an implied market in the contract to be settled. These implied markets, along 

with the outright bid/ask market for the contract, will be used to derive the best possible bid and the best possible ask. If there are 

multiple prices that are eligible between this best possible bid and the best possible ask, the price will be chosen that sets the net 

change as close to the net change of the contract that precedes it in the settlement order. 
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Assignment Price for CME 

Three-Month SOFR Futures

= CME Three-Month Eurodollar 

Futures Settlement Price

+ ISDA Spread 

Adjustment

(0.26161%)

Given the alignment in the underlying interest rate periods of Three-Month Eurodollar Futures and ThreeMonth SOFR Futures34, CME proposes to determine the “corresponding” CME Three-Month SOFR Futures 

contract month as the contract adjacent to the relevant terminated Eurodollar Futures contract month. For 

example, on the Eurodollar Fallback Effective Date a September 2023 Three-Month Eurodollar Futures 

contract would be terminated and the position holder would be assigned a position in the September 2023

CME Three-Month SOFR Futures contract. 

The CME Three-Month Eurodollar Futures Settlement Price is determined by the Exchange to four (4)

decimal places. As a result, the Assignment Price will also be calculated by the Exchange to four (4) decimal 

places to conform with existing client infrastructure. Therefore, in order to account for the additional 

(0.00001) component of the ISDA Spread Adjustment not reflected in the Assignment Price due to this 

rounding, the Exchange will apply a balancing cash adjustment amount between long and short positions 

in the Replacement Futures Positions (each, a “Cash Residual Amount”).

The Assignment Price determination methodology is intended to replicate industry agreed conventions for 

determination of fallback rates for OTC IRS and therefore to minimize disruption to hedging relationships 

between OTC IRS and Eurodollar Futures positions. It is necessary to incorporate a spread adjustment into 

the methodology for the determination of the Assignment Price to ensure that the Assignment Price 

determination process is aligned with the ISDA IBOR Fallback methodology, which incorporates the Spread 

Adjustment published by Bloomberg on the basis that this is considered necessary to account for the 

differences between USD LIBOR and SOFR, including that USD LIBOR is an unsecured rate whereas 

SOFR constitutes a secured rate. Therefore, the spread adjustment seeks to incorporate bank credit 

premiums and other factors that are not applicable to SOFR as an overnight RFR. CME does not propose 

any material change to the spread adjustment component under Current Rule 45236.C. Proposed Rule 

45236.C. simply confirms the Spread Adjustment rate of 0.26161% (26.161 basis points) 35 which has been 

fixed and published by Bloomberg in accordance with the prescribed industry agreed ISDA methodology. 

The purpose of incorporation of the Spread Adjustment in Current Rule 45236.C. and Proposed Rule 

45236.C. is to align the price at which the Replacement Futures Position is assigned to a Eurodollar Futures 

position holder to reflect the spread between USD LIBOR and SOFR and to ensure alignment of the 

Assignment Price determination process with the ISDA IBOR Fallback procedure for determination of a 

Fallback Rate for OTC IRS.

The Spread Adjustment figure was calculated by Bloomberg based on the median of the historical 

differences between USD LIBOR for each tenor and the compounded SOFR for that tenor over a five-year 

34 In the 10-year period from June 2023 the three-month reference periods for CME Three-Month SOFR Futures and CME ThreeMonth Eurodollar Futures are the same. CME analysis conducted over 40 relevant observations, spanning 10 years (40 

Mar/Jun/Sep/Dec Quarterly months) forward from June 2023 has determined that in most cases (39 out of 40), reference periods (in 

terms of number of days) for corresponding SOFR Futures and Eurodollar Futures contracts are either identical or different by +/- 1 

day. In one instance (March 2029 contract) there is a six day difference in the day count of the three-month reference period implying 

a 0.25bp difference in pricing (based on calculations utilizing data at close of business on 10/12/2020). CME Three-Month Eurodollar 

Futures come to final settlement by reference to Three Month USD LIBOR for start on IMM dates, using Modified Following day-count 

conventions, with tenors ranging from 90-92 days. CME Three-Month SOFR Futures reference periods span from one quarterly IMM 

date to the next, and therefore are generally 13 weeks (91 days) or, in some cases, 12 weeks or 14 weeks. An expiring Three-Month 

Eurodollar Futures contract cash-settles to Three-Month USD LIBOR on the contract expiration date. An expiring Three-Month SOFR 

Futures contract cash-settles in arrears to daily compounded SOFR during its contract reference period, spanning from one 

Mar/Jun/Sep/Dec Quarterly IMM Wednesday to the next. 

35 One basis point is equivalent to 0.01% (1/100 of a percent) or 0.0001 in decimal form. For further details please see

https://www.cmegroup.com/education/courses/introduction-to-eurodollars/the-importance-of-basis-point-value.html.
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lookback period.36 The Spread Adjustment was fixed following the FCA Announcement and has been 

publicly known in advance of the Eurodollar Fallback Effective Date since March 2021, therefore providing 

transparency to market participants holding positions in CME Three-Month Eurodollar Futures and Options 

ahead of the Eurodollar Fallback Effective Date. 

Cash Residual Amount

As noted above, given that the Spread Adjustment is expressed to five (5) decimal places, and CME ThreeMonth Eurodollar Futures Settlement Prices are calculated to four (4) decimal places, in order to conform 

with existing client infrastructure, the residual component of the Spread Adjustment not reflected in the 

relevant Assignment Price for the relevant replacement CME Three-Month SOFR Futures position 

(0.00001) is accounted for by the Cash Residual Amount balancing cash adjustment between the long and 

short position holders of Replacement Futures Positions. The addition of the balancing cash adjustment in 

the form of the Cash Residual Amount represents a minor change to the procedure set out in the Current 

Eurodollar Fallback Provisions and, accordingly the Rule Amendments include an amendment to Current

Rule 45236.C. to incorporate the calculation and payment of the Cash Residual Amount between long and 

short position holders at the first settlement cycle following the conversion. 

The Cash Residual Amount in respect of each Replacement Futures Position shall be equal to:

0.00001 x contract quantity x $2,500 contract unit multiplier37

For example, for a long position of quantity 50, where the Eurodollar Futures Settlement Price on the 

Eurodollar Fallback Effective Date is 99.4500, the Cash Residual Amount for such position would be 

calculated as:

-0.00001 x 50 x $2,500 = $-1.25 

This represents a payment from the relevant long position holder to the corresponding short position holder 

of $1.25. The Cash Residual Amount will be applied and accounted for as a fee on the resulting replacement 

CME Three-Month SOFR Futures position, which amount shall be applied by the Clearing House at the 

first settlement cycle following the Eurodollar Fallback Effective Date, during which cycle settlement 

variation for positions in the Affected Futures Contracts will be determined and outstanding exposures and 

payments netted and settled in accordance with CME Rule 814. (“Settlements, Settlement Variation 

Payment, and Option Value”). Given that the positive Cash Residual Amount in respect of any single 

position is exactly offset by the negative Cash Residual Amount on the other side of the position, the net 

cash flow in respect of the Cash Residual Amount is zero on an overall basis for the Clearing House.

Position Type Long Qty Short Qty Settlement 

Price

Offset/Onset 

Price

Cash Residual 

Amount

SOD position – Eurodollar (ED) 

Futures

50 0 99.4500

36 The purpose of the Spread Adjustment in both USD OTC IRS and Eurodollar Futures and Options Fallbacks is to establish the 

necessary economic equivalency between USD LIBOR and SOFR; the spread adjustment seeks to incorporate bank credit premiums 

and other factors that are not applicable to SOFR as an overnight RFR. Further information on the calculations and rates performed 

by Bloomberg are available on the Bloomberg website at: https://data.bloomberglp.com/professional/sites/10/IBOR-Fallbacks-FactSheet.pdf. 

37 Depending on the direction of the position, the value will be positive or negative, i.e. -0.00001 for a long position and 0.00001 for a 

short position.
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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Offset position – Eurodollar 

(ED) Futures

0 50 99.4500

EOD position – Eurodollar (ED) 

Futures

0 0

SOD position – SOFR (SR3) 

Futures

0 0 99.71

Onset position – SOFR (SR3) 

Futures

50 0 99.7116** -1.25***

EOD position – SOFR (SR3) 

Futures

50 0

** The SOFR Replacement Futures Position onset price (Assignment Price) will be calculated from the 

CME Three-Month Eurodollar Futures Settlement Price. Note that the onset price of the SOFR 

Replacement Futures Position will be rounded to 0.0001. 

*** The Cash Residual Amount will be calculated as -0.00001 x 50 x $2,500 multiplier = $-1.25 (multiply by 

-1 for a short position).

Termination of Trading of CME Three-Month Eurodollar Futures

CME proposes to amend Current Rule 45236.B. such that:

(i) on the Eurodollar Fallback Effective Date Trading in CME Three-Month Eurodollar Futures that 

expire after the Scheduled Final Representative LIBOR Publication Date (Affected Futures 

Contracts), will terminate; and

(ii) trading in CME Three-Month Eurodollar Futures that are not Affected Futures Contracts (i.e. 

that expire before the Scheduled Final Representative LIBOR Publication Date) will continue 

to be available for trading until expiration.

As a result of the termination of trading in relevant CME Three-Month Eurodollar Futures, the relevant 

contract expiries shall no longer be available for trading on the Exchange with immediate effect from the 

Eurodollar Fallback Effective Date. CME will cease to accept bids or offers in respect of such Affected 

Futures Contracts and the relevant contracts will be removed from trading on the Exchange.

Those CME Three-Month Eurodollar Futures that are not Affected Futures Contracts will expire (and trading 

in respect of such contracts will terminate under Rule 45202.G. and Rule 45236.E.) prior to the Scheduled 

Final Representative LIBOR Publication Date. Therefore, it is not necessary to convert such contracts as 

they will continue to reference a representative USD LIBOR rate to the point of expiry / termination of 

trading. Given that the Proposed Eurodollar Fallback Effective Date is a number of months prior to the 

Scheduled Final Representative LIBOR Publication Date, it is anticipated that, following the conversion, 

trading will continue only in the following Eurodollar futures and associated options contract months: April 

2023 (serial), May 2023 (serial) and June 2023.

Rationale for Conversion of Open Interest into Positions in CME Three-Month SOFR Futures

The Current Eurodollar Fallback Provisions were originally designed to address market participant and 

regulatory authority objectives to convert Eurodollar positions to corresponding SOFR Contracts in the 

event of a “fallback event” with respect to USD LIBOR. The Rule Amendments do not affect this goal. Given 
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the general alignment between the contractual periods of interest rate risk between CME Three-Month 

Eurodollar Futures and CME Three-Month SOFR Futures contracts, and guided by the principles of 

maintaining market stability and promoting effective risk management, CME’s approach to convert 

Eurodollar Futures open interest into positions in corresponding SOFR Futures meets the needs of market 

participants, promotes market stability and an orderly transition away from USD LIBOR. Also, CME believes 

that its approach appropriately aligns with the approach to fallbacks that will be followed by ISDA and CME 

Clearing for OTC IRS, whilst noting that the revised timing of the Eurodollar conversion process has been 

informed by market participant feedback, taking into account the relative scheduled timings of both the 

ISDA bilateral fallbacks and the cleared OTC IRS conversions.

The conversion of open interest in CME Three-Month Eurodollar Futures into the corresponding CME 

SOFR Futures ensures that there will be a single pool of liquidity in CME exchange traded futures directly 

referencing SOFR following the conversion process. CME’s conversion of Eurodollar open interest ahead 

of the Scheduled Final Representative LIBOR Publication Date supports the operational implementation 

schedules of the majority of market participants, is in the interests of financial stability and promotes an 

orderly transition from USD LIBOR ahead of the Scheduled Final Representative LIBOR Publication Date.

CME’s proposed approach to the conversion is widely supported by market participants, as detailed further 

below.

CME Three-Month SOFR Futures are highly liquid and widely traded and provide the marketplace with a

leading source of SOFR price discovery. As of the end of November 2022, CME SOFR Futures and Options

average daily volume (“ADV”) was consistently higher than CME Eurodollar Futures and Options. As a 

result, and based on market participant feedback, the significant majority of market participants actively 

trading Eurodollar Futures and Options are well positioned to accept an assigned position in CME SOFR 

Futures and Options under the conversion process. Moreover, the proposed Rule Amendments would be 

expected to come into force a number of months before the Proposed Eurodollar Fallback Effective Date, 

so that any market participants that would not wish to be subject to the amended conversion process 

prescribed by the Rule Amendments would be able to close out any open positions ahead of the Proposed 

Eurodollar Fallback Effective Date.

Operation of USD LIBOR Fallbacks for CME Options on Three-Month Eurodollar Futures

The CME Options on Three-Month Eurodollar Futures contract is a deliverable options contract on 

underlying futures that directly reference Three-Month USD LIBOR. In the event of the Exchange taking 

steps to effect a conversion of Three-Month Eurodollar Futures contracts on a Eurodollar Fallback Effective 

Date resulting in the termination of trading of the underlying CME Three-Month Eurodollar Futures 

contracts, corresponding CME Options on Three-Month Eurodollar Futures must also cease to trade.

Accordingly, the Current Eurodollar Fallback Provisions provide for contractual fallbacks for such option 

open interest at that date. 

The Current Eurodollar Fallback Provisions in Rule 452A04. incorporate robust ex ante contractual fallbacks 

into the relevant contract rules governing the trading and clearing of CME Options on Three-Month 

Eurodollar Futures to ensure market clarity and to promote an orderly transition for open positions in CME 

Options on Three-Month Eurodollar Futures in the event of a fallback event in relation to Three-Month 

Eurodollar Futures. 

However, in light of the proposed Rule Amendments affecting CME Three-Month Eurodollar Futures and

to reflect market participant feedback, the Exchange proposes, as part of the Proposed Rule Amendments, 

to amend Rule 452A04. in order to align it with the proposed changes to the fallback provisions for ThreeMonth Eurodollar Futures. 

In the event of a fallback event in relation to Three-Month USD LIBOR and the termination of trading in 

CME Three-Month Eurodollar Futures, the Current Eurodollar Fallback Provisions require that on the 
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Eurodollar Fallback Effective Date trading in CME Options on Three-Month Eurodollar Futures will terminate 

and open positions in CME Options on Three-Month Eurodollar Futures contracts would be converted into 

positions in the corresponding CME Options on Three-Month SOFR Futures contract. 

CME proposes a non-substantive change to Rule 452A04.A. to align with the proposed changes to Rule

45236. such that, on the relevant Eurodollar Fallback Effective Date where the Exchange implements the 

Fallback Procedure in Rule 45236.C., upon which trading in Three-Month Eurodollar futures contracts 

expiring after the Scheduled Final Representative LIBOR Publication Date (“Affected Futures Contracts”) 

will be terminated in accordance with Proposed Rule 45236.E., the Exchange will also terminate trading in 

any CME Options on Three-Month Eurodollar Futures contracts that reference Affected Futures Contracts 

with immediate effect (“Affected Options Contracts”). 

Any Affected Options Contract that has not been liquidated or exercised prior to the termination of trading 

shall be subject to the conversion procedure in Proposed Rule 452A04.B., which provides that such open 

positions in Affected Options Contracts would be converted into positions in the corresponding CME

Options on Three-Month SOFR Futures contract. The proposed conversion process under Proposed Rule 

452A04.B is substantively the same as that in the Current Eurodollar Fallback Provisions. However, the 

Proposed Rule Amendments include additional provisions specifying the methodology that will be utilized 

by the Exchange to effect the conversion, explained in more detail below.

CME proposes to amend the Current Eurodollar Fallback Provisions by adding Proposed Rule 452A04.C.,

which provides that open positions in CME Options on Three-Month Eurodollar Futures that are not Affected 

Options Contracts shall continue to be eligible for trading from the Eurodollar Fallback Effective Date and 

trading in such contracts may continue until the date of termination of trading in the relevant Affected 

Options Contract under Rule 452A01.J. Termination of Trading. Given that the Proposed Eurodollar 

Fallback Effective Date is a number of months prior to the Scheduled Final Representative LIBOR

Publication Date, it is anticipated that following the conversion, trading will continue only in the following 

Eurodollar futures and associated options contract months: April 2023 (serial), May 2023 (serial) and June 

2023.

Further details of the fallback triggers, mechanism and conversion process are summarized below:

Fallback Events

The Current Eurodollar Fallback Provisions relating to CME Options on Three-Month Eurodollar Futures 

incorporate a contractual fallback for CME Options on Three-Month Eurodollar Futures that will be triggered 

on the occurrence of a “Eurodollar Fallback Effective Date” with respect to CME Three-Month Eurodollar 

Futures (see Current Rule 452A04.A.). This ensures that the contractual trigger for fallbacks for CME ThreeMonth Eurodollar Futures and Options are aligned and that any contractual fallback in respect of CME 

Options on Three-Month Eurodollar Futures is coordinated with a contractual fallback under the 

corresponding CME Three-Month Eurodollar Futures. The Rule Amendments do not make any substantive 

change to this process. 

CME Actions on the Eurodollar Fallback Effective Date for Three Month Eurodollar Futures

As noted above, it is proposed in the Rule Amendments at Proposed Rules 452A04.A. and 452A04.B. that, 

on the Eurodollar Fallback Effective Date in relation to Affected Futures Contracts, the Exchange shall at 

the same time:

• terminate trading in Affected Options Contracts; and 

• convert open positions in Affected Options Contracts into positions in the corresponding CME 

Options on Three-Month SOFR Futures contract (a “Replacement Options Position”), according to 
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a methodology and procedure set out in this submission, which is based on standard options 

valuation models determined by the Exchange. 

The Replacement Options Position shall be assigned to a position holder by the Exchange in standardized 

strikes and like contract months to the relevant terminated position in accordance with the following 

simultaneous two-step conversion procedure:

• Step 1: CME Options on Three-Month Eurodollar Futures inventories would be mapped to a 

corresponding non-standard CME Options on Three-Month SOFR Futures strike calculated by 

adding the Spread Adjustment to the original Eurodollar Option strike price for the terminated

position. 

• Step 2: CME lists CME Three-Month Eurodollar Options and CME Three-Month SOFR Options at 

specific standard strike intervals (6.25, 12.50 or 25bps). These strikes are not listed at intervals

matching the exact 26.161bps Spread Adjustment added in Step 1 so it is not possible for standard 

strike allocations to incorporate the entirety of the Spread Adjustment. As a result, given that the 

resultant strike prices would very likely not align with the standard strike price arrays for CME 

Options on Three-Month SOFR Futures, as a second step in the conversion process, the positions 

assigned in Step 1 would be allocated by the Exchange to the nearest standard strike(s) for CME 

Options on Three-Month SOFR Futures which, given the Spread Adjustment is now fixed as

26.161bps, will be 25bps higher than the original Three-Month Eurodollar Options strike price.

The resulting Replacement Options Position will be fixed at a standard strike for CME Options on ThreeMonth SOFR Futures, and CME will determine the premium adjustment (Premium Differential) using a 

transparent option pricing methodology for end of day settlement for Eurodollar options and SOFR options, 

as set out below, to reflect the difference in value between the original and resulting positions:

CME Methodology for Conversion of Affected Options Contracts

The methodology to be utilized by CME to determine the pricing of the Replacement Options Position is 

summarized as, for a given SOFR Option Strike K:

= 

+ 

Premium Differential

The purpose of the Premium Differential component is to reflect the difference in value between the 

Replacement Options Positions and the original Affected Options Positions. The Premium Differential is an

adjustment between resulting position holders to compensate for this difference in value. 

Premium Differential represents the difference in CME Three-Month Eurodollar Options option premium 

corresponding to CME Three-Month SOFR Options Strike K – 26.161bps and CME Three-Month SOFR 

Options Strike K – 25bps.

Option Premium on any option is equal to the intrinsic value of the option plus the time value, where:

• Intrinsic value = an option’s “in-the-money” amount, if any, i.e. the amount by which the underlying 

futures price exceeds or is below the strike price, and

• Time value = any premium in excess of intrinsic value, given the amount of time left to expiration

CME Options on 

Three-Month SOFR 

Futures price

(Replacement Options 

Position)

CME Options on 

Three-Month 

Eurodollar Futures

price (for SOFR Option 

Strike K - 25 bps)

= + Premium Differential
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Replacement Options Positions and their equivalent corresponding Affected Options Positions options will 

have different option premium values due to differences in intrinsic value and time value. This is because 

Replacement Options Positions will be at strikes that are 25 bps above the original Affected Options 

Positions. As noted above, the difference between the Fallback Spread Adjustment of 26.161bps and this 

25 bps strike price will be accounted for by the Exchange, as set out below following close of business on 

the Eurodollar Fallback Effective Date as part of the settlement cycle resulting from the conversion process.

While mid curve options expiration dates between CME Three-Month Eurodollar Options and CME ThreeMonth SOFR Options are aligned, Quarterly CME Three-Month SOFR Options have expiry dates that are 

not perfectly aligned with the corresponding Quarterly CME Three-Month Eurodollar Option:

• Quarterly CME Three-Month SOFR Options expire at 2.00pm on the Friday before the third 

Wednesday of the month, and 

• the corresponding Quarterly CME Three-Month Eurodollar Option expires at 5.00am on the

Monday before the third Wednesday of the month.

Given the small difference in time to expiry and based on market participant feedback on this issue, CME 

will not account for this technical variation in time value in determining the Premium Differential calculation.

The Premium Differential will be determined as follows:

• a long Call Affected Option Contract position holder will pay the Premium Differential to the 

corresponding short Affected Option Contract position holder if the Option Premium of the 

converted position in CME Options on Three-Month SOFR Futures is higher than that of the 

corresponding Affected Option Contract; and

• a short Put Affected Option Contract position holder will pay the Premium Differential to the 

corresponding long Affected Option Contract position holder if the Option Premium of the converted 

position in CME Options on Three-Month SOFR Futures is lower than that of the corresponding 

Affected Option Contract.

This compensating payment adjustment of the Premium Differential between resulting position holders

represents the difference in value between the Replacement Options Positions and the original Affected 

Options Positions. This approach is designed to avoid creating “winners” or “losers” as a result of the 

conversion process.

Methodology for determination of Options Premium by the Exchange

CME Three-Month SOFR options are expected to be the primary source of market data at the Eurodollar 

Fallback Effective Date. On this basis, CME Three-Month SOFR Options premiums will be used as input

prices in order to determine the premium of Eurodollar options for the purposes of conversion:

• Option premium for the SOFR option would be observed and determined by CME from end of day 

SOFR settlement prices; and

• The equivalent option premium for the Eurodollar option would be calculated by CME using the 

prices of the SOFR option.

Consistent with the daily settlement process, CME will use out of the money (OTM) / at the money (ATM) 

options to derive a single volatility surface which will be used in the pricing adjustments of both OTM/ATM

and in the money (ITM) options.

CME will utilize the following process to determine prices for standard strikes from non-standard strikes:
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• Use settlement price of OTM/ATM SOFR options with strike K as the price for OTM/ATM

Eurodollar options with strike K – 26.161bps for the next steps.

• Imply lognormal volatility under the Whaley options pricing model for the non-standard adjusted 

strikes (OTM/ATM*) of the Eurodollar Option (SOFR Strike K – 26.161bps).

• Determine the implied lognormal volatility of the listed standard strikes for Eurodollar Options 

(SOFR strike K – 25bps) by interpolating the implied lognormal volatility of the non-standard 

strikes from above.

• Price the standard strikes of the Eurodollar Option under the Whaley options pricing 

methodology model using the interpolated volatility from above. Additionally, if SOFR options 

with Strike K have CAB (cabinet transaction) settlement price, then the converted standard 

strike Eurodollar Option will be priced as CAB.

*In the scenario when ATM strikes are listed, ATM implied volatility is calculated as an average of ATM 

implied volatility from Call and Put options.

Clearing of the Replacement Options Position

CME does not propose to make any change to Rule 452A04.C. The Replacement Options Position will be 

a position in the corresponding Options on CME Three-Month SOFR Futures contract. The contract terms 

for CME Options on Three-Month SOFR Futures are set out in the CME Rulebook at Chapter 460A and 

clearing of the Replacement Options Position shall be subject to these Rules, from the Eurodollar Fallback 

Effective Date including for the avoidance of doubt the process for exercise into CME Three-Month SOFR 

Futures contracts.

Termination of Trading of CME Options on Three-Month Eurodollar Futures

As a result of the termination of trading in Affected Futures Contracts from the Eurodollar Fallback Effective

Date, Affected Options shall no longer be available for trading on the Exchange with immediate effect from 

the Eurodollar Fallback Effective Date. As a result, CME will cease to accept bids or offers in respect of 

Affected Options Contracts from close of business on the Eurodollar Fallback Effective Date and the 

contracts will be removed from trading on the Exchange, together with the underlying futures contracts.

Proposed Rule 452A04.D. provides that open positions in CME Options on Three-Month Eurodollar Futures 

that are not Affected Options Contracts shall continue to be eligible for trading from the Eurodollar Fallback 

Effective Date and trading in such contracts may continue until the date of termination of trading in the 

relevant Affected Options Contract under Rule 452A01.J. Termination of Trading. 

Rationale for Conversion of Open Interest into Positions in CME Options on Three-Month SOFR Futures

As a result of the termination of trading in Affected Futures Contracts on the Eurodollar Fallback Effective 

Date, it follows that the contract terms of open positions in Affected Options Contracts must be amended 

as delivery of the underlying future would not be possible from the date of fallback. 

The Proposed Amendments do not represent a significant change from the Current Eurodollar Fallback 

provisions as they relate to CME Options on Three-Month Eurodollar Futures. CME’s proposed conversion 

approach outlined above meets the needs of market participants, promotes market stability and an orderly 

transition away from Eurodollar futures. The minor change to CME’s proposed approach to Eurodollar 

options conversion represented by the Proposed Amendments has been discussed with and is widely 

supported by market participants, as detailed further below.

Based on market participant feedback, the significant majority of market participants actively trading 

Eurodollar Options are well positioned to accept an assigned position in Options on SOFR Futures on a 
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Eurodollar Fallback Effective Date. As noted above, as of the end of November 2022, CME SOFR options 

average daily volume was consistently higher than Eurodollar options. The proposed Rule Amendments 

would be expected to come into force a number of months before the Proposed Eurodollar Fallback 

Effective Date, ensuring that any market participants that would not wish to be subject to the amended 

conversion process prescribed by the Rule Amendments would be able to close out any open positions 

ahead of the Proposed Eurodollar Fallback Effective Date.

Operational Processing of Eurodollar Futures and Options Conversion

CME will provide market participants with detailed operational information on the timelines for processing 

of the conversion in due course ahead of the Proposed Eurodollar Fallback Effective Date. CME Clearing 

will publish a detailed, publicly available Clearing Advisory notifying Clearing Members and market 

participants of the operational processing details of the conversion. 

CME proposes to provide support to market participants in due course prior to the Proposed Eurodollar 

Fallback Effective Date in order to promote operational readiness by all market participants and their 

systems. 

CME is publishing a daily Indicative Cash Flow Report for all CME Eurodollar Futures and Options

contracts. The report will be provided to Clearing Members on a daily basis within the Clearing Member 

sFTP folders in the Clearing System and shall be based on their open house and customer positions. The

daily Indicative Cash Flow Report will reference entered positions and shall utilize the fallback spread 

adjustment and multiplier to compute all relevant cash

flows and prices for the positions covered by the report:

• For futures, this includes the Cash Residual Amount on the Replacement Futures Position/ onset 

position;

• For options, this includes the Eurodollar and SOFR option premium amounts, the SOFR option 

precise strike and the Premium Differential.

The daily Indicative Cash Flow Report function will also be made available on the cmegroup.com interest 

rates web page, as well as through public sFTP folders.

4. Governance, Industry Consultation, Comments/Opposing Views:

There were no substantive opposing views raised by market participants during CME’s extensive 

engagement with industry market participants in relation to the approach represented by the Rule 

Amendments.

As noted in Submission 21-082, CME engaged in extensive public consultation with market participants in 

designing and implementing the Current Eurodollar Fallback Provisions, leveraging the widespread market 

participant and regulatory authority support38 for the ISDA IBOR Fallbacks in respect of fallback trigger 

events and the term and spread adjustment methodologies for covered IBORs.

39 In relation to the Current 

Eurodollar Fallback Provisions, CME carried out specific engagement with leading market participants on 

38 The FSB’s Global Transition Roadmap for LIBOR confirmed that the FSB expects that providers of cleared and exchange traded 

products linked to LIBOR should also ensure that they incorporate fallback provisions equivalent to the ISDA IBOR Fallbacks, as 

appropriate. FSB Global Transition Roadmap for LIBOR, 16 October 2020, see https://www.fsb.org/wp-content/uploads/P161020-

1.pdf.

39 CME Group first outlined our proposed approach to transition for USD LIBOR for Eurodollar futures and options in a webinar in 

November 2019. The Current Eurodollar Fallback Provisions built upon the foundations explained in the November 2019 webinar, 

with certain minor amendments that reflect market participant feedback and market developments during 2020. CME held a further 

webinar to provide an update to market participants on 26 January 2021, including details of the proposed fallback approach to 

Eurodollar futures and options, see https://www.cmegroup.com/education/videos/sofr-based-fallbacks-for-eurodollar-futures-andoptions.html. CME Group also participated in CFTC Market Risk Advisory Committee (“MRAC”) meetings in which IBOR fallback 

matters were discussed, along with industry bodies, market participants and other CCPs, for example, see

https://www.cftc.gov/sites/default/files/2020/06/1592422053/mrac_121119_transcript.pdf
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the proposed mechanics for the conversion process for the Contracts, building on the initial engagement 

following a webinar hosted by CME in November 2019. During the course of 2020, CME discussed

conversion mechanics with market participants, completing a final round of engagement with Eurodollar

Options market participants in December 2020. CME conducted a further webinar for clients on final 

proposals in January 2021 ahead of implementation of the Current Eurodollar Fallback Provisions into the 

CME Rulebook in March 2021.

The Proposed Eurodollar Fallback Effective Date has been chosen to ensure the conversion process is 

effected in good time ahead of the scheduled implementation of the ISDA USD LIBOR fallbacks on the 

Index Cessation Effective Date, in order to be more closely aligned with the timing of the proposed cleared 

OTC IRS transitions40. CME’s methodology for contractual fallbacks proposed in the Rule Amendments for 

the Contracts is designed to be consistent with the industry approach in cleared and uncleared OTC 

derivatives contracts markets and in line with the goals of global regulatory authorities. Notwithstanding the 

fact that the Rule Amendments do not constitute a substantive change to the methodology and procedures 

in the Current Eurodollar Fallback Provisions, CME Group has nonetheless taken steps to ensure the same 

approach to and level of transparency and engagement with market participants should be applied to the 

consultation and publication processes in relation to the proposals represented by the Rule Amendments. 

During 2022, CME Group has undertaken extensive engagement with leading market participants and CME 

Clearing Members regarding proposals to bring forward the effective date of the Eurodollar conversion to 

align more closely with the proposed cleared USD LIBOR OTC IRS conversion timelines of major CCPs, 

and on the related options conversion methodology summarized in this submission.

In addition to direct communication with market participants through the first three quarters of 2022, CME 

Group has also made a number of public communications regarding the proposals represented by the Rule

Amendments. Most recently, on September 6, 2022 CME Group published a Press Release and separate 

public proposal on the CME Group website proposing the April 14, 2023 date for the conversion process.

41

Following a further period of market participant consultation during which CME Group continued 

discussions with interested parties, on October 11, 2022 CME Group confirmed the final Eurodollar Futures 

and Options fallbacks implementation process and the Proposed Eurodollar Fallback Effective Date of April 

14, 2023.

42

In addition to the extensive public outreach and firm-level bilateral engagement with market participants 

summarized above, CME Group also presented the proposals at the September 8, 2022 Meeting of the 

ARRC, at which meeting Exchange staff explained the proposed transition process and the rationale behind 

the proposed revisions to the Current Eurodollar Fallback Provisions and further encouraged ARRC 

members to engage with the proposals.

43

The October 11, 2022 confirmation announcement and publication of the final proposal for the CME 

Eurodollar Futures and Options conversion included a summary of operational processing steps for the 

conversion process, a summary of which has been reproduced in this submission.

44

 As noted above, CME 

proposes to provide further operational testing and additional support to Clearing Members and market 

participants in due course prior to the Proposed Eurodollar Fallback Effective Date in order to promote 

40 As noted above, CME proposes to effect a conversion of USD LIBOR referencing IRS contracts into corresponding cleared contracts 

referencing SOFR, on or around April 21, 2023. See https://www.cmegroup.com/content/dam/cmegroup/trading/interestrates/files/cme-conversion-for-usd-libor-cleared-swaps.pdf. CME will be filing appropriate modifications to the applicable CME 

Clearing rules to implement these changes, amending those set out in Submission 20-517.

41 For further details, please see

https://www.cmegroup.com/media-room/pressreleases/2022/9/06/cme_group_proposesapril142023forfallbacksconversionofeurodollarf.html

42 Public communications are available on the CME website at https://www.cmegroup.com/articles/files/2022/eurodollar-fallbacksimplementation-plan.pdf and https://www.cmegroup.com/articles/2022/eurodollar-fallbacks-implementation-plan.html

43 See https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2022/ARRC_Readout_September_2022.pdf

44 Public communications are available on the CME website at https://www.cmegroup.com/articles/files/2022/eurodollar-fallbacksimplementation-plan.pdf and https://www.cmegroup.com/articles/2022/eurodollar-fallbacks-implementation-plan.html
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operational readiness. Furthermore, CME is publishing a daily Indicative Cash Flow Report for all CME 

Eurodollar Futures and Options contracts within the Clearing Member sFTP folders in the Clearing System 

(and also to be made available through the cmegroup.com interest rates web page) allowing Clearing 

Members to compute indicative relevant cash flows and prices for CME Eurodollar Futures and Options

positions.

Based on the extensive market participant engagement conducted by CME Group, Exchange staff 

understands that CME’s revised approach to implementation of fallbacks in relation to the Contracts is in 

line with the expectations of market participants, industry groups and also global regulatory authorities. 

The Clearing House Risk Committee and the Clearing House Oversight Committee (“CHOC”) reviewed the 

proposals for the conversion process in the November 2022 and December 2022 meetings of the 

committees.

45 No objections to the implementation of the conversion process were raised in the meetings.

5. Analysis of the Rule Amendments under DCM Core Principles

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

Commodity Exchange Act (the “CEA”). During the review, CME identified the following DCM Core Principles 

as potentially being impacted: 

DCM Core Principle 3 – Contracts Not Readily Subject to Manipulation

CME expects that the Contracts will continue to meet the risk management needs of market participants 

and will continue to promote price discovery up to the Proposed Eurodollar Fallback Effective Date. CME 

Three-Month SOFR Futures are expected to continue to provide an actively traded and liquid market to 

support trading by participants subject to any conversion from the Proposed Eurodollar Fallback Effective 

Date. While CME will continue to monitor the market, CME does not have any concerns regarding liquidity, 

manipulation or the ability of CME Clearing to default manage a defaulter’s portfolio containing these 

products.

DCM Core Principle 4 – Prevention of Market Disruption

The Rule Amendments are designed to address the needs of market participants as they prepare for an 

orderly transition away from USD LIBOR. The objective of the amendment to the timing of the conversion 

set out in the Rule Amendments is to promote alignment of the fallback process between OTC cleared and 

exchange traded derivative contract markets. CME considers that these revised contractual fallbacks for 

CME Three-Month Eurodollar Futures and Options will operate to prevent market disruption that could 

otherwise result from the transition away from USD LIBOR. 

DCM Core Principle 7 – Availability of General Information: 

The Rule Amendments will be binding on all position holders and Clearing Members and applicable to new 

positions and open positions in the affected Contracts from the effective date, subject to regulatory 

approval. 

The implementation of the Rule Amendments will take place through changes to the relevant contract 

chapters within the CME Rulebook, which will be made publicly available and will also be distributed to 

Clearing Members and market participants through publication in a market notice / Special Executive Report 

(“SER”), available to recipients of CME advisory notices and also publicly available on the CME Group 

45 CME will effect the Rule Amendments under the authority of CME under Chapter 2 (Government) of the CME Rulebook which 

provides (at Rule 230.(j)) that the CME Board of Directors shall “make and amend the Rules; provided the Board may also delegate 

authority to make and amend the rules as it deems appropriate”. The Rule Amendments have been approved in accordance with 

CME’s Commitment and Signing Authority Policy and were provided to the CHOC for review.
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website. Market participants will be reminded in the advisory notices that position holders that do not wish 

to hold open cleared trades in affected Contracts that would be subject to the conversion processes set out 

in the Rule Amendments must close out any open position in any Affected Contract prior to the Eurodollar 

Fallback Effective Date. CME has taken appropriate steps to provide market participants with sufficient 

information to enable those market participants to identify and evaluate the changes to the CME Rulebook

and the effect of the implementation of the Rule Amendments in respect of affected Contracts. The Rule 

Amendments will be made available on the CME Group website on the effective date of this submission.

The relevant USD LIBOR fallback trigger events applicable to the Contracts are consistent with those 

applicable to CME cleared USD OTC IRS and to bilateral uncleared USD OTC IRS in the ISDA IBOR 

Fallback Supplement. The fallback to CME SOFR Futures and Options ensures a fallback of open positions 

in CME Three-Month Eurodollar Futures to a futures contract referencing the industry determined SOFR 

rate, which is publicly available, with the assignment price being determined according to a publicly 

available methodology, which includes as an input the Spread Adjustment published by Bloomberg 

(calculated by Bloomberg according to the industry agreed ISDA methodology) and made publicly available 

on the Bloomberg website.46

The legal basis for the implementation of the relevant changes to the CME Rulebook is set out in this filing. 

DCM Core Principle 9 – Execution of Transactions:

The proposed Rule Amendments amend the fallback conversion procedure, through which procedure open 

positions in the Contracts will be terminated and replaced with positions in the corresponding CME ThreeMonth SOFR Futures and Options, without trade execution on the Exchange. Subsequently, the termination

or offsetting of these positions and the establishment of new positions (and their offset) in SOFR Futures 

and Options will be carried out in accordance with the terms of the relevant contract Chapters, as amended 

by the Rule Amendments.

Core Principle 9 requires a DCM to provide “a competitive, open and efficient market and mechanism for 

executing transactions that protects the price discovery process of trading in the centralized market of the 

board of trade.” Core Principle 9 also permits a board of trade to authorize, under its rules, certain noncompetitive trades for bona fide business purposes.

The USD LIBOR fallbacks for the Contracts set out in the Rule Amendments are not inconsistent with the 

responsibility of a DCM to provide for meaningful price discovery. The Assignment Price for a Replacement 

Futures Position will be determined based on the most recent settlement price for the relevant CME ThreeMonth Eurodollar Futures contract and the relevant Spread Adjustment, both of which are publicly available. 

The Replacement Position in CME SOFR Futures or Options will be marked-to-market along with other 

open positions in those contracts.

The Rule Amendments implementing the relevant USD LIBOR fallbacks will serve a bona fide business 

purpose, and furthers the important policy objective of implementing robust contractual fallbacks for 

contracts referencing USD LIBOR, as endorsed and promoted by global regulatory authorities as part of 

LIBOR transition planning for market participants. The Rule Amendments will ensure that all existing and 

new positions in the Contracts will incorporate robust contractual fallbacks that will take effect prior to the 

Scheduled Final Representative LIBOR Publication Date. This will ensure that market participants will not 

be required to take further action in respect of open positions in the Contracts as part of their USD LIBOR 

cessation planning and that the timing of such conversion will be closely aligned with the corresponding 

proposed OTC IRS transition in cleared derivatives markets. 

46 See https://assets.bbhub.io/professional/sites/10/IBOR-Fallbacks-LIBOR-Cessation_Announcement_20210305.pdf. Further 

information on the calculations and rates calculated by Bloomberg (in accordance with the industry agreed ISDA methodology) are 

available on the Bloomberg website at: https://data.bloomberglp.com/professional/sites/10/IBOR-Fallbacks-Fact-Sheet.pdf together 

with the Bloomberg IBOR Fallback Rate Adjustments Rulebook available at https://data.bloomberglp.com/professional/sites/10/IBORFallback-Rate-Adjustments-Rule-Book.pdf.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

26

DCM Core Principle 19 – Antitrust Considerations: 

CME previously engaged with regulatory authorities, market participants and industry groups regarding its 

approach for the implementation of fallbacks for the Contracts, set out in the Current Eurodollar Fallback 

Provisions, including as part of wider discussions regarding implementation of ISDA IBOR Fallbacks for 

CME cleared OTC IRS. CME has engaged further with market participants regarding the Rule Amendments 

during 2022. During those discussions, CME did not receive any comments regarding any antitrust/fair 

competition concerns. The absence of such concerns is expected given that it is well-established that the 

transition away from IBORs to alternative reference rates that are supported by a sufficiently liquid market 

was initiated and strongly encouraged by government authorities in the United States, including the 

Financial Stability Oversight Council, and across the globe, including the FSB and the UK FCA. The 

pervasive government role in this initiative, and the transparent process that CME and other stakeholders 

have followed to address international regulators’ concerns and objectives, make clear that the approach 

to implementation of fallbacks for IBORs, including USD LIBOR, is designed to mitigate risks to financial 

stability identified by regulators and not to harm competition.

Given the general alignment between the contractual periods of interest rate risk between CME ThreeMonth Eurodollar Futures and CME Three-Month SOFR futures, and guided by the principles of maintaining 

market stability and promoting effective risk management, CME believes that its approach to conversion of 

Eurodollar Futures and Options open interest will meet the needs of market participants, promote market 

stability and an orderly transition away from USD LIBOR whilst ensuring appropriate alignment with the 

timing of contractual fallback implementation that will be followed by CME Clearing and other major CCPs 

for OTC USD LIBOR IRS.

The Rule Amendments are provided in Exhibit 1 with additions underscored and deletions struck through. 

Pursuant to Section 5c(c) of the CEA and CFTC Regulation 40.5(a), CME certifies that the Rule 

Amendments in the form of Exhibit A comply with the CEA and the regulations thereunder.

CME certifies that this submission has been concurrently posted on CME Group’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 & Chief Regulatory Counsel

Attachment: Exhibit 1 – Amendments to CME Chapters 452 and 452A (blackline format)
27

Exhibit 1

CME Rulebook

(additions underscored, deletions overstruck)

Chapter 452

Three-Month Eurodollar Futures

45200. SCOPE OF CHAPTER

This chapter is limited in application to Three-Month Eurodollar futures (“futures” or “contract”). In 

addition to this chapter, futures shall be subject to the general rules and regulations of the Exchange 

insofar as applicable.

Unless otherwise specified, times referenced herein shall indicate Chicago time.

45201. CONTRACT SPECIFICATIONS

Each contract is valued at $2,500 times the contract-grade IMM Index (Rule 45202.C.).

45202. TRADING SPECIFICATIONS 

45202.A. Trading Schedule

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

be determined by the Exchange.

45202.B. Trading Unit

For a contract for a given delivery month, the unit of trading shall be interest on an unsecured U.S. 

dollar-denominated wholesale bank funding transaction, with term to maturity of three months (“threemonth term”), for spot settlement on the third Wednesday of such delivery month, expressed as an 

interest rate per annum for which (i) such interest rate shall accrue on the basis of the actual number 

of days spanned by such three-month term, divided by a 360-day year, and (ii) each basis point per 

annum of such interest rate shall be worth $25 per futures contract.

45202.C. Price Increments 

Contract prices shall be quoted in terms of the IMM Index (“Index”), 100.0000 minus the interest rate 

per annum corresponding to the three-month unsecured U.S. dollar-denominated wholesale bank 

funding transaction specified in Rule 45202.B. (For example, an interest rate of 2.055 percent per 

annum shall be quoted as an Index value of 97.9450.)

1. The Nearest Expiring Contract Month

The minimum price fluctuation shall be 0.0025 Index points, equal to $6.25 per contract.

2. All Contract Months Excluding the Nearest Expiring Contract Month

The minimum price fluctuation shall be 0.005 Index points, equal to $12.50 per contract.

45202.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.

45202.E. Special Price Fluctuation Limits

At the commencement of each trading day, the contract shall be subject to special price fluctuation 

limits as set forth in Rule 589 and in the Special Price Fluctuation Limits Table in the Interpretations 

& Special Notices Section of Chapter 5.
28

45202.F.[Reserved]

45202.G. Termination of Trading 

Trading in an expiring contract shall terminate at 11:00 a.m. London time on the second London bank 

business day immediately preceding the third Wednesday of the contract’s named month of delivery.

45202.H. [Reserved]

45203. SETTLEMENT PROCEDURES

Delivery shall be by cash settlement.

45203.A. Final Settlement Price 

Subject to Rule 45236, the final settlement price of an expiring contract shall be 100.0000 minus the 

three-month U.S. dollar ICE LIBOR wholesale funding rate (“rate”) for the second London bank 

business day immediately preceding the third Wednesday of the contract’s named month of delivery. 

Such rate shall be as determined, and as first published, by ICE Benchmark Administration Limited. 

The value of such rate, so published, shall be rounded to the nearest 0.0001 percentage points per 

annum. Tie values, i.e., any such values ending in 0.00005, shall be rounded up. (For example, a 

rate of 8.65625 percent would be rounded up to 8.6563 percent, and then subtracted from 100.0000 

to determine a contract final settlement price of 91.3437.)

45203.B. Final Settlement 

Clearing members holding open positions in a contract at the time of 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.

45204.-35. [RESERVED]

45236. REFERENCE RATE FALLBACK EVENT PROCEDURE

45236.A. Fallback Announcement 

With respect to the rate in Rule 45203.A, on March 5, 2021, the U.K. Financial Conduct Authority, 

the regulatory supervisor for the administrator of the rate, made a public statement and publication 

of information to the effect that:

(i) it had determined that immediately following publication on June 30, 2023 (the “Scheduled 

Final Representative LIBOR Publication Date”), such rate will no longer be representative 

of the underlying market and economic reality that such rate is intended to measure and 

that representativeness will not be restored, and

(ii) such public statement and publication of information was made in the awareness that the 

statement or publication will engage certain contractual triggers for fallbacks activated by 

pre-cessation announcements by such supervisor (howsoever described) in contracts,

(the “USD 3M LIBOR Fallback Announcement”).

in the event of any of:

(i) a public statement or publication of information by or on behalf of the administrator of the rate 

announcing that it has ceased or will cease to provide the rate permanently or indefinitely, provided 

that, at the time of the statement or publication, there is no successor administrator that will continue 

to provide the rate;

(ii) a public statement or publication of information by the regulatory supervisor for the administrator 

of the rate, the central bank for the currency of the rate, an insolvency official with jurisdiction over 

the administrator for the rate, a resolution authority with jurisdiction over the administrator for the rate 

or a court or an entity with similar insolvency or resolution authority over the administrator for the 

rate, which states that the administrator of the rate has ceased or will cease to provide the rate 

permanently or indefinitely, provided that, at the time of the statement or publication, there is no 

successor administrator that will continue to provide the rate; or

(iii) a public statement or publication of information by the regulatory supervisor for the administrator 

of the rate announcing that: 
29

(A) the regulatory supervisor has determined that such rate is no longer, or as of a specified 

future date will no longer be, representative of the underlying market and economic reality 

that such rate is intended to measure and that representativeness will not be restored, and

(B) it is being made in the awareness that the statement or publication will engage certain 

contractual triggers for fallbacks activated by pre-cessation announcements by such 

supervisor (howsoever described) in contracts,

(a “USD 3M LIBOR Fallback Announcement”), the Exchange shall utilize the process in Rule 

45236.B.Following the USD 3M LIBOR Fallback Announcement the Exchange shall utilize the 

process in Rule 45236.C. 

45236.B. Eurodollar Fallback Effective Date 

The Exchange shall determine the date on which it will implement the fallback procedure in Rule 

45236.C (the “Eurodollar Fallback Effective Date”) in accordance with this Rule 45236.B.

The Eurodollar Fallback Effective Date shall be April 14, 2023, except:

(i) where the Exchange determines at any time in its sole and absolute discretion that 

implementation of the fallback procedure on such date could result in an unacceptable level 

of operational or market disruption or where financial stability issues could threaten the 

orderly transition of the contract; or

(ii) following a Successor USD 3M LIBOR Fallback Announcement (as defined in Rule 

45236.F),

upon which the Exchange shall determine in its sole and absolute discretion:

(A) an alternative date which shall be the Eurodollar Fallback Effective Date for the 

purposes of this Rule 45236; and

(B) an alternative date which shall be the Scheduled Final Representative LIBOR 

Publication Date for the purposes of this Rule 45236,

having regard to any Successor USD 3M LIBOR Fallback Announcement, as applicable, and the 

Exchange shall provide notification of such amended Eurodollar Fallback Effective Date to market 

participants as soon as reasonably practicable following such determination.

In the event of a USD 3M LIBOR Fallback Announcement, with effect from the date of: 

(i) the first date on which the rate is no longer provided; or

(ii) the first date on which the rate is non-representative by reference to the most recent 

statement or publication referred to in Rule 45236.A(iii) and even if the rate continues to be 

provided on such date,

(the “Eurodollar Fallback Effective Date”), the Exchange shall convert open positions in the contract

on the Eurodollar Fallback Effective Date into corresponding positions in another Exchange contract 

in accordance with the process in Rule 45236.C.

45236.C. Fallback Procedure 

Following close of business oOn the Eurodollar Fallback Effective Date, the Exchange shall convert 

all open positions in the contract that expire after the Scheduled Final Representative LIBOR 

Publication Date (each, a “Conversion Position”) as follows:

(i) each open position in the contract that is a Conversion Position shall be terminated at the 

most recent daily settlement price for the contract on the Eurodollar Fallback Effective Date;

and 

(i)(ii) such position shall be replaced with a corresponding open position in CME Three-Month 

SOFR Futures (Chapter 460) (a “Replacement Position”). 

The Replacement Position shall be assigned to a position holder by the Exchange in accordance 

with the following procedure:

(i) the Replacement Position in CME Three-Month SOFR Futures shall be equal in trading unit 

size and direction to the position in the contract and with the same delivery month; and
30

(ii) the price at which the Replacement Position is assigned to the position holder (the 

“Assignment Price”) shall be determined by the Exchange and shall be equal to:

(A) the most recent daily settlement price for the contract on the Eurodollar 

Fallback Effective Date,

plus

(B) a value adjustment amount which shall be equal to the fixed Spread 

Adjustment for the rate in Rule 45203.A published by Bloomberg Index 

Services Limited (0.26161%),

rounded to four (4) decimal placesand calculated in accordance with industry agreed 

conventions for fallback events for over-the counter swaps referencing the rate in Rule 45203.A.;

(iii) to account for the rounding of the Assignment Price to four (4) decimal places, the Exchange 

shall apply to each Replacement Position a cash adjustment amount which shall be due 

from or payable to the position holder [at the next end of day settlement cycle following 

close of business on the Eurodollar Fallback Effective Date] according to the direction of the 

position and shall be equal to:

0.00001 x the contract quantity x $2,500 contract unit multiplier,

as determined by the Exchange utilizing the methodology published by the Exchange.

45236.D. Clearing of the Replacement Position 

Clearing of the Replacement Position shall be subject to the Rules for CME Three-Month SOFR 

Futures (Chapter 460), including for the avoidance of doubt the determination of daily and final 

settlement prices in respect of each Replacement Position, from the Eurodollar Fallback Effective 

Date.

45236.E. Termination of Trading 

(1) On the Eurodollar Fallback Effective Date, trading in the contract contracts expiring after the Scheduled 

Final Representative LIBOR Publication Date shall be terminated and the such contracts shall no longer 

be available for trading on the Exchange with immediate effect. 

(2) Trading in the contracts expiring before the Scheduled Final Representative LIBOR Publication Date shall 

continue after the Eurodollar Fallback Effective Date until the date of termination of trading of such 

contracts under Rule 45202.G.

45236.F. Successor USD 3M LIBOR Fallback Announcement

With respect to the rate in Rule 45203.A, in the event of any of:

(i) a public statement or publication of information by or on behalf of the administrator of the rate announcing 

that it has ceased or will cease to provide the rate permanently or indefinitely, provided that, at the time of the 

statement or publication, there is no successor administrator that will continue to provide the rate;

(ii) a public statement or publication of information by the regulatory supervisor for the administrator of the 

rate, the central bank for the currency of the rate, an insolvency official with jurisdiction over the administrator 

for the rate, a resolution authority with jurisdiction over the administrator for the rate or a court or an entity with 

similar insolvency or resolution authority over the administrator for the rate, which states that the administrator 

of the rate has ceased or will cease to provide the rate permanently or indefinitely, provided that, at the time 

of the statement or publication, there is no successor administrator that will continue to provide the rate; or

(iii) a public statement or publication of information by the regulatory supervisor for the administrator of the 

rate announcing that: 

(A) the regulatory supervisor has determined that such rate is no longer, or as of a specified future date will 

no longer be, representative of the underlying market and economic reality that such rate is intended to 

measure and that representativeness will not be restored, and

(B) it is being made in the awareness that the statement or publication will engage certain contractual triggers 

for fallbacks activated by pre-cessation announcements by such supervisor (howsoever described) in 

contracts,

issued subsequent to the USD 3M LIBOR Fallback Announcement and prior to the Eurodollar Fallback 

Effective Date (a “Successor USD 3M LIBOR Fallback Announcement”), the Exchange shall utilize the process 

in Rule 45236.B.
31

(End Chapter 452)

INTERPRETATIONS AND SPECIAL NOTICES

RELATING TO CHAPTER 452

The Exchange has entered into an agreement with ICE Benchmark Administration Limited which 

permits the Exchange to use ICE LIBOR as the basis for settling Three–Month Eurodollar futures 

contracts and to refer to ICE LIBOR in connection with creating, marketing, trading, clearing, settling 

and promoting Three–Month Eurodollar futures contracts.

Three–Month Eurodollar futures contracts are not in any way sponsored, endorsed, sold or promoted 

by ICE Benchmark Administration Limited, and ICE Benchmark Administration Limited, has no 

obligation or liability in connection with the trading of any such contracts. ICE LIBOR is compiled and 

calculated solely by ICE Benchmark Administration Limited. However, ICE Benchmark 

Administration Limited, shall not be liable (whether in negligence or otherwise) to any person for any 

error in ICE LIBOR, and ICE Benchmark Administration Limited, shall not be under any obligation to 

advise any person of any error therein.

ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO WARRANTY, EXPRESS OR IMPLIED, 

EITHER AS TO THE RESULTS TO BE OBTAINED FROM THE USE OF ICE LIBOR AND/OR THE 

FIGURE AT WHICH ICE LIBOR STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DAY 

OR OTHERWISE. ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO EXPRESS OR 

IMPLIED WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE 

FOR USE WITH RESPECT TO THREE–MONTH EURODOLLAR FUTURES CONTRACTS.

 
32

Chapter 452A

Options on Three-Month Eurodollar Futures

452A00. SCOPE OF CHAPTER

This chapter is limited in application to options on Three-Month Eurodollar futures (“options”). In 

addition to this chapter, options shall be subject to the general rules and regulations of the Exchange 

insofar as applicable.

Unless otherwise specified, times referenced herein shall refer to and indicate Chicago time.

452A01. OPTION CHARACTERISTICS

452A01.A. Contract Months and Trading Hours

Options shall be listed for expiration on such dates and shall be scheduled for trading during such 

hours as may be determined by the Exchange

452A01.B. Trading Unit 

The trading unit shall be an option to buy in the case of the call, or to sell in the case of the put, one 

Three-Month Eurodollar futures contract (Chapter 452).

452A01.C. Minimum Fluctuations

The price of an option shall be quoted in IMM Index points corresponding to such option’s underlying 

futures contract (Rule 452A01.D). Pursuant to Rules 45202.C., each 0.01 IMM Index point signifies 

one (1) basis point per annum of interest rate exposure in such underlying futures contract’s Trading 

Unit (Rule 45202.B.), and is equal to $25 per option contract. For example, an option contract price 

of 0.35 IMM Index points represents $875 (equal to 35 basis points x $25 per basis point per option 

contract).

Minimum price fluctuations shall be as follows –

1. Quarterly Standard Options (Rule 452A01.D.1.) Expiring in the Nearest March Quarterly 

Month 

Where such options are for the next nearest monthly option expiration date, the minimum price 

fluctuation shall be 0.0025 IMM Index points (equal to $6.25 per option contract). 

Where such options are not for the next nearest monthly option expiration date, then: 

Where any such option trades outright at a premium not greater than 0.05 IMM Index points, 

the minimum price fluctuation shall be 0.0025 IMM Index points (equal to $6.25 per option 

contract). 

Where any such option trades outright at a premium greater than 0.05 IMM Index points, 

the minimum price fluctuation shall be 0.005 IMM Index points (equal to $12.50 per option 

contract). 

2. Quarterly Standard Options (Rule 452A01.D.1.) Expiring in the Second-Nearest March 

Quarterly Month, Serial Options (Rule 452A01.D.2.), and Three-Month Mid-Curve Options 

(Rule 452A01.D.8.) 

Where any such option trades outright at a premium not greater than 0.05 IMM Index points, the 

minimum price fluctuation shall be 0.0025 IMM Index points (equal to $6.25 per option contract). 

Where any such option trades outright at a premium greater than 0.05 IMM Index points, the minimum 

price fluctuation shall be 0.005 IMM Index points (equal to $12.50 per option contract). 

3. All Other Quarterly Standard Options (Rule 452A01.D.1.) and All Other Mid-Curve Options 

(Rules 452A01.D.3. through 452A01.D.7., 452A01.D.9., and 452A01.D.10.) 

For all Quarterly Standard options other than those that expire in the nearest March Quarterly month 

or the second-nearest March Quarterly month, and for all Mid-Curve options other than Three-Month 

Mid-Curve options, the minimum price fluctuation shall be 0.005 IMM Index points (equal to $12.50 

per option contract), provided that trade may occur at a price level of 0.0025 IMM Index point (equal 

to $6.25 per option contract), whether or not such trade results in liquidation of positions for both 

parties to such trade. 
33

4. Option Spreads and Combinations 

All option spreads and combinations shall trade in minimum price increments of 0.005 IMM Index 

points, subject to the following exceptions:

(a) An option spread or combination may trade in minimum price increments of 0.0025 IMM Index 

points if (i) such option spread or combination comprises only Quarterly Standard Options 

Expiring in the Nearest March Quarterly Month (Rule 452A01.C.1.), and (ii) all such options are 

for the nearest monthly option expiration date. 

(b) An option spread or combination may trade in minimum price increments of 0.0025 IMM Index 

points if such option spread or combination (i) trades at a net premium not greater than 0.05 

IMM Index points and not less than -0.05 IMM Index points and (ii) comprises only such options 

as are specified in Rule 452A01.C.1. and/or 452A01.C.2. 

For the avoidance of doubt, any option spread or combination that comprises one or more options 

specified in Rule 452A01.C.3. shall trade in minimum price increments of 0.005 IMM Index points. 

For the purpose of Rule 813 for Settlement Prices, the minimum price fluctuation for all options shall 

be 0.0025 IMM Index point (equal to $6.25 per option contract). 

Where the price of an option is quoted in volatility terms, the minimum fluctuation shall be 0.05 

percent.

452A01.D. Underlying Futures Contracts

1. Options in the March Quarterly Cycle (“Quarterly Standard Options”) 

For options that expire in any month in the March quarterly cycle (i.e., March, June, September, and 

December), except for those Mid-Curve options specified in Paragraphs 3, 4, 5, 6, 7, 8, 9, or 10 of this Rule, 

the underlying futures contract is for the month in which such options expire. For example, for a given year, 

the underlying futures contract for an option that expires in March is the March futures contract. 

2. Options Not in the March Quarterly Cycle (“Serial Options”) 

For options that expire in any month other than those in the March quarterly cycle, (i.e., January, February, 

April, May, July, August, October, and November), except for those Mid-Curve options specified in Paragraphs 

3, 4, 5, 6, 7, 8, 9, or 10 of this Rule, the underlying futures contract is for the next month in the March quarterly 

cycle that is nearest the expiration of such options. For example, for a given year, the underlying futures 

contract for such options that expire in January or February is the March futures contract. 

3. One-Year Mid-Curve Options 

One-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly One-Year Mid-Curve Options”) 

For One-Year Mid-Curve options that expire in any month in the March quarterly cycle, the underlying futures 

contract is the futures contract that expires 12 calendar months after the month in which such options expire. 

One-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial One-Year Mid-Curve Options”) 

For Serial One-Year Mid-Curve Options that expire in any month other than those in the March quarterly cycle, 

the underlying futures contract is the futures contract that expires 12 calendar months from the next March 

quarterly month that is nearest to the expiration of such options. For example, the underlying futures contract 

for the Serial One-Year Mid-Curve options that expire in January or February of a given year is the March 

futures contract that expires one year hence. 

Weekly One-Year Mid-Curve Options 

For Weekly One-Year Mid-Curve Options, the underlying futures contract is the futures contract that expires 

12 calendar months from the next March quarterly month that is nearest to the expiration of such options. 

4. Two-Year Mid-Curve Options 

Two-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly Two-Year Mid-Curve Options”) 

For Two-Year Mid-Curve options that expire in any month in the March quarterly cycle, the underlying futures 

contract is the futures contract that expires 24 calendar months after the month in which such options expire. 

Two-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial Two-Year Mid-Curve Options”)

For Serial Two-Year Mid-Curve Options that expire in any month other than those in the March quarterly cycle, 

the underlying futures contract is the futures contract that expires 24 calendar months from the next March 
34

quarterly month that is nearest to the expiration of such options. For example, the underlying futures contract 

for the Serial Two-Year Mid-Curve options that expire in January or February of a given year is the March 

futures contract that expires two years hence. 

Weekly Two-Year Mid-Curve Options 

For Weekly Two-Year Mid-Curve Options, the underlying futures contract is the futures contract that expires 

24 calendar months from the next March quarterly month that is nearest to the expiration of such options. 

5. Three-Year Mid-Curve Options 

Three-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly Three-Year Mid-Curve Options”) 

For Three-Year Mid-Curve options that expire in any month in the March quarterly cycle, the underlying futures 

contract is the futures contract that expires 36 calendar months after the month in which such options expire. 

Three-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial Three-Year Mid-Curve Options”) 

For Serial Three-Year Mid-Curve Options that expire in any month other than those in the March quarterly 

cycle, the underlying futures contract is the futures contract that expires 36 calendar months from the next 

March quarterly month that is nearest to the expiration of such options. For example, the underlying futures 

contract for the Serial Three-Year Mid-Curve options that expire in January or February of a given year is the 

March futures contract that expires three years hence. 

Weekly Three-Year Mid-Curve Options 

For Weekly Three-Year Mid-Curve Options, the underlying futures contract is the futures contract that expires 

36 calendar months from the next March quarterly month that is nearest to the expiration of such options. 

6. Four-Year Mid-Curve Options 

Four-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly Four-Year Mid-Curve Options”) 

For Four-Year Mid-Curve options that expire in any month in the March quarterly cycle, the underlying futures 

contract is the futures contract that expires 48 calendar months after the month in which such options expire. 

Four-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial Four-Year Mid-Curve Options”) 

For Serial Four-Year Mid-Curve Options that expire in any month other than those in the March quarterly cycle, 

the underlying futures contract is the futures contract that expires 48 calendar months from the next March 

quarterly month that is nearest to the expiration of such options. For example, the underlying futures contract 

for the Serial Four-Year Mid-Curve options that expire in January or February of a given year is the March 

futures contract that expires four years hence. 

Weekly Four-Year Mid-Curve Options 

For Weekly Four-Year Mid-Curve Options, the underlying futures contract is the futures contract that expires 

48 calendar months from the next March quarterly month that is nearest to the expiration of such options. 

7. Five-Year Mid-Curve Options 

Five-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly Five-Year Mid-Curve Options”) 

For Five-Year Mid-Curve options that expire in any month in the March quarterly cycle, the underlying futures 

contract is the futures contract that expires 60 calendar months after the month in which such options expire. 

Five-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial Five-Year Mid-Curve Options”) 

For Serial Five-Year Mid-Curve Options that expire in any month other than those in the March quarterly cycle, 

the underlying futures contract is the futures contract that expires 60 calendar months from the next March 

quarterly month that is nearest to the expiration of such options. For example, the underlying futures contract 

for the Serial Five-Year Mid-Curve options that expire in January or February of a given year is the March 

futures contract that expires five years hence. 

Weekly Five-Year Mid-Curve Options 

For Weekly Five-Year Mid-Curve Options, the underlying futures contract is the futures contract that expires 

60 calendar months from the next March quarterly month that is nearest to the expiration of such options. 

8. Three-Month Mid-Curve Options 

Three-Month Mid-Curve Options in the March Quarterly Cycle (“Quarterly Three-Month Mid-Curve Options”) 
35

For Three-Month Mid-Curve options that expire in any month in the March quarterly cycle, the underlying 

futures contract is the futures contract that expires 3 calendar months after the month in which such options 

expire. 

Three-Month Mid-Curve Options Not in the March Quarterly Cycle (“Serial Three-Month Mid-Curve Options”) 

For Serial Three-Month Mid-Curve Options that expire in any month other than those in the March quarterly 

cycle, the underlying futures contract is the futures contract that expires 3 calendar months from the next 

March quarterly month that is nearest to the expiration of such options. For example, for a given year, the 

underlying futures contract for the Serial Three-Month Mid-Curve options that expire in January or February 

is the June futures contract. 

9. Six-Month Mid-Curve Options 

Six-Month Mid-Curve Options in the March Quarterly Cycle (“Quarterly Six-Month Mid-Curve Options”) 

For Six-Month Mid-Curve options that expire in any month in the March quarterly cycle, the underlying futures 

contract is the futures contract that expires 6 calendar months after the month in which such options expire. 

Six-Month Mid-Curve Options Not in the March Quarterly Cycle (“Serial Six-Month Mid-Curve Options”) 

For Serial Six-Month Mid-Curve Options that expire in any month other than those in the March quarterly cycle, 

the underlying futures contract is the futures contract that expires 6 calendar months from the next March 

quarterly month that is nearest to the expiration of such options. For example, for a given year, the underlying 

futures contract for the Serial Six-Month Mid-Curve options that expire in January or February is the 

September futures contract. 

10. Nine-Month Mid-Curve Options 

Nine-Month Mid-Curve Options in the March Quarterly Cycle (“Quarterly Nine-Month Mid-Curve Options”) 

For Nine-Month Mid-Curve options that expire in any month in the March quarterly cycle, the underlying futures 

contract is the futures contract that expires 9 calendar months after the month in which such options expire. 

Nine-Month Mid-Curve Options Not in the March Quarterly Cycle (“Serial Nine-Month Mid-Curve Options”) 

For Serial Nine-Month Mid-Curve Options that expire in any month other than those in the March quarterly 

cycle, the underlying futures contract is the futures contract that expires 9 calendar months from the next 

March quarterly month that is nearest to the expiration of such options. For example, for a given year, the 

underlying futures contract for the Serial Nine-Month Mid-Curve options that expire in January or February is 

the December futures contract.

452A01.E. Exercise Prices

1. Twenty-Five Point Exercise Prices 

For options for a given expiration date that are exercisable into a given underlying futures contract, 

exercise prices shall be stated in terms of the IMM Index for such underlying futures contract and 

shall be stated in intervals whose last two digits are 00, 25, 50, or 75 ("twenty-five point exercise 

prices") for all IMM Index levels, e.g., 88.00, 88.25, 88.50, 88.75. 

The Exchange shall list put and call options for trading at the exercise price that is nearest the 

previous day's settlement price of such underlying futures contract (“at-the-money exercise price”) 

and at all eligible exercise prices in a range from 5.50 IMM Index points above to 5.50 IMM Index 

points below such at-the-money exercise price. Thereafter until termination of trading in such options, 

the Exchange shall ensure that put and call options are listed for trading on each day at all eligible 

exercise prices in a range from 5.50 IMM Index points above to 5.50 IMM Index points below the atthe-money exercise price for such underlying futures contract. New options may be listed for trading 

up to and including the termination of trading.

2. Special Listings of 12.5 Point Exercise Prices 

For options for a given expiration date that are exercisable into a given underlying futures contract, 

with the exception of certain option expiries with 6.25 Point Exercise Prices (Rule 452A01.E.3.), 

additional exercise prices shall be stated in intervals whose last three digits are 12.5, 37.5, 62.5, or 

87.5 ("12.5 point exercise prices") for all IMM Index levels, e.g., 93.125, 93.375, 93.625, 93.875. 

The Exchange shall ensure that put and call options are listed for trading on each day at all such 

12.5 point exercise prices in a range from 1.50 IMM Index points above to 1.50 IMM Index points 

below the at-the-money exercise price for such underlying futures contract. 
36

3. Special Listings of 6.25 Point Exercise Prices 

From time to time as determined by the Exchange, additional exercise prices for selected expiries 

will be made available in intervals whose last four digits are 06.25, 12.50, 18.75, 31.25, 37.50, 43.75, 

56.25, 62.50, 68.75, 81.25, 87.50, or 93.75 ("6.25 point exercise prices") for all IMM Index levels, 

e.g., 93.0625, 93.1250, 93.1875, 93.3125, 93.3750, 93.4375, 93.5625, 93.6250, 93.6875, 93.8125, 

93.8750, 93.9375. 

Until termination of trading in such options, the Exchange shall ensure that put and call options are 

listed for trading on each day at all such 6.25 point exercise prices in a range from 1.50 IMM Index 

points above to 1.50 IMM Index points below the at-the-money exercise price for such underlying 

futures contract. 

4. Dynamically-Listed Exercise Prices 

Upon demand and at the discretion of the Exchange, a new option contract with an out-of-currentrange exercise price may be added, on an as-soon-as-possible basis, provided that the last two digits 

of the exercise price of such newly added option contract must be 00, 25, 50, or 75 (e.g., 88.00, 

88.25, 88.50, 88.75). 

The Exchange may modify the provisions governing the establishment of exercise prices as it deems 

appropriate.

452A01.F. 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. 

452A01.G. Special Price Fluctuation Limits

At the commencement of each trading day, the contract shall be subject to special price fluctuation 

limits as set forth in Rule 589 and in the Special Price Fluctuation Limits Table in the Interpretations 

& Special Notices Section of Chapter 5.

452A01.H-I. [Reserved]

452A01.J. Termination of Trading 

1. Quarterly Standard Options 

Trading in any Quarterly Standard Option shall terminate at the same date and time as the underlying 

futures contract for such Quarterly Standard Option. 

2. Serial Options 

Trading in any Serial Option shall terminate at the close of trading on the Friday preceding the third 

Wednesday of the month in which such option expires. If such Friday is a scheduled Exchange 

holiday, then trading shall terminate on the immediately preceding Business Day. In the event that 

the underlying futures market for such Serial Option does not open on the day scheduled for 

termination of trading in such option, then trading in such option shall be extended to the next day on 

which the underlying futures market is open for trading. 

3. Mid-Curve Options 

Trading in any Quarterly Mid-Curve Option or any Serial Mid-Curve option shall terminate at the close 

of trading on the Friday preceding the third Wednesday of the calendar month in which such option 

expires. If such Friday is a scheduled Exchange holiday, then trading shall terminate on the 

immediately preceding Business Day. In the event that the underlying futures market for such MidCurve option does not open on the day scheduled for termination of trading in such option, then 

trading in such option shall be extended to the next day on which the underlying futures market is 

open for trading. 

Trading in Weekly Mid-Curve options shall terminate at the close of trading on those Fridays that are 

not also scheduled for termination of trading in Quarterly Mid-Curve Options or Serial Mid-Curve 
37

Options. If such Friday is a scheduled Exchange holiday, then trading in Weekly Mid-Curve options 

shall terminate on the immediately preceding Business Day. In the event that the underlying futures 

market for any such Weekly Mid-Curve option does not open on the day scheduled for termination 

of trading in such option, then trading in such option shall be extended to the next day on which the 

underlying futures market is open for trading. 

452A01.K. [Reserved]

452A02. EXERCISE AND ASSIGNMENT

In addition to the applicable procedures and requirements of Chapter 7, the following shall apply to 

the exercise of Eurodollar options.

452A02.A. Exercise of Option by Buyer

An option may be exercised by the buyer on any Business Day that the option is traded. To exercise 

an option, the clearing member representing the buyer shall present an exercise notice to the 

Clearing House by 5:30 p.m. on the day of exercise.

An option that is in-the-money and has not been liquidated or exercised prior to the termination of 

trading in such option shall be exercised automatically, in the absence of contrary instructions 

delivered to the Clearing House no later than 5:30 p.m. on the last day of trading by the clearing 

member representing the option buyer. An option is in the money if the settlement price of the 

underlying futures contract at the termination of trading lies above the exercise price in the case of a 

call, or lies below the exercise price in the case of a put.

Corrections to option exercises may be accepted by the Clearing House after the 5:30 p.m. deadline 

and up to the beginning of final option expiration processing, provided that such corrections are 

necessary due to; (1) a bona fide clerical error, (2) an unreconciled Exchange option transaction(s), 

or (3) an extraordinary circumstance where the clearing firm and customer are unable to 

communicate final option exercise instructions prior to the deadline. The decision whether a 

correction is acceptable will be made by the President of the Clearing House, or the President's 

designee, and such decision will be final.

452A02.B. Assignment

Exercise notices accepted by the Clearing House shall be assigned through a process of random 

selection to clearing members with open short positions in the same series. A clearing member to 

which an exercise notice is assigned shall be notified thereof as soon as practicable after such notice 

is assigned by the Clearing House, but not later than 45 minutes before the opening of Regular 

Trading Hours in the underlying futures contract on the following Business Day.

The clearing member assigned an exercise notice shall be assigned a short position in the underlying 

futures contract if a call is exercised or a long position if a put is exercised. The clearing member 

representing the option buyer shall be assigned a long position in the underlying futures contract if a 

call is exercised and a short position if a put is exercised.

All such futures positions shall be assigned at a price equal to the exercise price of the option and

shall be marked to market in accordance with Rule 814 on the Trading Day of acceptance by the 

Clearing House of the exercise notice.

452A03. [RESERVED]

452A04. FALLBACK EVENT WITH RESPECT TO THREE-MONTH EURODOLLAR FUTURES

452A04.A Fallback Event with Respect to Three-Month Eurodollar Futures

In the event of a fallback event with respect to Three-Month Eurodollar futures contracts where the 

Exchange implements the Fallback Procedure in Rule 45236.C, on the Eurodollar Fallback Effective 

Date (as defined in Rule 45236.B) trading in Three-Month Eurodollar futures contracts expiring after 

the Scheduled Final Representative LIBOR Publication Date (as defined in Rule 45236.) 

(“Conversion Futures”) will terminate in accordance with Rule 45236.E and trading in the option 

contracts referencing such Conversion Futures shall accordingly also terminate with immediate effect

notwithstanding any other provision of this Chapter 452A. Any option contract referencing such 

Conversion Futures that has not been liquidated or exercised prior to the termination of trading shall 

be subject to the rules in Rule 452A04.B from the Eurodollar Fallback Effective Date.

452A04.B Fallback Procedure
38

On the Eurodollar Fallback Effective Date, the Exchange shall convert open positions in the option 

referencing such Conversion Futures into corresponding open positions in CME Options on ThreeMonth SOFR Futures (Chapter 460A) (a “Replacement Position”) in accordance with the following 

procedure:

(i) the open position in the option shall be terminated by the Exchange;

(ii) the Exchange shall assign to the position holder a Replacement Position in standardized 

strikes and like contract months in CME Options on Three-Month SOFR Futures according 

to a methodology which will employ, among other things, standard options valuation models, 

and this methodology shall be determined by the Exchange in its absolute discretion and 

shall be published by the Exchange; and

(ii)(iii) the Exchange shall apply a Premium Differential to each Replacement Position (as defined 

in Rule 45236.) to reflect the difference in option premium between the corresponding 

terminated position and the Replacement Position, which shall be determined by the 

Exchange in its absolute discretion utilizing the methodology in the preceding paragraph, 

and such Premium Differential shall be due to or payable by the position holder (as 

applicable) at the next end of day settlement cycle following close of business on the 

Eurodollar Fallback Effective Date.

452A04.C Clearing of the Replacement Position

Clearing of the Replacement Position shall be subject to the Rules for CME Options on Three-Month 

SOFR Futures (Chapter 460A) from the Eurodollar Fallback Effective Date.

452A04.D Termination of Trading

Trading in the options contracts referencing Three-Month Eurodollar Futures that are not Conversion 

Futures shall continue after the Eurodollar Fallback Effective Date until the date of termination of 

trading of such contracts under 452A01.J. Termination of Trading.

(End Chapter 452A)