NOTICE OF EMERGENCY ACTION

FILE NO.:                                      

CME 23-0009

SUBJECT:                                   

Modification to BRL-CDI IRS Holiday Calendar and Fixed Rate

APPLICABLE CME RULE:                                  

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

The CHRC is authorized to determine whether an emergency exists and whether emergency action is warranted. The following events and/or conditions may constitute emergencies:

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b.     Any action taken by the United States or any foreign government or any state or local government body, any other contract market, board of trade, or any other exchange or trade association (foreign or domestic), which may have a direct impact on trading on the Exchange;

In the event that the CHRC determines, in the good faith exercise of its sole discretion, that an emergency exists, it may take any of the following emergency actions or any other action that may be appropriate to respond to the emergency:

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

EMERGENCY ACTION:            

On December 28, 2023, Chicago Mercantile Exchange Inc.’s (“CME”) Clearing House Risk Committee (“Committee”) took emergency action to modify the holiday calendar for Brazilian Real-CDI interest rate swaps (“BRL-CDI IRS”) and the fixed rate of those swaps to account for the introduction of a new holiday. On December 22, 2023, the President of Brazil signed into law a bill creating an annual holiday on November 20. On December 26, 2023, the calendars used by market participants and the onshore exchange were updated to reflect the new holiday. Because BRL-CDI IRS cash flows are calculated with respect to actual business days rather than calendar days, this adoption of a holiday impacted the terms and conditions of cleared swaps. In the good faith exercise of its sole discretion, the Committee determined that an emergency exists, and that emergency action is warranted.

Pursuant to Rule 403.C.2.f., effective December 28, 2023, the Clearing House is authorized to 1) adopt the modified holiday calendar for BRL-CDI IRS; 2) adjust the fixed rate of the BRL-CDI IRS to account for the newly introduced holiday; and 3) make any necessary adjustments to the Present Value Notional Amount of the BRL-CDI IRS to keep the future-value of the swaps unchanged.

EFFECTIVE DATE:                                           

December 28, 2023

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