• Amendments to Delivery Rules for CBOT 2-Year, 5-Year, 10-Year, and 30-Year US Dollar Interest Rate Swap Futures for Physical Delivery

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-6802
      • Notice Date
      • 26 August 2013
      • Effective Date
      • 08 September 2013
    • The Board of Trade of the City of Chicago, Inc. (“CBOT” or “Exchange”) shall amend contract terms and conditions for 2-Year US Dollar Interest Rate Swap futures, 5-Year US Dollar Interest Rate Swap futures, 10-Year US Dollar Interest Rate Swap futures, and 30-Year US Dollar Interest Rate Swap futures (collectively, “USD IRS futures”). Such amendments are scheduled to take effect Sunday, 8 September 2013, for first trade date of Monday, 9 September 2013, pending completion of regulatory certification, and are intended:
       
      (1) to permit operational flexibility in the discharge of rules pertaining to physical deliveries on expiring contracts, so as to facilitate Exchange Clearing Members’ compliance with such rules; and
       
      (2) to clarify contract terms regarding exchanges of information pertinent to potential or pending deliveries on expiring contracts, where such information is required under the rules to be shared among Exchange Clearing Members, CME IRS Clearing Members, and CME Clearing.
       
      Inasmuch as they convey no value from one side of contract open interest to the other, and therefore exert no systematic impact on prices of open futures contracts, these rule amendments shall take effect with immediate application to USD IRS futures for delivery in September 2013 and to contracts for delivery thereafter.
       
      Appendices 1 through 4 exhibit these rule amendments, as follows:
       
      Pg 2     Appendix 1       2-Year USD IRS Futures (CBOT Rulebook Chapter 51)               
      Pg 5     Appendix 2       5-Year USD IRS Futures (CBOT Rulebook Chapter 52)
      Pg 8     Appendix 3       10-Year USD IRS Futures (CBOT Rulebook Chapter 53)              
      Pg 11   Appendix 4       30-Year USD IRS Futures (CBOT Rulebook Chapter 54)              
       
      Questions in regard to this matter may be referred to:
       
      Steven Dayon, Products & Services                   steven.dayon@cmegroup.com             312 466 4447
      Jonathan Kronstein, Products & Services           jonathan.kronstein@cmegroup.com       312 930 3472
      Frederick Sturm , Research & Development        frederick.sturm@cmegroup.com                        312 930 1282
      Anthony Zangrilli, Clearing                                 anthony.zangrilli@cmegroup.com           312 930 3356                
      Media enquiries concerning this Special Executive Report should be directed to:
       
      CME Group Corporate Communications             news@cmegroup.com                           312 930 3434


       
      Appendix 1
      Amendments to CBOT Rulebook Chapter 51, Rules 51104. –
      2-Year US Dollar Interest Rate Swap Futures
       
      (Additions are red underlined. Deletions are struck through.)
       
       
       
      51104. DELIVERIES ON EXPIRING FUTURES CONTRACTS
       
      51104.A. Requirements for Participation in Delivery
      For an account carried by a clearing member to make or accept delivery on an expiring futures contract, the holder of such account is required to be:
       
                      1. an Eligible Contract Participant, as that term is defined in Section 1a(18) of the Commodity
      Exchange Act (7 USC §1a(18) and 17 CFR 1.3(m)), and
       
                      2. either an IRS Clearing Member (CME Rule 90005.A.) or an IRS Participant registered with
                      CME by an IRS Clearing Member (CME Rule 8F009. and CME Rule 90005.B.).
       
      Subject to these requirements and to CBOT Rules 51104.B. and 51104.C., upon Termination of Trading in such expiring futures (CBOT Rule 51102.F.), the holder of each such account that holds a long interest in such futures contract shall be required to accept delivery from the Clearing House of IRS Contracts that meet Contract Grade (CBOT Rule 51101.A.), and the holder of each such account that holds a short interest in such futures contract shall be required to make delivery to the Clearing House of IRS Contracts that meet Contract Grade.
       
      51104.B. IRS Product Account Registration
      Any IRS Contract delivered or accepted for delivery in fulfillment of an expiring futures contract must be identified with an IRS Product account number that identifies the holder of such IRS Product account, and that specifies whether such IRS Product account is either (1) a proprietary account of an IRS Clearing Member or (2) held by a customer registered with CME by an IRS Clearing Member as an IRS Participant (CME Rule 8F009. and CME Rule 90005.B.).
       
      51104.C. Clearing Member Obligations in Delivery
      Subject to the provisions of CBOT Rulebook Chapters 7, 8, and 9, as of the termination during the last five 5 days of trading in an expiring futures contract (CBOT Rule 51102.F.), each clearing member that carries accounts holding long or short interest in such expiring futures contract shall:
       
                      1. ensure that the requirements set forth in CBOT Rule 51104.A. are met at all times.
       
                      2. in accord with the requirements set forth in CBOT Rule 51104.B., ensure that the holder of
                      each such account hasshall designated (a) the IRS Product account(s) in which the holder shall
                      make or accept any deliveries on expiring futures contracts and (b) the IRS Clearing Member(s)
                      carrying such IRS Product account(s).
       
                      3. ensure that anytimely notify IRS Clearing Member(s) carrying such IRS Product account(s) as
                      may be designated pursuant to CBOT Rule 51104.C.2. has been notified of such designation.
       
                      4. obtain acknowledgement from each IRS Clearing Member designated pursuant to CBOT Rule
                      51104.C.2. that such IRS Clearing Member shall guarantee and assume complete responsibility
                      for the performance of all delivery requirements in respect of such expiring futures (CBOT Rule
                      51104.E.).
       
      Where a clearing member carries accounts holding interest both long and short in such expiring futures contract, the clearing member must fulfill these Rules 51104.C. so as to procure that delivery shall be made by all such accounts holding short interest and shall be accepted by all such accounts holding long interest.
       
      51104.D. Clearing Member Reporting Obligations Prior to Delivery
      Each clearing member that carries accounts holding long or short interest in an expiring futures contract shall report to the Clearing House, on each of the last 5 days of trading in such expiring futures, an accurate inventory of such long and short interest, in such manner and at such times as the Clearing House may prescribe, provided that such inventory must include, for each account holding long or short interest:
       
                  1. declaration of the number of expiring futures contracts held long, and the number of
                  expiring futures contracts held short, in such account;
       
      2. confirmation whether such account meets, or does not meet, the requirements set forth in CBOT Rule 51104.A.;
       
                  3. where such account meets the requirements set forth in CBOT Rule 51104.A., (a) the IRS
      Product account number, and the IRS Product account origin (house or customer), and the IRS Clearing Member carrying such IRS Product account, as designated pursuant to CBOT Rule 51104.C.2., and (b) confirmation that such IRS Clearing Member has been notified as required by CBOT Rule 51104.C.3., and has made such acknowledgements as are required by CBOT Rule 51104.C.4.
       
                      5. report to the Clearing House, on each of the last 5 days of trading in such expiring futures, an
                      accurate inventory of such long and short interest, in such manner and at such times as the
                      Clearing House may prescribe, provided that such inventory must include, for each account
                      holding long or short interest:
       
                      (a) declaration of the number of expiring futures contracts held long, or the number of
                      expiring futures contracts held short, in such account;
       
                      (b) confirmation that such account meets the requirements set forth in CBOT Rule
                      51104.A.;
       
                      (c) the IRS Product account number and IRS Product account origin (house or customer),
                      as designated pursuant to CBOT Rule 51104.C.2.;
       
                      (d) the IRS Clearing Member carrying such IRS Product account, as designated pursuant
                      to CBOT Rule 51104.C.2.;
                       
                      (e) confirmation that such IRS Clearing Member, as designated pursuant to CBOT Rule
                      51104.C.2., has been notified as required by CBOT Rule 51104.C.3., and has made such
                      acknowledgements as are required by CBOT Rule 51104.C.4.
       
      Where a clearing member carries accounts holding interest both long and short in such expiring futures contract, the clearing member must fulfill these Rules 51104.C. so as to procure that delivery shall be made by all such accounts holding short interest and shall be accepted by all such accounts holding long interest.
       
      51104.ED. Notification of IRS Clearing Members in Delivery
      Following the termination of trading in an expiring futures contract (CBOT Rule 51102.F.), the Clearing House shall notify each IRS Clearing Member carrying one or more IRS Product accounts that are required to make or accept delivery in fulfillment of such expiring futures, as designated pursuant to CBOT Rules 51104.C. For each such IRS Clearing Member, such Clearing House notification shall include:
       
                      1. identification of IRS Product accounts, carried by such IRS Clearing Member, that are required
                      to accept delivery on long futures positions; the size of each such long futures position; and the
                      identity of the clearing member firm(s) carrying the account(s) in which each such long futures
                      position is held; and /or
       
                      2. identification of IRS Product accounts, carried by such IRS Clearing Member, that are required
                      to make delivery on short futures positions; the size of each such short futures position; and the
                      identity of the clearing member firm(s) carrying the account(s) in which each such short futures
                      position is held.
       
      51104.FE. IRS Clearing Member Obligations in Delivery
      In the event that an IRS Clearing Member disputes such notification of delivery on expiring futures as it may receive from the Clearing House, pursuant to CBOT Rule 51104.ED., such IRS Clearing Member shall promptly notify the Clearing House, and the dispute must be settled no later than 12:30 p.m. Chicago time on the Acceptance Date and Clearing Effective Date for delivery in fulfillment of such expiring futures (CBOT Rule 51103.B.).
       
      As of 12:30 p.m. Chicago time on the Acceptance Date and Clearing Effective Date for delivery in fulfillment of an expiring futures, an IRS Clearing Member who carries an IRS Product account that is required to make or accept delivery on such expiring futures contract (CBOT Rules 51104.A, 51104.B., 51104.C., and 51104.D. and 51104.E.) shall guarantee and assume complete responsibility for the performance of all delivery requirements set forth in the Rules.
       
      51104.GF. Clearing House Financial Safeguards
      A futures contract made under these Rules shall be a Base Guaranty Fund Product subject to the Clearing House financial safeguards provided by the General Guarantee Fund (CME Rule 802.A.).
       
      An IRS Contract that is delivered or accepted for delivery in fulfillment of a futures contract made under these Rules shall be an IRS Product subject to the Clearing House financial safeguards provided by the IRS Guaranty Fund (CME Rule 8G07.).
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
      Appendix 2
      Amendments to CBOT Rulebook Chapter 52, Rules 52104. –
      5-Year US Dollar Interest Rate Swap Futures
       
      (Additions are red underlined. Deletions are struck through.)
       
       
       
      52104. DELIVERIES ON EXPIRING FUTURES CONTRACTS
       
      52104.A. Requirements for Participation in Delivery
      For an account carried by a clearing member to make or accept delivery on an expiring futures contract, the holder of such account is required to be:
       
                      1. an Eligible Contract Participant, as that term is defined in Section 1a(18) of the Commodity
      Exchange Act (7 USC §1a(18) and 17 CFR 1.3(m)), and
       
                      2. either an IRS Clearing Member (CME Rule 90005.A.) or an IRS Participant registered with
                      CME by an IRS Clearing Member (CME Rule 8F009. and CME Rule 90005.B.).
       
      Subject to these requirements and to CBOT Rules 52104.B. and 52104.C., upon Termination of Trading in such expiring futures (CBOT Rule 52102.F.), the holder of each such account that holds a long interest in such futures contract shall be required to accept delivery from the Clearing House of IRS Contracts that meet Contract Grade (CBOT Rule 52101.A.), and the holder of each such account that holds a short interest in such futures contract shall be required to make delivery to the Clearing House of IRS Contracts that meet Contract Grade.
       
      52104.B. IRS Product Account Registration
      Any IRS Contract delivered or accepted for delivery in fulfillment of an expiring futures contract must be identified with an IRS Product account number that identifies the holder of such IRS Product account, and that specifies whether such IRS Product account is either (1) a proprietary account of an IRS Clearing Member or (2) held by a customer registered with CME by an IRS Clearing Member as an IRS Participant (CME Rule 8F009. and CME Rule 90005.B.).
       
      52104.C. Clearing Member Obligations in Delivery
      Subject to the provisions of CBOT Rulebook Chapters 7, 8, and 9, as of the termination during the last five 5 days of trading in an expiring futures contract (CBOT Rule 52102.F.), each clearing member that carries accounts holding long or short interest in such expiring futures contract shall:
       
                      1. ensure that the requirements set forth in CBOT Rule 52104.A. are met at all times.
       
                      2. in accord with the requirements set forth in CBOT Rule 52104.B., ensure that the holder of
                      each such account hasshall designated (a) the IRS Product account(s) in which the holder shall
                      make or accept any deliveries on expiring futures contracts and (b) the IRS Clearing Member(s)
                      carrying such IRS Product account(s).
       
                      3. ensure that anytimely notify IRS Clearing Member(s) carrying such IRS Product account(s) as
                      may be designated pursuant to CBOT Rule 52104.C.2. has been notified of such designation.
       
                      4. obtain acknowledgement from each IRS Clearing Member designated pursuant to CBOT Rule
                      52104.C.2. that such IRS Clearing Member shall guarantee and assume complete responsibility
                      for the performance of all delivery requirements in respect of such expiring futures (CBOT Rule
                      52104.E.).
       
      Where a clearing member carries accounts holding interest both long and short in such expiring futures contract, the clearing member must fulfill these Rules 52104.C. so as to procure that delivery shall be made by all such accounts holding short interest and shall be accepted by all such accounts holding long interest.
       
      52104.D. Clearing Member Reporting Obligations Prior to Delivery
      Each clearing member that carries accounts holding long or short interest in an expiring futures contract shall report to the Clearing House, on each of the last 5 days of trading in such expiring futures, an accurate inventory of such long and short interest, in such manner and at such times as the Clearing House may prescribe, provided that such inventory must include, for each account holding long or short interest:
       
                  1. declaration of the number of expiring futures contracts held long, and the number of
                  expiring futures contracts held short, in such account;
       
      2. confirmation whether such account meets, or does not meet, the requirements set forth in CBOT Rule 52104.A.;
       
                  3. where such account meets the requirements set forth in CBOT Rule 52104.A., (a) the IRS
      Product account number, and the IRS Product account origin (house or customer), and the IRS Clearing Member carrying such IRS Product account, as designated pursuant to CBOT Rule 52104.C.2., and (b) confirmation that such IRS Clearing Member has been notified as required by CBOT Rule 52104.C.3., and has made such acknowledgements as are required by CBOT Rule 52104.C.4.
       
                      5. report to the Clearing House, on each of the last 5 days of trading in such expiring futures, an
                      accurate inventory of such long and short interest, in such manner and at such times as the
                      Clearing House may prescribe, provided that such inventory must include, for each account
                      holding long or short interest:
       
                      (a) declaration of the number of expiring futures contracts held long, or the number of
                      expiring futures contracts held short, in such account;
       
                      (b) confirmation that such account meets the requirements set forth in CBOT Rule
                      52104.A.;
       
                      (c) the IRS Product account number and IRS Product account origin (house or customer),
                      as designated pursuant to CBOT Rule 52104.C.2.;
       
                      (d) the IRS Clearing Member carrying such IRS Product account, as designated pursuant
                      to CBOT Rule 52104.C.2.;
                       
                      (e) confirmation that such IRS Clearing Member, as designated pursuant to CBOT Rule
                      52104.C.2., has been notified as required by CBOT Rule 52104.C.3., and has made such
                      acknowledgements as are required by CBOT Rule 52104.C.4.
       
      Where a clearing member carries accounts holding interest both long and short in such expiring futures contract, the clearing member must fulfill these Rules 52104.C. so as to procure that delivery shall be made by all such accounts holding short interest and shall be accepted by all such accounts holding long interest.
       
      52104.ED. Notification of IRS Clearing Members in Delivery
      Following the termination of trading in an expiring futures contract (CBOT Rule 52102.F.), the Clearing House shall notify each IRS Clearing Member carrying one or more IRS Product accounts that are required to make or accept delivery in fulfillment of such expiring futures, as designated pursuant to CBOT Rules 52104.C. For each such IRS Clearing Member, such Clearing House notification shall include:
       
                      1. identification of IRS Product accounts, carried by such IRS Clearing Member, that are required
                      to accept delivery on long futures positions; the size of each such long futures position; and the
                      identity of the clearing member firm(s) carrying the account(s) in which each such long futures
                      position is held; and /or
       
                      2. identification of IRS Product accounts, carried by such IRS Clearing Member, that are required
                      to make delivery on short futures positions; the size of each such short futures position; and the
                      identity of the clearing member firm(s) carrying the account(s) in which each such short futures
                      position is held.
       
      52104.FE. IRS Clearing Member Obligations in Delivery
      In the event that an IRS Clearing Member disputes such notification of delivery on expiring futures as it may receive from the Clearing House, pursuant to CBOT Rule 52104.ED., such IRS Clearing Member shall promptly notify the Clearing House, and the dispute must be settled no later than 12:30 p.m. Chicago time on the Acceptance Date and Clearing Effective Date for delivery in fulfillment of such expiring futures (CBOT Rule 52103.B.).
       
      As of 12:30 p.m. Chicago time on the Acceptance Date and Clearing Effective Date for delivery in fulfillment of an expiring futures, an IRS Clearing Member who carries an IRS Product account that is required to make or accept delivery on such expiring futures contract (CBOT Rules 52104.A, 52104.B., 52104.C., and 52104.D. and 52104.E.) shall guarantee and assume complete responsibility for the performance of all delivery requirements set forth in the Rules.
       
      52104.GF. Clearing House Financial Safeguards
      A futures contract made under these Rules shall be a Base Guaranty Fund Product subject to the Clearing House financial safeguards provided by the General Guarantee Fund (CME Rule 802.A.).
       
      An IRS Contract that is delivered or accepted for delivery in fulfillment of a futures contract made under these Rules shall be an IRS Product subject to the Clearing House financial safeguards provided by the IRS Guaranty Fund (CME Rule 8G07.).
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
      Appendix 3
      Amendments to CBOT Rulebook Chapter 53, Rules 53104. –
      10-Year US Dollar Interest Rate Swap Futures
       
      (Additions are red underlined. Deletions are struck through.)
       
       
       
      53104. DELIVERIES ON EXPIRING FUTURES CONTRACTS
       
      53104.A. Requirements for Participation in Delivery
      For an account carried by a clearing member to make or accept delivery on an expiring futures contract, the holder of such account is required to be:
       
                      1. an Eligible Contract Participant, as that term is defined in Section 1a(18) of the Commodity
      Exchange Act (7 USC §1a(18) and 17 CFR 1.3(m)), and
       
                      2. either an IRS Clearing Member (CME Rule 90005.A.) or an IRS Participant registered with
                      CME by an IRS Clearing Member (CME Rule 8F009. and CME Rule 90005.B.).
       
      Subject to these requirements and to CBOT Rules 53104.B. and 53104.C., upon Termination of Trading in such expiring futures (CBOT Rule 53102.F.), the holder of each such account that holds a long interest in such futures contract shall be required to accept delivery from the Clearing House of IRS Contracts that meet Contract Grade (CBOT Rule 53101.A.), and the holder of each such account that holds a short interest in such futures contract shall be required to make delivery to the Clearing House of IRS Contracts that meet Contract Grade.
       
      53104.B. IRS Product Account Registration
      Any IRS Contract delivered or accepted for delivery in fulfillment of an expiring futures contract must be identified with an IRS Product account number that identifies the holder of such IRS Product account, and that specifies whether such IRS Product account is either (1) a proprietary account of an IRS Clearing Member or (2) held by a customer registered with CME by an IRS Clearing Member as an IRS Participant (CME Rule 8F009. and CME Rule 90005.B.).
       
      53104.C. Clearing Member Obligations in Delivery
      Subject to the provisions of CBOT Rulebook Chapters 7, 8, and 9, as of the termination during the last five 5 days of trading in an expiring futures contract (CBOT Rule 53102.F.), each clearing member that carries accounts holding long or short interest in such expiring futures contract shall:
       
                      1. ensure that the requirements set forth in CBOT Rule 53104.A. are met at all times.
       
                      2. in accord with the requirements set forth in CBOT Rule 53104.B., ensure that the holder of
                      each such account hasshall designated (a) the IRS Product account(s) in which the holder shall
                      make or accept any deliveries on expiring futures contracts and (b) the IRS Clearing Member(s)
                      carrying such IRS Product account(s).
       
                      3. ensure that anytimely notify IRS Clearing Member(s) carrying such IRS Product account(s) as
                      may be designated pursuant to CBOT Rule 53104.C.2. has been notified of such designation.
       
                      4. obtain acknowledgement from each IRS Clearing Member designated pursuant to CBOT Rule
                      53104.C.2. that such IRS Clearing Member shall guarantee and assume complete responsibility
                      for the performance of all delivery requirements in respect of such expiring futures (CBOT Rule
                      53104.E.).
       
      Where a clearing member carries accounts holding interest both long and short in such expiring futures contract, the clearing member must fulfill these Rules 53104.C. so as to procure that delivery shall be made by all such accounts holding short interest and shall be accepted by all such accounts holding long interest.
       
      53104.D. Clearing Member Reporting Obligations Prior to Delivery
      Each clearing member that carries accounts holding long or short interest in an expiring futures contract shall report to the Clearing House, on each of the last 5 days of trading in such expiring futures, an accurate inventory of such long and short interest, in such manner and at such times as the Clearing House may prescribe, provided that such inventory must include, for each account holding long or short interest:
       
                  1. declaration of the number of expiring futures contracts held long, and the number of
                  expiring futures contracts held short, in such account;
       
      2. confirmation whether such account meets, or does not meet, the requirements set forth in CBOT Rule 53104.A.;
       
                  3. where such account meets the requirements set forth in CBOT Rule 53104.A., (a) the IRS
      Product account number, and the IRS Product account origin (house or customer), and the IRS Clearing Member carrying such IRS Product account, as designated pursuant to CBOT Rule 53104.C.2., and (b) confirmation that such IRS Clearing Member has been notified as required by CBOT Rule 53104.C.3., and has made such acknowledgements as are required by CBOT Rule 53104.C.4.
       
                      5. report to the Clearing House, on each of the last 5 days of trading in such expiring futures, an
                      accurate inventory of such long and short interest, in such manner and at such times as the
                      Clearing House may prescribe, provided that such inventory must include, for each account
                      holding long or short interest:
       
                      (a) declaration of the number of expiring futures contracts held long, or the number of
                      expiring futures contracts held short, in such account;
       
                      (b) confirmation that such account meets the requirements set forth in CBOT Rule
                      53104.A.;
       
                      (c) the IRS Product account number and IRS Product account origin (house or customer),
                      as designated pursuant to CBOT Rule 53104.C.2.;
       
                      (d) the IRS Clearing Member carrying such IRS Product account, as designated pursuant
                      to CBOT Rule 53104.C.2.;
                       
                      (e) confirmation that such IRS Clearing Member, as designated pursuant to CBOT Rule
                      53104.C.2., has been notified as required by CBOT Rule 53104.C.3., and has made such
                      acknowledgements as are required by CBOT Rule 53104.C.4.
       
      Where a clearing member carries accounts holding interest both long and short in such expiring futures contract, the clearing member must fulfill these Rules 53104.C. so as to procure that delivery shall be made by all such accounts holding short interest and shall be accepted by all such accounts holding long interest.
       
      53104.ED. Notification of IRS Clearing Members in Delivery
      Following the termination of trading in an expiring futures contract (CBOT Rule 53102.F.), the Clearing House shall notify each IRS Clearing Member carrying one or more IRS Product accounts that are required to make or accept delivery in fulfillment of such expiring futures, as designated pursuant to CBOT Rules 53104.C. For each such IRS Clearing Member, such Clearing House notification shall include:
       
                      1. identification of IRS Product accounts, carried by such IRS Clearing Member, that are required
                      to accept delivery on long futures positions; the size of each such long futures position; and the
                      identity of the clearing member firm(s) carrying the account(s) in which each such long futures
                      position is held; and /or
       
                      2. identification of IRS Product accounts, carried by such IRS Clearing Member, that are required
                      to make delivery on short futures positions; the size of each such short futures position; and the
                      identity of the clearing member firm(s) carrying the account(s) in which each such short futures
                      position is held.
       
      53104.FE. IRS Clearing Member Obligations in Delivery
      In the event that an IRS Clearing Member disputes such notification of delivery on expiring futures as it may receive from the Clearing House, pursuant to CBOT Rule 53104.ED., such IRS Clearing Member shall promptly notify the Clearing House, and the dispute must be settled no later than 12:30 p.m. Chicago time on the Acceptance Date and Clearing Effective Date for delivery in fulfillment of such expiring futures (CBOT Rule 53103.B.).
       
      As of 12:30 p.m. Chicago time on the Acceptance Date and Clearing Effective Date for delivery in fulfillment of an expiring futures, an IRS Clearing Member who carries an IRS Product account that is required to make or accept delivery on such expiring futures contract (CBOT Rules 53104.A, 53104.B., 53104.C., and 53104.D. and 53104.E.) shall guarantee and assume complete responsibility for the performance of all delivery requirements set forth in the Rules.
       
      53104.GF. Clearing House Financial Safeguards
      A futures contract made under these Rules shall be a Base Guaranty Fund Product subject to the Clearing House financial safeguards provided by the General Guarantee Fund (CME Rule 802.A.).
       
      An IRS Contract that is delivered or accepted for delivery in fulfillment of a futures contract made under these Rules shall be an IRS Product subject to the Clearing House financial safeguards provided by the IRS Guaranty Fund (CME Rule 8G07.).
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
      Appendix 4
      Amendments to CBOT Rulebook Chapter 54, Rules 54104. –
      30-Year US Dollar Interest Rate Swap Futures
       
      (Additions are red underlined. Deletions are struck through.)
       
       
       
      54104. DELIVERIES ON EXPIRING FUTURES CONTRACTS
       
      54104.A. Requirements for Participation in Delivery
      For an account carried by a clearing member to make or accept delivery on an expiring futures contract, the holder of such account is required to be:
       
                      1. an Eligible Contract Participant, as that term is defined in Section 1a(18) of the Commodity
      Exchange Act (7 USC §1a(18) and 17 CFR 1.3(m)), and
       
                      2. either an IRS Clearing Member (CME Rule 90005.A.) or an IRS Participant registered with
                      CME by an IRS Clearing Member (CME Rule 8F009. and CME Rule 90005.B.).
       
      Subject to these requirements and to CBOT Rules 54104.B. and 54104.C., upon Termination of Trading in such expiring futures (CBOT Rule 54102.F.), the holder of each such account that holds a long interest in such futures contract shall be required to accept delivery from the Clearing House of IRS Contracts that meet Contract Grade (CBOT Rule 54101.A.), and the holder of each such account that holds a short interest in such futures contract shall be required to make delivery to the Clearing House of IRS Contracts that meet Contract Grade.
       
      54104.B. IRS Product Account Registration
      Any IRS Contract delivered or accepted for delivery in fulfillment of an expiring futures contract must be identified with an IRS Product account number that identifies the holder of such IRS Product account, and that specifies whether such IRS Product account is either (1) a proprietary account of an IRS Clearing Member or (2) held by a customer registered with CME by an IRS Clearing Member as an IRS Participant (CME Rule 8F009. and CME Rule 90005.B.).
       
      54104.C. Clearing Member Obligations in Delivery
      Subject to the provisions of CBOT Rulebook Chapters 7, 8, and 9, as of the termination during the last five 5 days of trading in an expiring futures contract (CBOT Rule 54102.F.), each clearing member that carries accounts holding long or short interest in such expiring futures contract shall:
       
                      1. ensure that the requirements set forth in CBOT Rule 54104.A. are met at all times.
       
                      2. in accord with the requirements set forth in CBOT Rule 54104.B., ensure that the holder of
                      each such account hasshall designated (a) the IRS Product account(s) in which the holder shall
                      make or accept any deliveries on expiring futures contracts and (b) the IRS Clearing Member(s)
                      carrying such IRS Product account(s).
       
                      3. ensure that anytimely notify IRS Clearing Member(s) carrying such IRS Product account(s) as
                      may be designated pursuant to CBOT Rule 54104.C.2. has been notified of such designation.
       
                      4. obtain acknowledgement from each IRS Clearing Member designated pursuant to CBOT Rule
                      54104.C.2. that such IRS Clearing Member shall guarantee and assume complete responsibility
                      for the performance of all delivery requirements in respect of such expiring futures (CBOT Rule
                      54104.E.).
       
      Where a clearing member carries accounts holding interest both long and short in such expiring futures contract, the clearing member must fulfill these Rules 54104.C. so as to procure that delivery shall be made by all such accounts holding short interest and shall be accepted by all such accounts holding long interest.
       
      54104.D. Clearing Member Reporting Obligations Prior to Delivery
      Each clearing member that carries accounts holding long or short interest in an expiring futures contract shall report to the Clearing House, on each of the last 5 days of trading in such expiring futures, an accurate inventory of such long and short interest, in such manner and at such times as the Clearing House may prescribe, provided that such inventory must include, for each account holding long or short interest:
       
                  1. declaration of the number of expiring futures contracts held long, and the number of
                  expiring futures contracts held short, in such account;
       
      2. confirmation whether such account meets, or does not meet, the requirements set forth in CBOT Rule 54104.A.;
       
                  3. where such account meets the requirements set forth in CBOT Rule 54104.A., (a) the IRS
      Product account number, and the IRS Product account origin (house or customer), and the IRS Clearing Member carrying such IRS Product account, as designated pursuant to CBOT Rule 54104.C.2., and (b) confirmation that such IRS Clearing Member has been notified as required by CBOT Rule 54104.C.3., and has made such acknowledgements as are required by CBOT Rule 54104.C.4.
       
                      5. report to the Clearing House, on each of the last 5 days of trading in such expiring futures, an
                      accurate inventory of such long and short interest, in such manner and at such times as the
                      Clearing House may prescribe, provided that such inventory must include, for each account
                      holding long or short interest:
       
                      (a) declaration of the number of expiring futures contracts held long, or the number of
                      expiring futures contracts held short, in such account;
       
                      (b) confirmation that such account meets the requirements set forth in CBOT Rule
                      54104.A.;
       
                      (c) the IRS Product account number and IRS Product account origin (house or customer),
                      as designated pursuant to CBOT Rule 54104.C.2.;
       
                      (d) the IRS Clearing Member carrying such IRS Product account, as designated pursuant
                      to CBOT Rule 54104.C.2.;
                       
                      (e) confirmation that such IRS Clearing Member, as designated pursuant to CBOT Rule
                      54104.C.2., has been notified as required by CBOT Rule 54104.C.3., and has made such
                      acknowledgements as are required by CBOT Rule 54104.C.4.
       
      Where a clearing member carries accounts holding interest both long and short in such expiring futures contract, the clearing member must fulfill these Rules 54104.C. so as to procure that delivery shall be made by all such accounts holding short interest and shall be accepted by all such accounts holding long interest.
       
      54104.ED. Notification of IRS Clearing Members in Delivery
      Following the termination of trading in an expiring futures contract (CBOT Rule 54102.F.), the Clearing House shall notify each IRS Clearing Member carrying one or more IRS Product accounts that are required to make or accept delivery in fulfillment of such expiring futures, as designated pursuant to CBOT Rules 54104.C. For each such IRS Clearing Member, such Clearing House notification shall include:
       
                      1. identification of IRS Product accounts, carried by such IRS Clearing Member, that are required
                      to accept delivery on long futures positions; the size of each such long futures position; and the
                      identity of the clearing member firm(s) carrying the account(s) in which each such long futures
                      position is held; and /or
       
                      2. identification of IRS Product accounts, carried by such IRS Clearing Member, that are required
                      to make delivery on short futures positions; the size of each such short futures position; and the
                      identity of the clearing member firm(s) carrying the account(s) in which each such short futures
                      position is held.
       
      54104.FE. IRS Clearing Member Obligations in Delivery
      In the event that an IRS Clearing Member disputes such notification of delivery on expiring futures as it may receive from the Clearing House, pursuant to CBOT Rule 54104.ED., such IRS Clearing Member shall promptly notify the Clearing House, and the dispute must be settled no later than 12:30 p.m. Chicago time on the Acceptance Date and Clearing Effective Date for delivery in fulfillment of such expiring futures (CBOT Rule 54103.B.).
       
      As of 12:30 p.m. Chicago time on the Acceptance Date and Clearing Effective Date for delivery in fulfillment of an expiring futures, an IRS Clearing Member who carries an IRS Product account that is required to make or accept delivery on such expiring futures contract (CBOT Rules 54104.A, 54104.B., 54104.C., and 54104.D. and 54104.E.) shall guarantee and assume complete responsibility for the performance of all delivery requirements set forth in the Rules.
       
      54104.GF. Clearing House Financial Safeguards
      A futures contract made under these Rules shall be a Base Guaranty Fund Product subject to the Clearing House financial safeguards provided by the General Guarantee Fund (CME Rule 802.A.).
       
      An IRS Contract that is delivered or accepted for delivery in fulfillment of a futures contract made under these Rules shall be an IRS Product subject to the Clearing House financial safeguards provided by the IRS Guaranty Fund (CME Rule 8G07.).

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