Special Executive Report
DATE:

November 9, 2022

SER#:

9090

SUBJECT:

Initial Listing of the RepoFunds Rate (Germany) Futures, RepoFunds Rate(Germany) – Three-Month Single Contract Basis Spread Futures, RepoFunds
Rate (Italy) Futures and RepoFunds Rate (Italy) – Three-Month Single Contract
Basis Spread Futures Contracts

Effective Sunday, December 4, 2022, for trade date Monday, December 5, 2022, and pending all
relevant Commodity Futures Trading Commission (“CFTC”) regulatory review periods, Chicago
Mercantile Exchange Inc. (“CME” or “Exchange”) will list RepoFunds Rate (Germany) Futures,RepoFunds Rate (Germany) – Three-Month Single Contract Basis Spread Futures, RepoFunds Rate(Italy) Futures and RepoFunds Rate (Italy) – Three-Month Single Contract Basis Spread Futurescontracts (the “Contracts”) for trading on the CME Globex electronic trading platform (“CME Globex”)
and for submission for clearing on CME ClearPort as more specifically described below.
Contract Title

CME Rulebook
Chapter

CME Globex
andCME ClearPort CodeRepoFunds Rate (Germany) Futures

482

RFDRepoFunds Rate (Germany) – Three-MonthSingle Contract Basis Spread Futures

483

RSD

RepoFunds Rate (Italy) Futures

484

RFI

RepoFunds Rate (Italy) – Three-Month Single
Contract Basis Spread Futures

485

RSIExhibit 1 provides specifications of the Contracts. Exhibit 2 provides the applicable Exchange fees.
Please refer questions on this subject to:
Business Line Management
Mark Rogerson
mark.rogerson@cmegroup.com+44 20 3379 3795

Research and Product Development
Chris Farranchris.farran@cmegroup.com

312 580 5389

Please send any risk-specific feedback regarding these products to NewProductMRM@cmegroup.com.

Exhibit 1 – Contract Specifications

Contract Title

Rulebook Chapter

Commodity Code

Trading Unit

RepoFunds Rate (Germany) Futures
RepoFunds Rate (Italy) Futures

RepoFunds Rate (Italy) – Three-Month Single Contract Basis Spread Futures482 (Germany)

483 (Germany)

484 (Italy)

485 (Italy)

RFD (Germany)

RSD (Germany)

RFI (Italy)

RSI (Italy)

Interest based on the compounded daily sovereign(Germany or Italy) RepoFunds Rate (“RFR”), suchthat each basis point per annum of interest = €25
euro per futures contract

Prices shall be quoted as the value of the spread between
the expected 3-month Euribor benchmark rate and the expected compounded overnight RFR benchmark rate overthe same interest period, expressed as an interest rate
per annum such that each basis point per annum of interest shall be worth €25 per futures contract

Contract-grade IMM Index: 100 minus R where:

Price BasisContract Size

RepoFunds Rate (Germany) – Three-Month Single
Contract Basis Spread Futures

For daily settlement, prices shall be quoted as the valueof the spread between the expected 3-month Euribor
benchmark rate and the expected compounded overnightRFR benchmark rate.

R = Compounded daily sovereign (Germany orItaly) RFR during the contract Reference Quarter,
defined as the interval that ends on (and does notinclude) the third Wednesday of the contract
delivery month (IMM Wednesday) and begins on(and includes) the third Wednesday of the third
calendar month preceding the contract delivery
month, based on TARGET2 good business days.

Final settlement price, occurring 2 TARGET2 businessdays prior to the third Wednesday of the expiring contract
month (IMM Wednesday), shall be equal to the daily
settlement price of 3 TARGET2 business days prior to
IMM Wednesday.

Example: Contract price of 97.2800 IMM Index
points signifies R = 2.7200 percent per annum

For instance, if 3-Month Euribor on the Monday 2 days
before IMM Wednesday is 0.7600 percent per annum andthe spread settlement on the same day is 0.4500,
assignment price will be at the IMM Index value of
99.6900 (100-0.7600+0.4500).

Assignment price into same RFR sovereign contract (RFDor RFI) of same contract named month shall be at 100
minus the 3-Month Euribor, on the final settlement date,plus the final settlement price.

€2500 x contract-grade IMM Index
Nearest expiring contract month: .000125 IMM
Index Points (0.125 basis point per annum) equalto €3.125 per contract

Minimum Price
Increment

Listing Schedule

Termination of Trading

Second nearest expiring contract month: 0.0025
IMM Index points (0.25 basis point per annum)
equal to €6.25 per contract
All other expiring contract months: 0.005 IMM
Index points (0.5 basis point per annum) equal to€12.50 per contract
Nearest 8 Quarterly months (Mar, Jun, Sep, Dec),
nearest 2 serial months, and 3 contract months in
the accrual period
Initial listed month: September 2022
4:00 p.m. London time on the TARGET2 business
day immediately preceding the third Wednesday
three months forward from the expiring contractmonth
By cash settlement in euro, by reference to Final
Settlement Price, on last day of trading.
Final Settlement Price: Contract-grade IMM
Index 100 minus R where:

DeliveryR = Compounded daily RFR during the contract
Reference Quarter, defined as the interval thatends on (and does not include) the third
Wednesday of the contract delivery month (IMMWednesday) and begins on (and includes) the third

For all contracts: 0.0025 IMM Index points (0.25 basis
point per annum) equal to €6.25 per contract

Nearest 8 Quarterly months (Mar, Jun, Sep, Dec) andnearest 2 serial months
Initial listed month: December 2022
11:00 a.m. Central European Time 2 TARGET2
business days immediately preceding the third
Wednesday of the expiring contract month

By assignment into same sovereign RFR contract (RFDor RFI) of same contract named month at 100 minus the3-Month Euribor, on the final settlement date, plus thefinal settlement priceWednesday of the third calendar month preceding
the contract delivery month, based on TARGET2
good business days.

CME Globex Pre-Open: Sunday: 4:00 p.m.-5:00 p.m. Central Time (CT)
Monday-Thursday: 4:45 p.m.- 5:00 p.m. CT
Trading and Clearing
Hours

Block Trade Minimum
Threshold
CME Globex Matching
Algorithm

CME Globex:

Sunday - Friday 5:00 p.m.-4:00 p.m. CT with a 60-minute break

CME ClearPort:

Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from5:45 p.m. – 6 p.m. CT

100 contracts - subject to reporting window: 5 minutes RTH / 15 minutes ATH and ETH
A-Allocation

Exhibit 2 – Exchange Fees
Membership Type
Individual Members
Clearing Members
Rule 106.J Equity Member Firms & Rule 106.J Qualified
Subsidiaries
Rule 106.I Members & Rule 106.I Qualified Affiliates
Rule 106.S Member Approved Funds
Rule 106.D Lessees
Rule 106.F Employees
Rule 106.R Electronic Corporate Members(For other than CME Globex, EFP, EFR, Block - Non-Member rates
apply)
Rule 106.H and 106.N Firms
Clearing Non-Equity Member Firms

International Incentive Program (IIP) Participants
International Volume Incentive Program (IVIP) Participants
Central Bank Incentive Program (CBIP) Participants
Latin American Fund Manager Incentive Program (FMIP)
Participants
Members Trading Outside of Division(For other than CME Globex During ETH - Non-Member rates apply)

Non-Members

Processing Fees
Position Adjustment/Position Transfer
Give-Up Surcharge
Facilitation Fee

Fee

$0.10
$0.05
$0.00

Venue/TransactionFee

CME Globex$0.19

EFP|EFR|Block$0.29

Delivery$0.09

CME Globex
EFP|EFR|Block$0.37$0.50

Delivery$0.30

CME Globex$0.49

EFP|EFR|Block$0.90CME Globex$0.49

EFP|EFR|Block$0.69

Delivery$0.49

CME Globex$0.50

EFP|EFR|Block$1.35

Delivery$0.50

CME Globex$0.75

EFP|EFR|Block$1.35

Delivery
CME Globex
During ETH Only
CME Globex$0.70

CME Globex - Bundles$0.80

EFP|EFR|Block$1.35

Delivery

$0.70

$0.80
$1.25