Special Executive Report
S-8459October 15, 2019
Initial Listing of Twenty-Four (24) Options on Three-Month SOFR Futures

Effective January 5, 2020, for first trade date of Monday, January 6, 2020, and pending all relevant CFTC
regulatory review periods, Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) will list twenty-four(24) options on Three-Month SOFR Futures contracts (the “Contracts”) (Rulebook Chapter: 460A) for
open outcry trading on the CME trading floor, trading on the CME Globex electronic trading platform, andfor submission for clearing via CME ClearPort, as noted below.
Options on Three-Month SOFR Futures
Three-Month Mid-Curve Options on Three-Month SOFR Futures
Six-Month Mid-Curve Options on Three-Month SOFR Futures
Nine-Month Mid-Curve Options on Three-Month SOFR Futures
One-Year Mid-Curve Options on Three-Month SOFR Futures
Weekly One-Year Mid-Curve Options on Three-Month SOFR Futures - Week 1
Weekly One-Year Mid-Curve Options on Three-Month SOFR Futures - Week 2
Weekly One-Year Mid-Curve Options on Three-Month SOFR Futures - Week 3
Weekly One-Year Mid-Curve Options on Three-Month SOFR Futures - Week 4
Weekly One-Year Mid-Curve Options on Three-Month SOFR Futures - Week 5
Two-Year Mid-Curve Options on Three-Month SOFR Futures
Weekly Two-Year Mid-Curve Options on Three-Month SOFR Futures - Week 1
Weekly Two-Year Mid-Curve Options on Three-Month SOFR Futures - Week 2
Weekly Two-Year Mid-Curve Options on Three-Month SOFR Futures - Week 3
Weekly Two-Year Mid-Curve Options on Three-Month SOFR Futures - Week 4
Weekly Two-Year Mid-Curve Options on Three-Month SOFR Futures - Week 5
Three-Year Mid-Curve Options on Three-Month SOFR Futures
Weekly Three-Year Mid-Curve Options on Three-Month SOFR Futures - Week 1
Weekly Three-Year Mid-Curve Options on Three-Month SOFR Futures - Week 2
Weekly Three-Year Mid-Curve Options on Three-Month SOFR Futures - Week 3
Weekly Three-Year Mid-Curve Options on Three-Month SOFR Futures - Week 4
Weekly Three-Year Mid-Curve Options on Three-Month SOFR Futures - Week 5
Four-Year Mid-Curve Options on Three-Month SOFR Futures
Five-Year Mid-Curve Options on Three-Month SOFR Futures

SR3
TS2
TS3
TS4
S0
S01
S02
S03
S04
S05
S2S21
S22
S23
S24
S25
S3
S31
S32
S33
S34
S35
S4S5Exhibit 1 summarizes specifications for the Contracts. Applicable Exchange fees are shown in Exhibit 2.
Please refer questions to:
Ted Carey
ted.carey@cmegroup.com
Kim Eyers
kim.eyers@cmegroup.com
Jonathan Kronsteinjonathan.kronstein@cmegroup.com
Agha Mirzaagha.mirza@cmegroup.com
David Reifdavid.reif@cmegroup.com
Frederick Sturm
frederick.sturm@cmegroup.com
Bobby Timberlake
bobby.timberlake@cmegroup.com

212 299 2020
312 559 4992
312 930 3472
212 299 2833
312 648 3839
312 930 1282
312 466 4367

Exhibit 1 -- Contract Specifications
Unless otherwise noted, all times of day are Chicago time (“CT”).
Underlying
Instrument

Each Option is exercisable into one (1) specified Three-Month SOFR Futures contract (Commodity Code: SR3;
Rulebook Chapter 460).

Expiries

Quarterly Standard Options: March Quarterly months (Mar, Jun, Sep, Dec)
Serial Standard Options: Non-March Quarterly months (Jan, Feb, Apr, May, Jul, Aug, Oct, Nov)
Quarterly One-, Two-, Three-, Four-, and Five-Year Mid-Curve Options: March Quarterly months
Serial One-, Two-, Three-, Four-, and Five-Year Mid-Curve Options: Non-March Quarterly months
Weekly One-, Two-, and Three-Year Mid-Curve Options: Specified Fridays
Quarterly Three-, Six-, and Nine-Month Mid-Curve Options: March Quarterly months
Serial Three-, Six-, and Nine-Month Mid-Curve Options: Non-March Quarterly months

Exercise
Price Arrays

For options expiring on a given date, for exercise into a given Underlying Instrument, exercise prices at all
integer multiples of 0.25 Underlying Instrument price points (“points” or “price points”) from 5.50 points above to5.50 points below current at-the-money exercise price, and at all integer multiples of 0.125 points from 1.50
points above to 1.50 points below current at-the-money exercise price.
At-the-money exercise price is the Option exercise price closest to previous daily settlement price of the option’s
Underlying Instrument.

Minimum
Option Premium
Increment

Quoted in Underlying Instrument price points, at $2,500 per point per Option contract, as follows:
Outright -- Quarterly Standard Options expiring in nearest March Quarterly Month0.0025 points ($6.25 per contract) if Option is for nearest monthly Option expiration date, else
0.0025 points ($6.25 per contract) if Option premium is not greater than 0.05 points, and0.005 points ($12.50 per contract) if Option premium is greater than 0.05 points.
Outright -- Quarterly Standard Options expiring in second-nearest March Quarterly Month, Serial Standard
Options, and all Three-Month Mid-Curve Options
0.0025 points ($6.25 per contract) if Option premium is not greater than 0.05 points, and0.005 points ($12.50 per contract) if Option premium is greater than 0.05 points.
Outright -- All other Quarterly Standard Options, and all other Mid-Curve Options
0.005 points ($12.50 per contract), with Cabinet = 0.0025 points ($6.25 per contract).
Option Spreads/Combinations -0.005 points, provided that it is 0.0025 points if:(1) spread/combination comprises only Quarterly Standard Options expiring in nearest March Quarterly month,and any component Option contract is for nearest monthly Option expiration date, or(2) spread/combination trades at net premium not greater than 0.05 points and not less than -0.05 points, andany component Option contract is a Quarterly Standard Option expiring in nearest or second-nearest March
Quarterly Month, or a Serial Standard Option, or a Three-Month Mid-Curve Option.

Terminationof Trading

Trading in expiring Options terminates at close of trading – typically 4pm -- on Last Day of Trading.

Option Exercise

American Style. Option may be exercised by purchaser on any day that Option is traded. Option purchaser’s
clearing member firm must notify CME Clearing of intention to exercise no later than 5:30pm on day of exercise.
All expiring Options outstanding and unexercised at Termination of Trading shall expire at 5:30pm on Last Day ofTrading and, absent contrary instruction, shall be automatically exercised.

Position
Accountabilityand Reportability

Reportability threshold:
850 contracts for Quarterly Standard Options and Serial Standard Options. 25 contracts for all other.
Single-Month and All-Month Accountability thresholds:
10,000 contracts.

Trading andClearing Hours

Open Outcry: 7:20am to 2pm, Mon-Fri.
CME Globex and CME ClearPort: 5pm to 4pm, Sun-Fri.

For all Options excluding Weekly Mid-Curve Options, Last Day of Trading is the Friday preceding the 3rdWednesday of Option expiry month. For Weekly Mid-Curve Options, Last Day of Trading is any Friday notscheduled for expiration of any Quarterly Standard Option or Serial Standard Option.

CME Globex
Algorithm

Threshold Pro-Rata with Lead Market Maker (LMM) (Q Algorithm).
Top Order Allocation = 25%. Top Order Min = 50 contracts. Top Order Max = 1,500 contracts.

Block Trade
Minima625 contracts in Asian Trading Hours (“ATH”) (4pm–12am, Mon-Fri on Business Days and at all weekend times)
1,250 contracts in European Trading Hours (“ETH”) (12am– 7am, Mon-Fri on Business Days)
2,500 contracts in Regular Trading Hours (“RTH”) (7am–4pm, Mon-Fri on Business Days)
Reporting Window: 5 minutes during RTH; 15 minutes during ATH and ETH.

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 - See Non-Members)
Rule 106.H and 106.N FirmsInternational Incentive Program (IIP) and International Volume
Incentive Program (IVIP) Participants(Open Outcry at same rate as CME Globex for Interest Rate productsonly)
Central Bank Incentive Program (CBIP) Participants
Emerging Markets Bank Incentive Program (EMBIP) Participants
Latin American Fund Manager Incentive Program (FMIP) Participants(For other than CME Globex|EFP|EFR|Block - See Non-Members)
Members Trading Outside of Division(For other than CME Globex During ETH - Non-Member rates apply)
Non-Members(Including: CTA/Hedge Fund Incentive Program Participants & CBOEMembers)

Processing Fees
106.D Lessee/106.H Brokerage
106.F Employee Brokerage
Floor / "New" Brokerage
Position Adjustment/Position Transfer
Give-Up Surcharge
Facilitation Fee

Fee
$0.13
$0.13
$0.04
$0.10
$0.05
$0.00

Venue/Transaction TypeOpen Outcry|Delivery
CME Globex
EFP|EFR|BlockFee
$0.15
$0.22
$0.34

Exe|Asn|Future From

$0.14

Open Outcry|Delivery
CME Globex
EFP|EFR|Block
Exe|Asn|Future From
CME Globex
EFP|EFR|BlockOpen Outcry|Delivery
CME Globex
EFP|EFR|Block
Exe|Asn|Future From
Open Outcry|Delivery
CME Globex
EFP|EFR|Block
Exe|Asn|Future From
CME Globex

$0.30
$0.42
$0.55
$0.35
$0.49
$0.84
$0.49
$0.49
$0.69
$0.54
$0.50
$0.50
$0.99
$0.55
$0.60

EFP|EFR|Block$0.84

CME Globex
During ETH Only
Open Outcry|Delivery
CME Globex
CME Globex - Bundles
EFP|EFR|Block
Exe|Asn|Future From

$0.79
$0.70
$0.89
N/A
$0.99
$0.69