SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-228

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 06/08/23 Filing Description: Amendments to the Special Price 

Fluctuation Limits Table and Rule 460A01.G. (“Special Price Fluctuation Limits”) in 

Connection with all Options on Three-Month SOFR Futures Contracts

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: Options on Three-Month SOFR Futures.

Rule Numbers: CME Rulebook Chapter 460A.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

1

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

June 8, 2023

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

3 Lafayette Center

1155 21st Street NW

Washington, DC 20581

Re: CFTC Regulation 40.6(a) Certification. Amendments to the Special Price Fluctuation 

Limits and Price Limits Table and Rule 460A01.G. (“Special Price Fluctuation 

Limits”) in Connection with all Options on Three-Month SOFR Futures Contracts.

CME Submission No. 23-228

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) certifies to the Commodity Futures Trading 

Commission (“CFTC” or “Commission”) amendments to the Special Price Fluctuation Limits and Price 

Limits table (the “Table”) located in Chapter 5 and Rule 460A01.G. (“Special Price Fluctuation Limits”) of 

all Options on Three-Month SOFR Futures contracts (Rulebook Chapter 460A; Commodity Code: SR3) 

(the “Contracts”) to remove the Contracts from the Table (collectively, the “Rule Amendments”) effective on 

Sunday, June 25, 2023, for trade date Monday, June 26, 2023.

Specifically, the Exchange has determined that activity in Contracts is not concentrated in the lead month, 

as liquidity and volume is distributed across multiple expiration dates. In the event of a single contract month 

triggering a price fluctuation limit, halting the Contracts may result in an undesirable event. A halt in the 

Contracts may result in an unnecessary disconnect with the rest of the market and may lead to disruptive 

liquidity gaps.

By way of background, the Exchange applied special price fluctuation limits to the Contracts in 2021 (see 

CME Submission No. 21-204 dated June 18, 2021). It should be noted that a price fluctuation limit has 

never been triggered in the Contracts. 

Appendix A provides amendments to the Table in blackline format. Appendix B provides amendments to 

Rule 4601.G. in blackline format.

The Exchange reviewed the designated contract market core principles (“Core Principles”) as set forth in 

the Commodity Exchange Act (“CEA” or “Act”) and identified that the Rule Amendments may have some 

bearing on the following Core Principles:

• Compliance with Rules: Changes to special price fluctuation limits constitute a change to a term 

and condition pursuant to Part 40 of the Regulations under the CEA. The Exchange is amending the

special price fluctuation limit functionality attendant to the Contracts. As such, the Rule Amendments 

remain in compliance with this Core Principle.

• Prevention of Market Disruption: CME Rule 589. is expressly intended to prevent unwarranted 

price movements in products subject to the Rule. The Rule Amendments codify the manner in which 

the limits are applied and remain in compliance with the Core Principle.

• Availability of General Information: The Exchange will update the Rulebook Chapter 460A and 

the Table located on the CME Group website upon the effective date.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

2

Pursuant to Section 5c(c) of the Act and Regulation 40.6(a), the Exchange certifies that the Rule 

Amendments comply with the Act, including all regulations thereunder. There were no substantive opposing 

views to this proposal.

The Exchange certifies that this submission has been concurrently posted on the Exchange’s website at 

http://www.cmegroup.com/market-regulation/rule-fillings.html.

Should you have any questions concerning the above, please contact the undersigned at (212) 299-2200

or CMEGSubmissionInquiry@cmegroup.com. 

 

Sincerely,

 /s/ Christopher Bowen

 Managing Director and Chief Regulatory Counsel

Attachments: Appendix A Amendments to Rule 589. Special Price Fluctuation Limits and Daily

Price Limits Table (blackline format)

Appendix B Amendments to CME Rule 460A01.G. (“Special Price Fluctuation 

Limits”) (blackline format) 
3

Appendix A

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Rule 589. Special Price Fluctuation Limits and Daily Price Limits Table

(deletions struck through)

Product

RULEBOOK 

CHAPTER

COMMODITY 

CODE

PRIMARY/ 

ASSOCIATED

ASSOCIATED 

WITH

Options on ThreeMonth SOFR 

Futures

460A

SR3, S0, S01, S02, 

S03, S04, S05, S2, 

S21, S22, S23, S24, 

S25, S3, S31, S32, 

S33, S34, S35, S4, 

S5, TS2, TS3, TS4

Associated SR3
4

Appendix B

CME Rulebook

(deletions struck through)

Chapter 460A

Options on Three-Month SOFR Futures

***

460A01. OPTION CHARACTERISTICS

***

460A01.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.

[Remainder of Chapter unchanged.]