SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 24-028

Organization: Chicago Mercantile Exchange Inc. ("CME")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): January 4, 2024 Filing Description: Modifications to the

CME STIR Futures Pack and Bundle Market Maker Program

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: N/A

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

Official Product Name: 

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: 

Rule Numbers: 
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

Timothy Elliott

Managing Director and Chief Regulatory Counsel

Legal Department

January 4, 2024

VIA ELECTRONIC PORTAL

Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

RE: Modifications to the CME STIR Futures Pack and Bundle Market Maker Program

CME Submission No. 24-028

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) hereby notifies the Commodity Futures Trading 

Commission (“CFTC” or “Commission”) of plans to modify the CME STIR Futures Pack and Bundle Market Maker 

Program (“Program”). The modifications to the Program will become effective on February 1, 2024. 

Exhibit 1 sets forth the terms of this Program. Modifications appear below, with additions underlined and deletions 

overstruck. 

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

Exchange Act (“CEA”). During the review, CME staff identified the following Core Principles as potentially being 

impacted: Monitoring of Trading, Execution of Transactions, Protection of Market Participants, Compliance with 

Rules, Availability of General Information, and Recordkeeping. 

The Program does not impact the Exchange’s ability to perform its trade practice and market surveillance obligations 

under the CEA and the Exchange’s market regulation staff will monitor all market participants that trade the

Program’s products to prevent manipulative trading and market abuse. Additionally, the Exchange has implemented 

systems to track Program participants’ obligations to ensure proper distribution of earned incentives. The incentives 

in the Program do not impact the Exchange’s order execution. Participants in the Program will be selected by 

Exchange staff using criteria as further stated in Exhibit 1. Chapter 4 of the CME rules includes prohibitions against 

fraudulent, non-competitive, unfair or abusive practices. All participants must execute a contractual agreement with 

the Exchange in which each participant will expressly agree to comply with and be subject to, applicable regulations 

and CME rules. The Program is subject to the Exchange’s record retention policies which comply with the CEA. 

CME certifies that this Program complies with the CEA and the regulations thereunder. There were no substantive 

opposing views to this Program.

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

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

If you require any additional information regarding this submission, please e-mail 

CMEGSubmissionInquiry@cmegroup.com or contact Rachel Johnson at 312-466-4393 or via e-mail at 

Rachel.Johnson@cmegroup.com. Please reference our CME Submission No. 24-028 in any related correspondence.

Sincerely,

/s/ Timothy Elliott

Managing Director and Chief Regulatory Counsel 

Attachment: Exhibit 1
EXHIBIT 1

CME STIR Futures Pack and Bundle Market Maker Program

Program Purpose

The purpose of this Program is to develop increased liquidity and encourage trading in shorter-dated

SOFR packs and bundles. Increased liquidity in these contracts benefits the entire marketplace.

Product Scope

Three-Month SOFR Futures (“SR3”) traded on the CME Globex® Platform (“Product”).

Eligible Participants

The Exchange may designate up to thirty (30) participants in the Program. Participants may be CME 

members or non-members. Non-member participants must have been enrolled in and met the quoting 

obligations in any short-term interest rate incentive program for at least one (1) month in the previous six 

(6) months prior to enrolling in this Program. All prospective participants are required to submit a Bid 

Sheet to the Exchange which is used to determine eligibility. Exchange staff looks at a variety of factors 

when selecting participants including, but not limited to, historical performance in the Product or related 

markets, previous experience in trading and market making in the Product, and the ability to commit to

and maintain continuous two-sided markets in the Product.

Program Term

Start date is January 1, 2015. End date is January 31, 2024 January 31, 2025.

Hours

6:00AM – 4:00PM CT.

Obligations

Minimum Quoting Obligations: In order to be eligible to receive incentives, participants must select and 

comply with at least one (1) set of quoting obligations set forth in the Quoting Buckets below. Participants 

must comply with the selected quoting obligations for 60% of the applicable trading session each month.

Quoting Bucket 1

Product Width

(Bps)

Size

(Contracts)

Green Pack 1.25 30

Blue Pack 1.25 20

Gold Pack 1.50 10

4-Year Bundle 1.00 10

5-Year Bundle 1.00 5
Quoting Bucket 2

Product Width

(Bps)

Size

(Contracts)

Red/Green 0.75 25

Green/Blue 1.00 20

Blue/Gold 1.25 10

3-Year Bundle 1.00 15

4-Year Bundle 1.00 10

Quoting Bucket 3

Product Width

(Bps)

Size

(Contracts)

Green Pack 1.25 30

Blue Pack 1.25 20

Gold Pack 1.50 10

Green/Blue 1.00 20

Blue/Gold 1.25 10

Quoting Bucket 4

Product Width

(Bps)

Size

(Contracts)

White Pack 1.00 40

Red Pack 1.00 30

White/Red 0.75 30

2-Year Bundle 1.00 20

Extreme Events Clause: If 2-Year Treasury (Yield) CME Group Volatility Index (CVOL) is 180 or greater

for at least three (3) days in a given calendar month, the obligations below may be implemented across 

all Quoting Buckets. 

(i) Bid/Ask Spread: Increased by 1.5X, rounded to the nearest valid tick increment

If 2-Year Treasury (Yield) CVOL is 240 or greater on any day in a given calendar month, the Exchange 

may reduce the time-in-market across all Quoting Buckets. The time-in-market reduction is subject to a 

floor of 20%.

Notwithstanding the foregoing, the Exchange may further reduce the bid/ask spreads, sizes, or time-inmarket obligations based on ongoing evaluations of market conditions and volatility. Participants will be 

given notice that the Extreme Events Clause has taken effect.

Holiday Quoting Schedule: There will be no quoting obligations on the dates listed below. The Holiday 

Quoting Schedule may be adjusted by the Exchange. Participants will be given notice of any adjustments 

to the Holiday Quoting Schedule.

Date Holiday

9/4/2023 Labor Day

11/23/2023 Thanksgiving

12/25/2023 Christmas
1/1/2024 New Year’s

1/15/2024 Birthday of Dr. Martin Luther King, Jr.

2/19/2024 Presidents’ Day

3/29/2024 Good Friday

5/27/2024 Memorial Day

6/19/2024 Juneteenth

7/4/2024 Independence Day

9/2/2024 Labor Day

10/14/2024 Columbus Day

11/11/2024 Veterans Day

11/28/2024 Thanksgiving

11/29/2024 Post-Thanksgiving

12/24/2024 Christmas Eve

12/25/2024 Christmas

1/1/2025 New Year’s

1/20/2025 Birthday of Dr. Martin Luther King, Jr.

Incentives*

Pack & Bundle Fee Discounts: Upon meeting all obligations in Quoting Bucket 1, 2, or 3, as determined 

by the Exchange, participants will receive a $0.08 discount on all pack and bundle trading in the Product.

Non-Pack & Bundle Fee Discounts: Upon meeting all obligations in Quoting Bucket 1, 2, or 3, as 

determined by the Exchange, participants will receive a $0.06 discount on all non-pack and bundle 

trading in the Product. Fee discounts will be earned based on trading of packs and bundles in the Green 

Packs and beyond. Fee discounts will be calculated in accordance with the Fee Discount Multiplier 

Schedule table below.

Fee Discount Multiplier Schedule*

Product Fee Discount Credits

(Per Leg)

Green Packs / 3Y Bundles 7 fee credits (per leg)

Blue Packs and beyond / 4Y & 

5Y Bundles

15 fee credits (per leg)

*In the case of applicable spread types that span multiple color years the color year of the longest component of the 

spread will determine the multiplier to be applied.

Fee Credits: Upon meeting all obligations in Quoting Bucket 4, as determined by the Exchange, 

participants will receive a fee credit of $0.20 per side per leg on pack and bundle volume in the Product. 

Fee credits will be capped at $15,000 $10,000 per month, per participant. 

*Credits earned in a given month must be applied to SR3 volumes traded in the designated market 

making accounts in that same month. Unused credits in a given month do not carry over to the following 

month.

**Participants are not eligible to receive the $0.05 back-month discount on Golds and beyond.

Monitoring and Termination of Status

The Exchange shall monitor trading activity and participants’ performance and shall retain the right to 

revoke participant status if it concludes from review that a participant no longer meets the requirements of 

the Program. 
If the Exchange determines that a participant has not met its quoting obligations during one (1) two (2)

calendar months over the course of the Program but is within twenty percent (20%) of the time-in-market 

obligations, the participant will be eligible to receive the incentives for that each applicable month.

If the Exchange determines that a participant has not met its quoting obligations during an additional 

calendar month, the participant will be eligible to receive all incentives for that applicable month. 

Participants must meet quoting obligations for all subsequent months in order to continue to receive the 

incentives.

Upon utilizing the exceptions set forth above, participants that fail to meet quoting obligations in any 

additional month may be removed from the Program.