SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-162

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 04/05/23 Filing Description: Amendments to Rule 48X02.C. 

(“Price Increments”) of the Euro Short-Term Rate (€STR), RepoFunds Rate (Germany) and 

RepoFunds Rate (Italy) 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: See filing.

Rule Numbers: CME Chapter 480, 482, and 484
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

April 5, 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 Rule 48X02.C. (“Price 

Increments”) of the Euro Short-Term Rate (€STR), RepoFunds Rate (Germany) and 

RepoFunds Rate (Italy) Futures Contracts.

CME Submission No. 23-162

Dear Mr. Kirkpatrick:

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

(“CFTC” or “Commission”) amendments to Rule 48X02.C. (“Price Increments”) of the Euro Short-Term Rate (€STR), 

RepoFunds Rate (Germany) and RepoFunds Rate (Italy) Futures contracts (“the Contracts”) for trading on the CME 

Globex electronic trading platform (“CME Globex”) and for submission for clearing via CME ClearPort as noted in Table 

1. below effective Sunday, April 23, 2023, for trade date Monday, April 24, 2023. 

Table 1.

Contract Title Commodity

Code

Rulebook

Chapter

Current

Minimum Price 

Fluctuation Eligibility

Amended

Minimum Price 

Fluctuation Eligibility

Euro ShortTerm Rate 

(€STR) Futures

ESR 480

0.00125 Index points, equal 

to €3.125 per contract for 

any contract month with 

one (1) month or less until 

its termination of trading

0.0025 Index points, equal 

to €6.25 per contract, for 

any contract month with two 

(2) months or less until its 

termination of trading

0.005 Index points for all 

other contract months, 

equal to €12.50 per 

contract

0.00125 Index points, 

equal to €3.125 per 

contract for any contract 

month with one (1) 

month or less until its 

termination of trading

0.0025 Index points, 

equal to €6.25 per 

contract, for any contract 

month with four (4) 

months or less until its 

termination of trading

0.005 Index points for all 

other contract months, 

equal to €12.50 per 

contract

RepoFunds 

Rate (Germany) 

Futures

RFD 482

RepoFunds

Rate (Italy) 

Futures

RFI 484

Specifically, effective for trade date Monday, April 24, 2023, the Exchange will:

• Amend the minimum price fluctuation for trading on the CME Globex electronic trading platform (“CME 

Globex”) and for submission for clearing via CME ClearPort such that the Contracts’ minimum price fluctuation 

shall be reduced from 0.005 Index points to 0.0025 Index points for any listed contract month with four (4) 

months or less until such month’s termination of trading. 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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• Implement clarification amendments to Rule 48X02.C. of the Contracts to specify that the 0.005 Index points 

(“half tick”) to 0.0025 Index points (“quarter tick”) will occur on the Business Day following the Friday prior to 

the third Wednesday of the fourth month preceding the month in which trading in such contract terminates, 

and that the change from quarter tick to 0.00125 Index points (“eighth tick”) will occur on the Business Day 

following the Friday prior to the third Wednesday of the first month preceding the month in which trading in 

such contract terminates (collectively, the “Rule Amendments”).

As a result of the Rule Amendments and also effective on trade date April 24, 2023, the Exchange will enable implied 

trading functionality between the Contracts and Three-Month SOFR Futures contract (Commodity Code: SR3; 

Rulebook Chapter: 460) for contract months with aligned minimum price fluctuation increments for trading on CME 

Globex. 

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: 

• Daily Publication of Trading Information: CME will continue to publish contract trading volumes, open 

interest levels, and price information daily on its website.

• Execution of Transactions: The Exchange will continue to provide a competitive, open, and efficient market 

and mechanism for executing transactions that protects the price discovery process of trading the Contract.

• Availability of General Information: The Exchange will release a Special Executive Report (“SER”)

regarding the Rule Amendments to ensure notification to market participants. The SER will also be posted on 

the CME Group website.

• Prevention of Market Disruption: Trading in the Contracts will continue to be subject to the rules of the 

Exchange, which include prohibitions on manipulation, price distortion, and disruption to the cash settlement 

process.

• Compliance with Rules: The Exchange will continue its normal practice to establish, monitor, and enforce 

compliance with the rules of the Contracts, including the Rule Amendments.

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

Attachment: Appendix A - Amendments to CME Rulebook Chapters 480, 482, and 484 (blackline format)
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Appendix A 

CME Rulebook

(additions underscored; deletions overstruck)

Chapter 480

Euro Short-Term Rate (€STR) Futures 

***

48002. TRADING SPECIFICATIONS

***

48002.C. Price Increments

Contract prices shall be quoted in terms of the IMM Index, 100.0000 minus interest rate per annum 

correspondent to €STR during the contract delivery month, as specified in Rule 48002.B. 

Example: If €STR is 2.0275 percent per annum, it shall be quoted as an IMM Index value of 97.9725. 

The minimum price fluctuation shall be 0.00125 for the first nearby contract closest to final expiry, equal 

to €3.125 per contract; 0.0025 for the second nearby contract that is second closest to final expiry, equal 

to €6.25 per contract; and 0.005 for all other contracts, equal to €12.50 per contract. 

The minimum price fluctuation shall be 0.005 Index points, equal to €12.50 per contract, provided that the 

minimum price fluctuation shall be 0.0025 Index points, equal to €6.25 per contract, for any contract month 

with four months or less until its termination of trading, where the applicable four-month interval shall be 

defined so as to begin on the Business Day following the Friday prior to the third Wednesday of the fourth 

month preceding the contract month in which trading in such contract terminates, provided that the 

minimum price fluctuation shall be 0.00125 Index points, equal to €3.125 per contract, for any contract 

month with one month or less until its termination of trading, where the applicable one month interval shall 

be defined so as to begin on the Business Day following the Friday prior to the third Wednesday of the 

first month preceding the contract month in which trading in such contract terminates.

[Remainder of Rule Unchanged.]

Chapter 482

RepoFunds Rate (Germany) Futures

***

48202. TRADING SPECIFICATIONS

***

48202.C. Price Increments

Contract prices shall be quoted in terms of the IMM Index, 100.0000 minus interest rate per annum 

correspondent to RFR Germany during the contract delivery month, as specified in Rule 48202.B. 

Example: If RFR Germany is 2.0275 percent per annum, it shall be quoted as an IMM Index 

value of 97.9725. 

The minimum price fluctuation shall be 0.00125 for the first nearby contract closest to final expiry, equal 

to €3.125 per contract; 0.0025 for the second nearby contract that is second closest to final expiry, equal 

to €6.25 per contract; and 0.005 for all other contracts, equal to €12.50 per contract. 

The minimum price fluctuation shall be 0.005 Index points, equal to €12.50 per contract, provided that the 

minimum price fluctuation shall be 0.0025 Index points, equal to €6.25 per contract, for any contract month 

with four months or less until its termination of trading, where the applicable four-month interval shall be 

defined so as to begin on the Business Day following the Friday prior to the third Wednesday of the fourth 

month preceding the contract month in which trading in such contract terminates, provided that the 

minimum price fluctuation shall be 0.00125 Index points, equal to €3.125 per contract, for any contract 

month with one month or less until its termination of trading, where the applicable one month interval shall 
4

be defined so as to begin on the Business Day following the Friday prior to the third Wednesday of the 

first month preceding the contract month in which trading in such contract terminates.

[Remainder of Rule Unchanged.]

Chapter 484

RepoFunds Rate (Italy) Futures

***

48402. TRADING SPECIFICATIONS

***

48402.C. Price Increments

Contract prices shall be quoted in terms of the IMM Index, 100.0000 minus interest rate per annum 

correspondent to RFR Italy during the contract delivery month, as specified in Rule 48402.B. 

Example: If RFR Italy is 2.0275 percent per annum, it shall be quoted as an IMM Index value of 

97.9725. 

The minimum price fluctuation shall be 0.00125 for the first nearby contract closest to final expiry, equal 

to €3.125 per contract; 0.0025 for the second nearby contract that is second closest to final expiry, equal 

to €6.25 per contract; and 0.005 for all other contracts, equal to €12.50 per contract. 

The minimum price fluctuation shall be 0.005 Index points, equal to €12.50 per contract, provided that the 

minimum price fluctuation shall be 0.0025 Index points, equal to €6.25 per contract, for any contract month 

with four months or less until its termination of trading, where the applicable four-month interval shall be 

defined so as to begin on the Business Day following the Friday prior to the third Wednesday of the fourth 

month preceding the contract month in which trading in such contract terminates, provided that the 

minimum price fluctuation shall be 0.00125 Index points, equal to €3.125 per contract, for any contract 

month with one month or less until its termination of trading, where the applicable one month interval shall 

be defined so as to begin on the Business Day following the Friday prior to the third Wednesday of the 

first month preceding the contract month in which trading in such contract terminates.

[Remainder of Rule Unchanged.]