SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-320

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): July 17, 2023 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: 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

July 17, 2023

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. 23-320

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 August 1, 2023. 

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. 23-320 in any related correspondence.

Sincerely,

/s/ Christopher Bowen

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 specific deferred 

month shorter-dated Eurodollar and SOFR packs and bundles and their related Eurodollar and SOFR

futures contracts which are at present less liquid by comparison with the broader complex. Increased 

liquidity in these contracts benefits the entire marketplace.

Product Scope

Eurodollar (“ED”) and Three-Month SOFR Futures (“SR3”) Pack and Bundle Futures contracts traded on

the CME Globex® Platform , with the exception of ED and SR3 legs resulting from SED intercommodity 

spread transactions (“Products”).

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 the SOFR Futures 

Market Maker Program and met the fee waiver 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 Products or related markets, previous experience in trading

and market making in the Product of deferred Eurodollar and Three-Month SOFR contracts, and the 

ability to commit to and maintain continuous two-sided markets in the Products.

Program Term

Start date is January 1, 2015. End date is July 31, 2023 January 31, 2024.

Hours

7:00AM 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 65% 60% of the applicable trading session each 

month.
Bucket 1 – ED

Instrument Max Spread Contracts

3-Year Bundle 0.75 15

4-Year Bundle 1.00 10

5-Year Bundle 1.00 5

Green Pack 1.00 25

Blue Pack 1.00 15

Gold Pack 1.50 10

Bucket 2 – ED

Instrument Max Spread Contracts

3-Year Bundle 0.75 20

4-Year Bundle 1.00 15

5-Year Bundle 1.00 15

Bucket 3 – ED

Instrument Max Spread Contracts

Green Pack 1.00 35

Blue Pack 1.00 35

Green/Blue 0.75 50

Blue/Gold 1.00 50

Bucket 4 – SR3

Instrument Max Spread Contracts

3-Year Bundle 0.75 15

4-Year Bundle 0.75 10

5-Year Bundle 1.00 5

Green Pack 0.75 25

Blue Pack 1.00 15

Gold Pack 1.25 10

Bucket 5 – SR3

Instrument Max Spread Contracts

Green Pack 0.75 35

Blue Pack 1.00 35

Gold Pack 1.25 15

Green/Blue 0.75 50

Blue/Gold 1.00 50

Bucket 6 – SR3

Instrument Max Spread Contracts

3-Year Bundle 0.75 20

4-Year Bundle 0.75 15

5-Year Bundle 1.00 15
Bucket 7 – SR3

Instrument Max Spread Contracts

White Pack 1.00 20

1

st Deferred White Pack 1.00 10

2

nd Deferred White Pack 1.00 10

Red Pack 1.00 20

1

st Deferred Red Pack 1.00 10

Green Pack 1.00 15

Red 2-Year Bundle 1.00 15

Green 2-Year Bundle 1.00 15

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 120 180 or

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

across all Quoting Buckets. Participants will be given notice that the Extreme Events Clause has taken 

effect.

(i) Bid/Ask Spread: Increased by 2X 1.5X, rounded to the nearest valid tick increment

If 2-Year Treasury (Yield) 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

2/20/2023 Presidents’ Day

4/7/2023 Good Friday

4/10/2023 Easter Monday

5/29/2023 Memorial Day

6/19/2023 Juneteenth

7/4/2023 Independence Day

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.

Incentives

ED Fee Discounts: Upon meeting all quoting obligations in one (1) ED Bucket, as determined by the 

Exchange, participants will receive a $0.08 discount on fees for applicable volume traded in ED.

SR3 Pack & Bundle Fee Discounts: Upon meeting all quoting obligations in one (1) SR3 Bucket 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 fees for applicable volume traded in SR3.

ED Fee Credits: Upon meeting all quoting obligations in one (1) ED Bucket, as determined by the 

Exchange, participants will receive fee credits which may be applied to certain fees incurred from other 

Eurodollar futures volume traded in the same month. Fee credits will have a value of $0.06 each. Only 

one (1) credit may be applied for each non-Pack and Bundle Eurodollar Future traded. Fee credits will be 

calculated in accordance with the Fee Credit Multiplier Schedule table below.

SR3 Fee Credits: Upon meeting all quoting obligations in one (1) SR3 Bucket of Buckets 4 – 6, as 

determined by the Exchange, participants will receive fee credits which may be applied to certain fees 

incurred from other Three-Month SOFR futures volume traded in the same month. Fee credits will have a 

value of $0.06 each. Only one (1) credit may be applied for each non-Pack and Bundle Three-Month 

SOFR Future traded. Fee credits will be calculated in accordance with the Fee Credit Multiplier Schedule 

table below.
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 Credit Discount Multiplier Schedule*

Year Bracket of Contract 

Expiration Month

Product

Fee Discount Credits/Leg

(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.

Additional SR3 Fee Credits: Upon meeting all quoting obligations in SR3 Bucket 7 Quoting Bucket 4, as 

determined by the Exchange, participants will receive a fee credit of $0.20 per side per leg on SOFR pack 

& and bundle volume in the Product. Fee credits will be capped at $15,000 per month, per participant. 

*ED and SR3 legs resulting from SED intercommodity spread transactions are excluded from receiving

incentives.

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 a one (1) calendar 

month 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 applicable month. Participants 

will receive one (1) such leniency for ED and one (1) such leniency for SR3.

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 will receive one (1) such leniency for ED and one (1) such leniency for SR3. 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.