SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested

Registered Entity Identifier Code (optional): 23-142

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 03/23/23 Filing Description: Increase of Single Month Position 

Limit for the Russell 2000 Annual Dividend Index Futures Contract

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

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: See filing.

Rule Numbers: See filing.
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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Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

March 23, 2023

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

Re: CFTC Regulation 40.6(a) Certification. Increase of Single Month Position Limit for 

the Russell 2000 Annual Dividend Index Futures Contract. 

CME Submission No. 23-142

Dear Mr. Kirkpatrick:

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

Commission (“CFTC” or the “Commission”) an increase of the single month position limit for the Russell 

2000 Annual Dividend Index Futures contract (the “Contract”), effective close of business on April 7, 2023

commencing with the December 2023 contract month and beyond months (all contract months) as more 

specifically described in the table below. 

Contract Title

CME Globex

And

CME ClearPort 

Code

Rulebook

Chapter

Current Single 

Month Position 

Limit

Increased Single 

Month Position 

Limit

Russell 2000 Annual Dividend 

Index Futures RDA 399 8,400 contracts 24,000 contracts

The Position Limit, Position Accountability and Reportable Level Table and Header Notes located in the 

Interpretations and Special Notices Section of Chapter 5 of the CME Rulebook (the “Table”) will be 

amended to reflect the increased single month position limit of the Contract. Exhibit A reflects the 

amendments to the Table (collectively, the “Rule Amendments”). Exhibit A is provided in blackline format 

under separate cover.

Exhibit B provides updated information regarding the Contract’s cash market overview.

In March 2020, position limits for the S&P 500 Annual Dividend Index Futures and S&P 500 Quarterly 

Dividend Index Futures contracts were increased in accordance with their underlying contract at the time, 

S&P 500 Index Futures. The S&P 500 Index Futures contract was delisted in September 2021, turning the 

E-mini S&P 500 Index Futures contract into the underlying contract for the two S&P Dividend Futures 

contracts. The current single month limit for the S&P 500 Annual Dividend Index Futures contract is 60,000 

and represents 20% of the underlying contract, which has an all month limit of 300,000. 

At present, Russell 2000 Annual Dividend Index Futures are sufficiently established, and patterns of trade 

and other characteristics of the supporting liquidity pools are sufficiently familiar and well understood.
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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The Exchange reviewed the designated contract market core principles (“Core Principles”) as set forth in 

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

the following Core Principles:

Contracts Not Readily Subject to Manipulation: The Contract is not readily subject to 

manipulation due to the deep liquidity and robustness in the underlying cash and futures markets, 

which provides diverse participation and are based on liquid futures contract months. The Contract 

is not readily subject to manipulation as: 

(1) There is no underlying market in which to trade the Annual Index, nor its respective 

component dividends per se;

(2) Although it is possible that a single actor could manipulate the dividend policy of a Russell 

2000 index constituent corporation, the possibility is remote because such dividend policy 

is implemented as an action by the board of directors of such corporation, not as an action 

of such single actor; and

(3) Furthermore, given the Russell 2000 Index is comprised of 2000 or so constituent 

companies, the impact of dividend upon the underlying dividend indexes would likely not 

be material.

To ensure that the Contract is not readily susceptible to manipulation, the Exchange shall continue 

to implement the following three prudential measures:

(a) Targeted trading prohibitions shall apply to “any person who is a director or officer...of a 

corporation that is a constituent of the...index” and to “any person who is in possession of 

material non-public information relating to ordinary cash dividends of a constituent 

corporation of the...index...” (See CME Rules 39902.J., 39902.K., 40002.J. and 40002.K)

(b) A large trader reporting threshold of one (1) contract shall apply to the Contract, in addition 

to a Single-Month Position Limit of 24,000 contracts for RDA futures. This represents 20% 

of the existing E-mini Russell 2000 Index Futures all month limit of 120,000. 

(c) The Exchange shall maintain a Market Regulation department to identify potential illegal 

insider trading in the Contract.

Position Limitations or Accountability: The speculative position limits for the Contract as 

demonstrated in this submission are consistent with the Commission’s guidance. The Single-Month 

Position Limit for the Contract shall be amended from 8,400 contracts to 24,000 net futures contract 

equivalents. 

Prevention of Market Disruption: Trading in the Contract shall be subject to CME Rulebook 

Chapters 4 which includes prohibitions on manipulation, price distortion, and disruption to the 

expiration process. Trading activity in the Contract shall be subject to monitoring and surveillance 

by the Exchange’s Market Regulation Department.

Availability of General Information: The Exchange will make publicly available the details of the 

single and all month position limit increases by publishing a Market Surveillance Notice (“MSN”) to 

the market. The MSN will also be available on CME Group’s website.

The Exchange certifies that the Rule Amendments comply with the Act and regulations thereunder. There 

were no opposing views to the amendments to Chapter 5.
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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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.

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

via e-mail at CMEGSubmissionInquiry@cmegroup.com.

Sincerely,

/s/ Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachments: Exhibit A – Amendments to CME Rulebook Chapter 5 Position Limit, Position

 Accountability, and Reportable Level Table (attached under separate cover)

Exhibit B – Cash Market Overview
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Exhibit A

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability, and Reportable Level Table

(attached under separate cover)
4

Exhibit B

Cash Market Overview

The Russell 2000 Dividend Index (“R2000DIV”) represents the total dividends paid by the stocks of 

companies included in the Russell 2000 Index (“RUT”).1

The Index is reset to zero once a year in connection with the derivatives expiration in December (3rd Friday 

of a given December to close of business on the 3rd Friday of the following December).

The Index is calculated using the following formula:

It =

∑ qi,t ∗ di,t

n

i=1

Index Divisort

+ It−1

It = Index level at time (t) 

qi,t = Number of shares of company (i) applied in the RUT Index at time (t) 

di,t = Ordinary dividend per share for company (i) with Ex-date at time (t)

Index Divisor = The divisor for RUT Index at time (t)

The Russell 2000 Dividend Index is administered and calculated by FTSE International Limited (FTSE).2

Russell 2000 Annual Dividend Index Futures (“RDA Futures”) are expected to trade similarly to the S&P 

500 Annual Dividend Index Futures (“SDA Futures”). Below are charts of both the Standard & Poor's 500®

Annual Dividend Index (Bloomberg ticker: “SPXDIVAN”), as it grows through the year and resets in 

December, and the SDA Futures predicated on that final print. Not surprisingly, the prices converge at year 

end as the actual dividends get paid to meet with the expected sum of dividends that the Futures price 

represents. 

Sources: Bloomberg, CME Group

The RDA Futures contract is based on similarly designed indices wherein the saw-tooth pattern will appear. 

The prices of Futures contracts on the saw-tooth indices are expected to behave like the SDA Futures. The 

1 https://research.ftserussell.com/products/downloads/Russell_2000_Dividend_Index_Ground_Rules.pdf

2 https://research.ftserussell.com/products/downloads/Russell-US-indexes.pdf?223

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80

1/2/20203/2/20205/2/20207/2/20209/2/2020

11/2/2020

1/2/20213/2/20215/2/20217/2/20219/2/2021

11/2/2021

1/2/20223/2/20225/2/20227/2/20229/2/2022

11/2/2022

1/2/20233/2/2023

Price

SPXDIVAN Index SDA Futures
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chart below represents the Russell 2000 Annual Dividend Index across the same period shown above for 

the S&P 500 Dividend Index, in addition to the price for the RDA Futures contract, which was launched in 

2022.

Sources: Bloomberg, CME Group

Furthermore, the below chart of the rolling 20-day correlation between the S&P Annual Dividend Index and 

the Russell 2000 Annual Dividend Index exhibits the positive correlation between the two indexes. Over the 

entire time period, between January 2020 and March 2023, the correlation between the two indexes is 0.98. 

Source: Bloomberg

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Price

R2000DIV Index RDA Futures

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Correlation

Rolling 20-Day Correlation (R2000DIV vs SPXDIVAN)
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Expiring RDA futures contracts shall be for delivery by cash settlement with reference to the Russell 2000 

Annual Dividend Index.

FTSE and Russell Indexes are covered by Section 20.3 – Regulatory Standard in the License Agreement 

for Index-Related Derivative Products entered into between Frank Russell Company, FTSE International 

Limited, and Chicago Mercantile Exchange Inc. on August 1, 2015.

20.3. If and to the extent that CME reasonably determines that any Index Data must be submitted 

by or for CME to a Regulator or to the Intermarket Surveillance Group (“ISG”), for compliance or 

surveillance purposes, the Licensors will make such data available, provided that CME reasonably 

assists and cooperates with Licensors to limit the scope of such disclosure to the extent permissible 

and to impose and comply with all protective or similar orders and confidentiality protections that 

may be available in the circumstances. The Licensors shall also provide Index Data to the Market 

Regulation Department of CME (“Market Regulation”) as may reasonably be needed by Market 

Regulation for the purpose of performing regulatory compliance functions for the CME Exchanges 

or market surveillance pursuant to Applicable Law, provided that CME gives not less than ten 

Business Days’ notice (or in the event that it is not reasonably practicable for CME to give ten 

Business Days’ notice, CME shall give notice as far in advance as reasonably practicable) of its 

request for any such information.

The collective trading volume of the Russell 2000 Annual Dividend Index whose components provide the 

dividends are summarized:

Date RTY Index Volume Date RTY Index Volume

2/13/2023 453,207,393 2/28/2023 736,798,493

2/14/2023 404,914,168 3/1/2023 506,992,899

2/15/2023 427,869,484 3/2/2023 470,289,298

2/16/2023 524,646,188 3/3/2023 470,805,020

2/17/2023 508,512,071 3/6/2023 516,094,331

2/21/2023 504,648,492 3/7/2023 452,769,708

2/22/2023 512,723,432 3/8/2023 455,654,781

2/23/2023 446,463,376 3/9/2023 514,451,431

2/24/2023 465,919,541 3/10/2023 654,931,113

2/27/2023 442,076,020 3/13/2023 679,658,017