SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-485

Organization: The Board of Trade of the City of Chicago, Inc. (“CBOT”)

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 12/22/23 Filing Description: Amendments to the Eris SOFR Swap 

Futures and MAC Swap Futures Contracts to Provide Clarification Regarding Recalibration 

Process in Connection with Fixed Rates

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

1

Timothy Elliott

Managing Director and Chief Regulatory Counsel

Legal Department

December 22, 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 Eris SOFR Swap Futures 

and MAC SOFR Swap Futures Contracts to Provide Clarification Regarding 

Recalibration Process in Connection with Fixed Rates.

CBOT Submission No. 23-485

Dear Mr. Kirkpatrick:

The Board of Trade of the City of Chicago, Inc. (“CBOT” or “Exchange”) certifies to the Commodity Futures 

Trading Commission (“CFTC” or “Commission”) amendments to Rule 62101.A.7. and Rule 63101.A.12.

(“Fixed Rate”) of the Eris SOFR Swap Futures contracts and the Eris SOFR Futures contracts, respectively,

as noted in Table 1. below, respectively, (collectively the “Contracts”) effective on January 10, 2024

(collectively, the “Rule Amendments”).

Table 1.

Contract Title Commodity 

Code Rulebook Chapter

1-Year Eris SOFR Swap Futures YIA 62

2-Year Eris SOFR Swap Futures YIT 62

3-Year Eris SOFR Swap Futures YIC 62

4-Year Eris SOFR Swap Futures YID 62

5-Year Eris SOFR Swap Futures YIW 62

7-Year Eris SOFR Swap Futures YIB 62

10-Year Eris SOFR Swap Futures YIY 62

12-Year Eris SOFR Swap Futures YII 62

15-Year Eris SOFR Swap Futures YIL 62

20-Year Eris SOFR Swap Futures YIO 62

30-Year Eris SOFR Swap Futures YIE 62

2-Year MAC SOFR Swap Futures T1S 63
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

2

5-Year MAC SOFR Swap Futures F1S 63

7-Year MAC SOFR Swap Futures S1S 63

10-Year MAC SOFR Swap Futures N1S 63

20-Year MAC SOFR Swap Futures E1S 63

30-Year MAC SOFR Swap Futures B1S 63

Background

Following publication, the Exchange administers two (2) evaluation checkpoints in connection with Market 

Agreed Coupon (“MAC”) rates of the Contracts. The first evaluation occurs approximately three (3) months 

after the initial publication, while the second takes place approximately five (5) months after the initial 

publication. During each review, every MAC rate is assessed for its alignment with the prevailing market 

level of par fixed rates on the corresponding forward-starting interest rate swap. According to the CME 

Process for Publishing MAC Rates, in the course of regular assessments, if a MAC rate in a cohort deviates 

by 100 basis points or more from the market values of par fixed rates for the corresponding forward-starting 

interest rate swap for a duration of two (2) weeks or more, updated values will be calculated and 

disseminated for all MAC rates in that cohort. 

Proposal

The Exchange is implementing the Rule Amendments to provide market participants with enhanced 

certainty regarding the MAC rates in connection with the Contracts. The Rule Amendments are designed 

to clearly outline the process that the Exchange follows when the applicable MAC rates are recalibrated. 

Such coupon rate amendments shall only apply to the particular contract month with no open interest. The 

Exchange shall immediately notify the market of such MAC rate change.

Appendix A below provides the Rule Amendments 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:

Availability of General Information: The Exchange shall disseminate a Special Executive Report 

(“SER”) regarding the Rule Amendments. The SER will also be posted on the CME Group website.

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

Amendments comply with the Act, including regulations under the Act. 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.
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

3

Should you have any questions concerning the above, please contact the undersigned at (312) 466-7478

or CMEGSubmissionInquiry@cmegroup.com. 

 

Sincerely,

 /s/ Timothy Elliott

 Managing Director and Chief Regulatory Counsel

Attachment: Appendix A Amendments to CBOT Rulebook Chapters 62 and 63 (blackline format)
4

Appendix A

CBOT Rulebook

Chapter 62

Eris SOFR Swap Futures

(additions underscored)

***

62101. CONTRACT SPECIFICATIONS

62101.A Contract Structure

$100,000 (U.S. dollar) notional principal whose value is based upon the difference between a stream of 

annual fixed interest payments and a stream of annual floating interest payments based on a daily 

compounded Secure Overnight Financing Rate (SOFR) fixing. The contract structure is subject to the 

following contract elections:

1. Long Futures Position Holder: Fixed Rate Receiver, Floating Rate Payer

2. Short Futures Position Holder: Fixed Rate Payer, Floating Rate Receiver

3. Underlying Swap Tenors: 1-Year, 2-Year, 3-Year, 4-Year, 5-Year, 7-Year, 10-Year, 12-Year, 

15-Year, 20-Year, 30-Year

4. Currency: US Dollars

5. Notional Amount: $100,000

6. Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, 

December)

7. Fixed Rate: Futures contract fixed interest rate set by the Exchange at an integer multiple of 25 

basis points (i.e., one quarter of one percent) per annum when such futures contract month is 

initially listed for trading. The Exchange shall utilize the Market Agreed Coupon (MAC) 

standardized rate which is calculated and administered by the Exchange as noted HERE. 

Should the relevant MAC rate be recalibrated, the Exchange may amend the fixed rate 

according to market convention, provided that no position holder is adversely impacted 

by such amendment.

[Remainder of Rule unchanged.]

Chapter 63

MAC SOFR Swap Futures

(additions underscored)

***

63101. CONTRACT SPECIFICATIONS

63101.A. Contract Grade

The contract grade for delivery on expiring futures made under these Rules shall be an Interest Rate Swap 

Contract (“IRS Contract” per CME Rule 90002.J.) that is accepted for clearing by the Clearing House (CME 

Rulebook Chapters 8F, 8G, 900, and 901) and that is subject to the following Contract Elections (CME Rule 

90002.F.):

 1. Fixed Rate Payer: Subject to CBOT Rules 63104., an account required to deliver on a short 

position in such expiring futures contract shall be the Fixed Rate Payer to 

the Clearing House. Where such account is required to accept delivery 

on a long position in such expiring futures contract, the Clearing House 

shall be the Fixed Rate Payer to such account.

 2. Floating Rate Payer: Subject to CBOT Rules 63104., an account required to accept delivery 

on a long position in such expiring futures contract shall be the Floating 

Rate Payer to the Clearing House. Where such account is required to 

deliver on a short position in such expiring futures contract, the Clearing 

House shall be the Floating Rate Payer to such account.
5

3. IRS Effective Date: Third (3rd) Wednesday of futures contract delivery month

(CBOT Rules 63102. and 63103.A.).

4. Currency: US dollars (CME Rule 90102.B.).

5. Notional Amount: $100,000.

6. Business Day(s): New York

7. Business Day Convention: Modified Following.

8. Termination Date: Anniversary of the IRS Effective Date as determined by the contract

tenor. (CBOT Rule 63101.A.3.).

9. Initial Payment Amount: See CBOT Rule 63101.B.

10. Initial Amount Payer: See CBOT Rule 63101.B.

11. Fixed Rate Payment Dates: Annually from IRS Effective Date (CBOT Rule 63101.A.3.) subject to 

CBOT Rules 63101.A.6. and 63101.A.7. 

12. Fixed Rate: Futures contract fixed interest rate set by the Exchange at an integer 

multiple of 25 basis points (ie, one quarter of one percent) per annum 

when such futures contract month is initially listed for trading. The 

Exchange shall utilize the Market Agreed Coupon (MAC) 

standardized rate which is calculated and administered by the 

Exchange as noted HERE. Should the relevant MAC rate be 

recalibrated, the Exchange may amend the fixed rate according to 

market convention, provided that no position holder is adversely 

impacted by such amendment.

13. Fixed Rate Day Count: Actual/360.

14. Floating Rate Payment Dates: Annually from IRS Effective Date (CBOT Rule 

63101.A.3.) subject to CBOT Rules 63101.A.6. and 63101.A.7. 

15. Floating Rate Option: USD-SOFR-COMPOUND

(CME Rule 90102.E.1.).

16. Designated Maturity: Overnight

17. Floating Rate Day Count: Actual/360.

18. Spread: None.

19. Compounding: Daily.

[Remainder of Rule unchanged.]