SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested

Registered Entity Identifier Code (optional): 23-472

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): December 12, 2023 Filing Description: Modifications to the 

Eris Swap Futures Block Market Maker Program

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: Not Applicable

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

1

Timothy Elliott

Managing Director and Chief Regulatory Counsel

Legal Department

December 12, 2023

VIA ELECTRONIC PORTAL

Christopher J. Kirkpatrick 

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

RE: Modifications to the Eris Swap Futures Block Market Maker Program

CBOT Submission No. 23-472

Dear Mr. Kirkpatrick:

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

Trading Commission (“CFTC” or “Commission”) of plans to modify the Eris Swap Futures Block Market Maker

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

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

overstruck. 

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

Commodity Exchange Act (“CEA” or “Act”). During the review, CBOT 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 trading in 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 CBOT 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 CBOT rules. The Program 

is subject to the Exchange’s record retention policies which comply with the CEA. 

CBOT certifies that the 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 CBOT Submission No. 23-472 in any related 

correspondence.

Sincerely,

/s/ Timothy Elliott

Managing Director and Chief Regulatory Counsel

Attachment: Exhibit 1
EXHIBIT 1

Eris Swap Futures Block Market Maker Program

Program Purpose 

The purpose of this Program is to incent participants to build liquidity in the products listed below. A more 

liquid contract benefits all participant segments in the market.

Product Scope

All Eris Swap Futures traded on the CME Globex Platform (“Products”).

Eligible Participants

There is no limit to the number of participants that may participate in the Program. Participants must be 

CBOT members. Participants must have previously traded CME Swap Futures (either MAC Swap Futures

or Eris Swap Futures). In order to participate in the Program, participants must provide the Exchange with

block market making contact information for publication on the public market maker directory.

Program Term 

Start date is February 1, 2020. End date is December 31, 2023 December 31, 2024.

Hours

Regular Trading Hours (“RTH”), 6:30AM – 3:30PM CT.

Obligations

In order to be eligible to receive the incentives, participants must meet at least two (2) of the three (3) 

criteria below during each quarter of the Program.

(1) Active Block Trading: Participants must have block transactions of at least 500 contracts per 

quarter.

(2) Default Management: Participants must sign up to participate in Default Management for Eris 

Swap Futures. This must be confirmed in writing or by electronic mail to the Clearing House Risk 

team at least once per year. 

(3) RFQ Responses: Participants must respond to at least 50% of Globex electronic requests-forquotes (“RFQs”) for the Products with original tenors of 10-Years or less. A response is defined 

as a 2-sided quote for Eris LIBOR or Eris SOFR at the width and size requirements specified 

below and provided within 90 seconds of the RFQ. This requirement will apply during RTH, 

measured quarterly. Participants may choose to be measured on SOFR products only, or LIBOR 

and SOFR products combined.

Product

Max Width 

(LIBOR

Products in 

USD)

Max Width 

(SOFR 

Products in 

USD)

Min Size

(Contracts)

Time 

Period

2-Year $12 $20 250

RTH

3-Year $16 $25 250

4-Year $25 $30 100
5-Year $30 $40 100

7-Year $50 $60 50

10-Year $60 $80 50

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

4/15/2022 Good Friday

5/30/2022 Memorial Day

6/20/2022 Juneteenth (Observed)

7/4/2022 Independence Day

9/5/2022 Labor Day

10/10/2022 Columbus Day

11/11/2022 Veteran’s Day

11/24/2022 Thanksgiving

11/25/2022 Post-Thanksgiving

12/26/2022 Christmas (Observed)

1/2/2023 New Year’s (Observed)

1/16/2023 Birthday of Martin Luther King, Jr.

2/20/2023 Presidents’ Day

4/7/2023 Good Friday

5/29/2023 Memorial Day

6/19/2023 Juneteenth

7/4/2023 Independence Day

9/4/2023 Labor Day

10/9/2023 Columbus Day

11/10/2023 Veteran’s Day

11/23/2023 Thanksgiving

11/24/2023 Post-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

12/25/2024 Christmas

Incentives

Maintenance Fee Waivers: Upon meeting the obligations per quarter, as determined by the Exchange, 

participants will receive maintenance fee waivers for the Products during the current quarter and the 

following quarter. Participants are eligible to receive maintenance fee waivers through December 31,

2023 2024. 
Maintenance Fee Discounts: Upon meeting the obligations for at least two (2) quarters since beginning

January 2021 2024, as determined by the Exchange, participants will receive maintenance fee discounts

of 80% through December 31, 2023 2024.

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 RFQ Responses obligation during 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 each applicable month.

If the Exchange determines that a participant has not met its RFQ Responses obligation during one (1) 

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

month. Excluding the aforementioned time-in-market leniency, participants must meet the obligations for 

all subsequent months in order to continue to receive the incentives.