SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-536

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 SOFR Swap Futures Contracts to Provide Clarification Regarding 

Effective Dates

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

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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 Effective 

Dates.

CBOT Submission No. 23-536

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 the Eris SOFR Swap Futures and MAC 

SOFR Swap Futures contracts as noted in Table 1. below effective on Tuesday, January 9, 2024 for trade 

date Wednesday, January 10, 2024.

Specifically, CBOT will amend: Rule 62101.A.6. (“Effective Dates”) of the Eris SOFR Swap Futures 

contracts, and 63101.A.3. (“IRS Effective Date”), 63101.B. (“Physical Delivery”), 63102.F. (“Termination of 

Trading”), and 63103. (“Date of Delivery””) of the MAC SOFR Swap Futures contracts. In addition, effective 

immediately and until Tuesday, January 9, 2024 for trade date January 10, 2024, the Exchange will 

temporarily suspend trading and clearing of the June 2024 contract month of the Contracts (collectively, 

the “Rule Amendments”). There is no open interest in the June 2024 contract month of the Contracts. 

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

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20-Year Eris SOFR Swap Futures YIO 62

30-Year Eris SOFR Swap Futures YIE 62

2-Year MAC SOFR Swap Futures T1S 63

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

The Contracts are structured with an effective date aligning with the quarterly International Monetary Market

(“IMM”) dates, traditionally defined as the 3rd Wednesday of each quarterly month (March, June, 

September, December). In order to account for a holiday which may fall on an IMM date, the International 

Swaps and Derivatives Association (“ISDA”) issued guidance specifying that IMM swaps should commence 

on the following business if the IMM date is a holiday. The Rule Amendments are intended to align the 

Contracts with the dynamics of the OTC swap market. CBOT shall utilize the US Government Securities 

Business Day calendar as it most closely aligns with market expectations for the OTC interest rate derivative 

market.

Notably, in June 2024, the 3rd Wednesday, June 19, 2024, coincides with Juneteenth, a U.S. federal 

holiday. In this instance, the effective date will change to Thursday, June 20, 2024, which adheres by the 

guidance set by ISDA. The suspension of trading and clearing of the June 2024 contract month and the

Rule Amendments ensure alignment of the Contracts with the OTC IMM swap.

Appendix A and Appendix B provide amendments to CBOT Chapter 62 and 63, respectively, 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

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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

Attachments: Appendix A Amendments to CBOT Rulebook 62 (blackline format)

Appendix B Amendments to CBOT Rulebook 63 (blackline format)
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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, unless such Wednesday is not a US Government Securities Business Day1

then it shall be the next US Government Securities Business Day)

[Remainder of Rule unchanged.]

1 A US Government Securities Business Day is defined as follows: 2021 ISDA Interest Rate Derivatives Definitions (“2021 

Definitions”) “U.S. Government Securities Business Day” means any day except for a Saturday, Sunday or a day on which 

The Securities Industry and Financial Markets Association (or a successor) recommends that the fixed income departments 

of its members be closed for the entire day for the purpose of trading in U.S. government securities.
5

Appendix B

CBOT Rulebook

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.

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

Wednesday is not a US Government Securities Business Day1then 

it shall be the next US Government Securities Business Day (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 is initially listed for trading (CBOT Rule 

63102.).

13. Fixed Rate Day Count: Actual/360.

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

1 A US Government Securities Business Day is defined as follows: 2021 ISDA Interest Rate Derivatives Definitions (“2021 

Definitions”) “U.S. Government Securities Business Day” means any day except for a Saturday, Sunday or a day on which 

The Securities Industry and Financial Markets Association (or a successor) recommends that the fixed income departments 

of its members be closed for the entire day for the purpose of trading in U.S. government securities.
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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.

63101.B. Physical Delivery

Each individual futures contract lot that is delivered shall be an IRS Contract (CME Rule 90002.J.) that 

meets Contract Grade (CBOT Rule 63101.A.).

For an IRS Clearing Member carrying an account that is required to make or accept delivery on an expiring 

futures contract (CBOT Rules 63104.), the IRS Initial Payment Amount (CBOT Rule 63101.A.9.) due upon 

delivery (CBOT Rule 63103.) of such IRS Contract, and the Initial Amount Payer (CBOT Rule 63101.A.10.), 

shall be determined as follows:

Define P as the Final Settlement Price (CBOT Rule 812.) of an expiring futures contract, as determined by the 

Exchange at such contract’s Termination of Trading (CBOT Rule 63102.F.), where such Final Settlement Price 

is expressed in points and fractions of points, with par on the basis of 100 points (Rule 63102.C.).

1. If P is greater than 100 points, then the long IRS Clearing Member taking delivery shall pay to the 

Clearing House, and the short IRS Clearing Member making delivery shall receive from the Clearing 

House, an Initial Payment Amount equal to: 

($1,000 per point) x (P points minus 100 points) per contract.

2. Else, if P is less than or equal to 100 points, then the short IRS Clearing Member making delivery 

shall pay to the Clearing House, and the long IRS Clearing Member taking delivery shall receive from 

the Clearing House, an Initial Payment Amount equal to: 

($1,000 per point) x (100 points minus P points) per contract.

3. For each individual contract lot that is delivered, such Initial Payment Amount shall be rounded to the 

nearest cent, with half-cents rounded up to the nearest cent.

Example: For a hypothetical expiring futures contract, assume the final settlement price P is 100-205 (ie, 100 

and 20.5/32nds or 100.640625 points). On the third Wednesday of the contract Delivery Month, unless such 

Wednesday is not a US Government Securities Business Day then it shall be the next US Government 

Securities Business Day, the holder of a long futures position taking delivery (the Floating Rate Payer in the 

delivered IRS Contract) shall pay to the Clearing House an Initial Payment Amount of $640.63 per contract, 

equal to ($1,000 per point) x (100.640625 points minus 100 points), or $640.625 (CBOT Rule 63101.B.1.) 

rounded up to the nearest penny (CBOT Rule 63101.B.3.). Conversely, the holder of a short futures position 

making delivery (the Fixed Rate Payer in the delivered IRS Contract) shall receive from the Clearing House 

an Initial Payment Amount of $640.63 per contract.

63102. TRADING SPECIFICATIONS

The number of contract delivery months open for trading at a given time shall be determined by the Exchange. 

Without limitation to the foregoing, the Exchange customarily shall list for trading futures contracts for delivery 

in at least each of the two nearest months in the March-June-September-December quarterly cycle.

For a given futures contract for a given delivery month, the Exchange shall determine the value of the Fixed 

Rate that shall standardize the Contract Grade for such futures contract (CBOT Rule 63101.A.12.). The 

Exchange also shall determine whether, and when, to list for trading any additional futures contract(s) for such 

delivery month that are standardized to Fixed Rate value(s) different from the Fixed Rate value of such futures 

contract.

63102.A. Trading Schedule
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The hours of trading shall be determined by the Exchange. On the last day of trading in an expiring contract 

(CBOT Rule 63102.F.), the close of the expiring contract shall begin at 1:59 pm, and trading shall be permitted 

thereafter for a period not to exceed one minute.

63102.B. Trading Unit

The unit of trading shall be IRS Contracts that meet Contract Grade (CBOT Rule 63101.A.) having notional 

amount of one hundred thousand US dollars ($100,000) or multiples thereof.

63102.C. Price Increments

Par shall be on the basis of 100 points, with each point equal to $1,000 per contract. The minimum price 

fluctuation shall be one-half of one thirty-second (1/2 of 1/32nd) of one point (equal to $15.625 per contract), 

except for intermonth spreads for which the minimum price fluctuation shall be one-quarter of one thirty-second 

(1/4 of 1/32nd) of one point (equal to $7.8125 per contract). Contracts shall not be made on any other price 

basis.

63102.D. Special Price Fluctuation Limits

At the commencement of each trading day, the contract shall be subject to special price fluctuation limits as 

set forth in Rule 589 and in the Special Price Fluctuation Limits Table in the Interpretations & Special Notices 

Section of Chapter 5.

63102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth in 

the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special Notices 

Section of Chapter 5.

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation Department 

may grant qualified exemptions in its sole discretion.

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from 

the specified position limits.

63102.F. Termination of Trading

Trading in an expiring futures contract shall terminate no later than 2:00 pm (CBOT Rule 63102.A.) on the 

second US Government Securities Business Day London business day before the IRS Effective Date 

(CBOT Rule 63101.A.3.) third Wednesday of the contract delivery month.

63103. DATE OF DELIVERY

Subject to CBOT Rules 63104., delivery on an expiring futures contract shall be made by a short IRS Clearing 

Member, and shall be taken by a long IRS Clearing Member, on the IRS Effective Date (CBOT Rule 

63101.A.3.) third Wednesday of the futures delivery month (CBOT Rule 63102.).

[Remainder of Rule unchanged.]