SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested

Registered Entity Identifier Code (optional): 23-431

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): October 11, 2023 Filing Description: Modifications to the Eris 

Swap Futures 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: 
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

October 11, 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 Market Maker Program

CBOT Submission No. 23-431

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 Market Maker Program

(“Program”). The modifications to the Program will become effective on November 1, 2023.

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. 23-431 in any related 

correspondence.

Sincerely,

/s/ Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachment: Exhibit 1
EXHIBIT 1

Eris Swap Futures Market Maker Program

Program Purpose 

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

resulting increase in central limit order book liquidity on the CME Globex® Platform (“Globex”) benefits all 

participant segments in the market.

Product Scope

All Eris Swap Futures (“Products”).

Eligible Participants

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

CBOT members or non-members. Participants may not be enrolled in the International Incentive Program 

or International Cross-Asset Volume Incentive Program. Participants must have either: (i) an average 

daily volume (“ADV”) of at least 50 in the Products on Globex for one (1) full calendar month within six (6) 

months of entering the Program, or (ii) demonstrated the ability to meet quoting obligations in the 

Exchanges’ interest rates programs within the previous twelve (12) months prior to entering the Program.

Program Term 

Start date is February 1, 2020. End date is October 31, 2023 September 30, 2024.

Hours

Regular Trading Hours (“RTH”), 7:00AM – 4:00PM CT.

Obligations

Minimum Quoting Obligations: In order to be eligible to receive certain incentives, participants must quote 

two-sided markets in the Products on Globex at designated bid/ask spreads during a specified 

percentage of RTH in accordance with the tables below. For the Eris SOFR Quoting Tiers, p Participants 

must quote five (5) of the all seven (7) products in Tier A and three (3) five (5) of the seven (7) products in

Tier B. Notwithstanding the foregoing, the Exchange may vary the baseline quoting obligations as it 

deems necessary based on ongoing evaluations of the Program. For the Eris LIBOR Quoting Tiers,

participants must quote five (5) of the seven (7) products in both Tiers A and B, and four (4) of the seven 

(7) products in Tier C. For the Eris BSBY Quoting Tier, participants must quote all three (3) products.

Tier A Tier B

Tenor

(Years)

Product Width 

(USD)

Width

(Minimum 

Price 

Increment 

“MPI”)

Size

(Contracts)

Width 

(USD)

Width

(MPI)

Size 

(Contracts)

TimeinMarket

Time 

Period

1 YIA $10 4 1,000 $10 4 500

65% RTH

2 YIT $15 6 600 $17.50 7 400

3 YIC $25 5 500 $30 6 300
Eris SOFR Quoting Tiers

Eris LIBOR Quoting Tiers*

*Eris LIBOR will no longer be listed after the June 2023 contract month at which point these Quoting Tiers

and the associated incentives will expire.

Eris BSBY Quoting Tier

Extreme Events Clause: If the 10-Year CME Group Volatility Index (CVOL) as published on the 

Exchange’s website reaches or surpasses 115 170 for at least three (3) days in a given calendar month, 

the Exchange may increase the bid/ask spreads by 1.5X. the following obligations may be implemented 

by the Exchange. Participants will be given notice that the Extreme Events Clause has taken effect.

(i) Bid/Ask for All Instruments: Increased by 2X

(ii) Size for All Instruments: Decreased by 1X

If 10-Year CVOL reaches or surpasses 230 on any day in a given calendar month, the Exchange may 

reduce the time-in-market across all Tiers. The time-in-market reduction is subject to a floor of 20%. 

4 YID $40 4 400 $60 6 150

5

YIW $40 4 300 $40 4 150

EWV $20 2 300 $20 2 150

7

YIB $80 4 250 $120 6 100

EBN $40 4 250 $80 8 100

10 YIY $100 5 300 $120 6 75

EYT $60 6 300 $80 8 75

Tier A Tier B

Tenor

(Years)

Product Width 

(USD)

Width

(Ticks)

TimeinMarket

Time Period Minimum # of 

Contracts

Minimum # of 

Contracts

1 YIA $7.50 3

65% RTH

1,000 300

2 YIT $15 6 450 150

3 YIC $30 6 300 100

4 YID $50 5 150 75

5 YIW $60 6 150 60

7 YIB $140 7 45 45

10 YIY $180 9 30 30

Tier A Tier B Tier C

Tenor

(Years) Product Width (USD)

Width

(Ticks)

TimeinMarket

Time Period

Minimum

# of 

Contracts

Minimum

# of 

Contracts

Minimum

# of 

Contracts

2 LIT $12 6

65% RTH

1,500 300 60

3 LIC $16 8 750 125 40

4 LID $25 5 750 125 30

5 LIW $30 6 350 125 30

7 LIB $40 4 150 75 25

10 LIY $60 6 50 25 15

30 LIE $240 12 10 5 5

Tenor

(Years) Product Width (USD)

Width

(Ticks)

TimeinMarket

Time Period Minimum # of 

Contracts

1 KXA $15 6

65% RTH

300

2 KXT $27.50 11 150

3 KXC $50 10 100
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

11/11/2022 Veterans 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 Dr. 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

10/15/2023 Columbus Day

11/10/2023 Veterans 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

Incentives*

Tier A & B LIBOR Fee Waivers (CBOT Members): Upon meeting the Tier A or Tier B Eris LIBOR Quoting 

Obligations, as determined by the Exchange, participants that are CBOT members will receive transaction 

fee waivers for all LIBOR-based Eris Swap Futures traded on Globex.

Tier A & B SOFR Fee Waivers (CBOT Members): Upon meeting the Tier A or Tier B Eris SOFR Quoting

Obligations, as determined by the Exchange, participants that are CBOT members will receive transaction 

fee waivers for all SOFR-based Eris Swap Futures the Products traded on Globex.

BSBY Fee Waivers (CBOT Members): Upon meeting the Eris BSBY Quoting Obligations, as determined 

by the Exchange, participants that are CBOT members will receive transaction fee waivers for all BSBY 

Eris Swap Futures traded on Globex. 

LIBOR Fee Credits: Participants meeting the Eris LIBOR Tier A Quoting Obligations and trading over 500

ADV each month, as determined by the Exchange, will be eligible to receive fee credits. Eligible 

participants will receive $0.10 per side on all Globex ADV in the Products above 500. The fee credits will 

be capped at $2,500 per participant, per month.
SOFR Fee Credits: Participants meeting the Eris SOFR Tier A Quoting Obligations and trading over 500

100 ADV each month, as determined by the Exchange, will be eligible to receive fee credits. Eligible 

participants will receive $0.10 per side on all Globex ADV in the Products above 500 100. The fee credits 

will be capped at $17,500 $20,000 per participant, per month.

Progressive Fee Discounts: Upon meeting the Eris LIBOR Tier C Quoting Obligations, as determined by 

the Exchange, participants that are CBOT members will receive the Quoting Discounts set forth below. 

CBOT members or non-members that do not meet the respective Eris SOFR or Eris LIBOR Quoting

Obligations will receive the respective Non-Quoting Discounts set forth below. Non-member participants 

will only be eligible to receive the Non-Quoting Discounts set forth below. 

Progressive 

ADV Tier

(Sides)

Non-Quoting 

Discounts

(Per Side) –

LIBOR-based Eris

Swap Futures

Non-Quoting 

Discounts 

(Per Side)

SOFR-based 

Eris Swap 

Futures

Quoting 

Discounts

(Per Side)

0 – 50 N/A N/A N/A

51 – 250 $0.12 $0.20 $0.20

251 – 500

250 +

$0.14 $0.24 $0.25

501 – 750 $0.16 $0.24 $0.30

751 – 1,000 $0.18 $0.24 $0.35

1,001+ $0.20 $0.24 $0.45

*Eris LIBOR will no longer be listed after the June 2023 contract month at which point the incentives 

associated with the Eris LIBOR Quoting Tiers will expire.

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 two (2) calendar 

months over the course of the Program, but is within twenty percent (20%) of the time-in-market 

obligations for an individual Tier, the participant will be eligible to receive the incentives for each

applicable month for that Tier.

If the Exchange determines that a participant has not met its quoting obligations for an individual Tier

during one (1) additional calendar month, the participant will be eligible to receive the incentives for that 

applicable month for that Tier. 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.