KalshiEX LLC

July 6, 2023

SUBMITTED VIA CFTC PORTAL

Secretary of the Commission

Office of the Secretariat

U.S. Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: KalshiEX LLC – CFTC Regulation 40.2(a) Notification Regarding the Initial Listing

of the “Will SOFR be <above/below/between> <count> by <date>?” Contract

Dear Sir or Madam,

Pursuant to Section 5c(c) of the Commodity Exchange Act and Section 40.2(a) of the regulations of the

Commodity Futures Trading Commission, KalshiEX LLC (Kalshi) hereby notifies the Commission that

it is self-certifying the “Will SOFR be <above/below/between> <count> by <date>?” contract (Contract).

The Exchange intends to list the contract on an annual basis. The Contract’s terms and conditions

(Appendix A) includes the following strike conditions:

● <date> (the target date)

● <count> (the target SOFR value)

● <above/below/between>

Along with this letter, Kalshi submits the following documents:

● A concise explanation and analysis of the Contract;

● Certification;

● Appendix A with the Contract’s Terms and Conditions;

● Confidential Appendices with further information; and

● A request for FOIA confidential treatment.

If you have any questions, please do not hesitate to contact me.

Sincerely,

Xavier Sottile

Head of Markets

KalshiEX LLC

xsottile@kalshi.com

KalshiEX LLC 
KalshiEX LLC

KalshiEX LLC

Official Product Name: Will SOFR be <above/below/between> <count> by <date>?

Rulebook: CREDITC

Kalshi Contract Category: Economic/Demographic Measure – U.S. Government

Credit Crunch

July 6, 2023

CONCISE EXPLANATION AND ANALYSIS OF THE PRODUCT AND ITS 

COMPLIANCE WITH APPLICABLE PROVISIONS OF THE ACT, INCLUDING CORE 

PRINCIPLES AND THE COMMISSION'S REGULATIONS THEREUNDER 

Pursuant to Commission Rule 40.2(a)(3)(v), the following is a concise explanation and analysis 

of the product and its compliance with the Act, including the relevant Core Principles, and the 

Commission's regulations thereunder. 

I. Introduction 

The “Will SOFR be <above/below/between> <count> by <date>?” Contract is a contract 

relating to credit conditions in the United States. After careful analysis, Kalshi (hereafter 

referred to as “Exchange”) has determined that the Contract complies with its vetting 

framework. 

The Secured Overnight Financing Rate (“SOFR”) is one of the key statistics calculated 

by the Federal Reserve Bank of New York that is used for billions of dollars of short-term 

loans. SOFR is one of the key benchmarks of the financial system, used to help determine 

the prevailing rate for secured, short-term loans, a roughly $1 trillion market. 1

Meanwhile, broader markets like the $4.5 trillion money market fund market have heavy 

exposure to short-term rates and are thus affected by the Secured Overnight Financing 

Rate. 2

Further information about the Contract, including an analysis of its risk mitigation and 

price basing utility, as well as additional considerations related to the Contract, is 

included in Confidential Appendices B, C, and D. 

Pursuant to Section 5c(c) of the Act and CFTC Regulations 40.2(a), the Exchange hereby 

certifies that the listing of the Contract complies with the Act and Commission 

regulations under the Act. 

2 https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2020/ARRC_Factsheet_2.pdf

1 https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2020/ARRC_Factsheet_2.pdf

KalshiEX LLC 
KalshiEX LLC

General Contract Terms and Conditions: The Contract operates similar to other event 

contracts that the Exchange lists for trading. The minimum price fluctuation is $0.01 (one 

cent). Price bands will apply so that Contracts may only be listed at values of at least 

$0.01 and at most $0.99. Further, the Contract is sized with a one-dollar notional value 

and has a minimum price fluctuation of $0.01 to enable Members to match the size of the 

contracts purchased to their economic risks. The Exchange has further imposed position 

limits (defined as maximum loss exposure) of $25,000 USD on the Contract. As outlined 

in Rule 5.12 of the Rulebook, trading shall be available at all times outside of any 

maintenance windows, which will be announced in advance by the Exchange. Members 

will be charged fees in accordance with Rule 3.6 of the Rulebook. Fees are charged in 

such amounts as may be revised from time to time to be reflected on the Exchange’s 

Website. Additionally, as outlined in Rule 7.2 of the Rulebook, if any event or any 

circumstance which may have a material impact on the reliability or transparency of a 

Contract’s Source Agency or the Underlying related to the Contract arises, Kalshi retains 

the authority to designate a new Source Agency and Underlying for that Contract and to 

change any associated Contract specifications after the first day of trading. That new 

Source Agency and Underlying would be objective and verifiable. Kalshi would 

announce any such decision on its website. All instructions on how to access the 

Underlying are non-binding and are provided for convenience only and are not part of the 

binding Terms and Conditions of the Contract. They may be clarified at any time. 

Furthermore, the Contract’s payout structure is characterized by the payment of an 

absolute amount to the holder of one side of the option and no payment to the 

counterparty. During the time that trading on the Contract is open, Members are able to 

adjust their positions and trade freely. After trading on the Contract has closed, the 

Expiration Value and Market Outcome are determined. The market is then settled by the 

Exchange, and the long position holders and short position holders are paid according to 

the Market Outcome. In this case, “long position holders” refers to Members who 

purchased the “Yes” side of the Contract and “short position holders” refers to Members 

who purchased the “No” side of the Contract. If the Market Outcome is “Yes,” meaning 

that the Secured Overnight Financing Rate is <above/below/between> <count> between 

Issuance and <date> then the long position holders are paid an absolute amount 

proportional to the size of their position and the short position holders receive no 

payment. If the Market Outcome is “No,” then the short position holders are paid an 

absolute amount proportional to the size of their position and the long position holders 

receive no payment. Specification of the circumstances that would trigger a Market 

Outcome of “Yes” are included below in the section titled “Payout Criterion” in 

Appendix A. 

KalshiEX LLC 
KalshiEX LLC

CERTIFICATIONS PURSUANT TO SECTION 5c OF THE COMMODITY EXCHANGE 

ACT, 7 U.S.C. § 7A-2 AND COMMODITY FUTURES TRADING COMMISSION RULE 

40.2, 17 C.F.R. § 40.2 

Based on the above analysis, the Exchange certifies that: 

❏ The Contract complies with the Act and Commission regulations thereunder. 

❏ This submission (other than those appendices for which confidential treatment has been 

requested) has been concurrently posted on the Exchange’s website at 

https://kalshi.com/regulatory/filings . 

Should you have any questions concerning the above, please contact the exchange at 

ProductFilings@kalshi.com . 

______________________ 

By: Xavier Sottile 

Title: Head of Markets 

Date: July 6, 2023 

KalshiEX LLC 
KalshiEX LLC

Attachments: 

Appendix A - Contract Terms and Conditions 

Appendix B (Confidential) - Further Considerations 

Appendix C (Confidential) - Source Agency 

Appendix D (Confidential) - Compliance with Core Principles 

KalshiEX LLC 
KalshiEX LLC

APPENDIX A – CONTRACT TERMS AND CONDITIONS 

Official Product Name: Will SOFR <above/below/between> <count> by <date>? 

Rulebook: CREDITC 

KalshiEX LLC 
KalshiEX LLC

CREDITC

Scope: These rules shall apply to this contract. 

Underlying: The Underlying for this Contract is the set of values of the Secured Overnight 

Financing Right according to the Federal Reserve Bank of New York between Issuance and 

<date>. Revisions to the Underlying made after Expiration will not be accounted for in 

determining the Expiration Value. 

Instructions: The value of the Underlying can be found here , under “RATE (%)”. These 

instructions on how to access the Underlying are provided for convenience only and are not part 

of the binding Terms and Conditions of the Contract. They may be clarified at any time. 

Source Agency: The Source Agency is the Federal Reserve Bank of New York. 

Type: The type of Contract is an Event Contract. 

Issuance: The Contract is based on the outcome of a recurrent data release, which is issued on a 

daily basis. Contract iterations will be issued on a recurring basis, and future Contract iterations 

will generally correspond to the next year. 

<count>: Kalshi may list iterations of the Contract with <count> levels that fall within an 

inclusive range between -100 and 100 at consecutive increments of <0.01>. Due to the potential 

for variability in the Underlying, the Exchange may modify <count> levels in response to 

suggestions by Members. 

<date> : <date> refers to a calendar date specified by Kalshi. Kalshi may list iterations of the 

Contract corresponding to different statistical periods of <date>. 

Payout Criterion: The Payout Criterion for the Contract encompasses the Expiration Values that 

are <above/below/between> <count>. 

Minimum Tick: The Minimum Tick size for the referred Contract shall be $0.01. 

Position Limit: The Position Limit for the $1 referred Contract shall be $25,000 per Member. 

Last Trading Date: The Last Trading Date of the Contract will be the sooner of the first 10:00 

AM ET following the occurrence of an event encompassed by the Payout Criterion (whereupon 

the Last Trading Time will be 10:00 AM ET) or <date> (whereupon the Last Trading Time will 

be 11:59 PM ET). 

KalshiEX LLC 
KalshiEX LLC

Settlement Date: The Settlement Date of the Contract shall be no later than the day after the 

Expiration Date, unless the Market Outcome is under review pursuant to Rule 7.1. 

Expiration Date: The Expiration Date of the Contract shall be the sooner of the date of the first 

10:00 AM ET following the occurrence of an event that is encompassed in the Payout Criterion, 

the date of the first 10:00 AM ET following the release of the data for all of <date>, or one week 

after <date>. 

Expiration time: The Expiration time of the Contract shall be 10:00 AM ET. 

Settlement Value: The Settlement Value for this Contract is $1.00. 

Expiration Value: The Expiration Value is the value of the Underlying as documented by the 

Source Agency on the Expiration Date at the Expiration time. 

Contingencies: Before Settlement, Kalshi may, at its sole discretion, initiate the Market 

Outcome Review Process pursuant to Rule 6.3(c) of the Rulebook. Additionally, as outlined in 

Rule 7.2 of the Rulebook, if any event or any circumstance which may have a material impact on 

the reliability or transparency of a Contract’s Source Agency or the Underlying related to the 

Contract arises, Kalshi retains the authority to designate a new Source Agency and Underlying 

for that Contract and to change any associated Contract specifications after the first day of 

trading. 

KalshiEX LLC