SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 22-346

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): 08/12/22 Filing Description: Increase of the December 2022 Coupon 

Rates of All of the Eris US Dollar Swap Futures, Eris SOFR Swap Futures, MAC Swap 

Futures, and MAC US Dollar Swap Futures Contracts.

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.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

August 12, 2022

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. Increase of the December 2022 Coupon Rates

for All of the Eris US Dollar Swap Futures, Eris SOFR Swap Futures, MAC Swap 

Futures, and MAC US Dollar Swap Futures Contracts.

CBOT Submission No. 22-346

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”) an increase of the December 2022 coupon rates for all of 

the Eris US Dollar Swap Futures, Eris SOFR Swap Futures, MAC SOFR Swap Futures, and MAC US Dollar 

Swap Futures contracts (the “Contracts”) as more specifically described in the table below. Effective 

immediately, the Exchange will suspend trading and clearing of the December 2022 contract month of the 

Contracts, and related calendar spreads until Monday, August 29, 2022, the effective date of this 

submission (collectively, the “Rule Amendments”). There is no open interest in the December 2022 contract 

month of the Contracts.

Contract Title Commodity 

Code

Rulebook 

Chapter

Current 

Coupon

(%/year)

Increased

Coupon

(%/year)

2-Year Eris US Dollar Swap Futures LIT 61 2.25 3.50

3-Year Eris US Dollar Swap Futures LIC 61 2.25 3.25

4-Year Eris US Dollar Swap Futures LID 61 2.25 3.00

5-Year Eris US Dollar Swap Futures LIW 61 2.25 3.00

7-Year Eris US Dollar Swap Futures LIB 61 2.25 2.75

10-Year Eris US Dollar Swap Futures LIY 61 2.25 2.75

12-Year Eris US Dollar Swap Futures LII 61 2.25 3.00

15-Year Eris US Dollar Swap Futures LIL 61 2.25 3.00

20-Year US Dollar Eris Swap Futures LIO 61 2.25 3.00

30-Year US Dollar Eris Swap Futures LIE 61 2.00 2.75
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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1-Year Eris SOFR Swap Futures YIA 62 2.00 3.50

2-Year Eris SOFR Swap Futures YIT 62 2.00 3.25

3-Year Eris SOFR Swap Futures YIC 62 2.00 3.00

4-Year Eris SOFR Swap Futures YID 62 2.00 2.75

5-Year Eris SOFR Swap Futures YIW 62 2.00 2.75

7-Year Eris SOFR Swap Futures YIB 62 2.00 2.50

10-Year Eris SOFR Swap Futures YIY 62 2.00 2.50

12-Year Eris SOFR Swap Futures YII 62 2.00 2.75

15-Year Eris SOFR Swap Futures YIL 62 2.00 2.75

20-Year Eris SOFR Swap Futures YIO 62 2.00 2.75

30-Year Eris SOFR Swap Futures YIE 62 1.75 2.50

2-Year MAC SOFR Swap Futures T1S 63 2.00 3.25

5-Year MAC SOFR Swap Futures F1S 63 2.00 2.75

7-Year MAC SOFR Swap Futures S1S 63 2.00 2.50

10-Year MAC SOFR Swap Futures N1S 63 2.00 2.50

20-Year MAC SOFR Swap Futures E1S 63 2.00 2.75

30-Year MAC SOFR Swap Futures B1S 63 1.75 2.50

2-Year MAC Swap Futures T1U 51 2.25 3.50

5-Year MAC Swap Futures F1U 52 2.00 3.00

7-Year MAC Swap Futures S1U 59 2.25 2.75

10-Year MAC Swap Futures N1U 53 2.25 2.75

20-Year MAC Swap Futures E1U 60 2.25 3.00

30-Year MAC Swap Futures B1U 54 2.00 2.75

The Exchange is implementing the Rule Amendments to align with the latest recommendations by SIFMA’s 

Asset Management Group MAC Committee. The increased coupon rates are consistent with current swaps 

market rates and are in line with customer expectations. 

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:
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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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.

Should you have any questions concerning the above, please contact the undersigned at (212) 299-2200

or CMEGSubmissionInquiry@cmegroup.com. 

 

Sincerely,

 /s/ Christopher Bowen

 Managing Director and Chief Regulatory Counsel