SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-458

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): 11/10/23 Filing Description: Increase of the March 2024 Coupon 

Rates for Eris SOFR Swap Futures and MAC SOFR 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.
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

November 10, 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. Increase of the March 2024 Coupon Rates for 

Eris SOFR Swap Futures and MAC SOFR Swap Futures Contracts.

CBOT Submission No. 23-458

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 March 2024 coupon rates for Eris SOFR 

Swap Futures and MAC SOFR Swap Futures contracts (the “Contracts”) as more specifically described in 

Table 1. Below effective on trade date Tuesday, November 28, 2023. Effective immediately, the Exchange 

will suspend trading and clearing of the March 2024 contract month of the Contracts, and related calendar 

spreads until trade date Tuesday, November 28, 2023, the effective date of this submission (collectively, 

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

Table 1.

Contract Title Commodity 

Code

Rulebook 

Chapter

Current 

Coupon

(%/year)

Increased

Coupon

(%/year)

1-Year Eris SOFR Swap Futures YIA 62 4.00 4.25

2-Year Eris SOFR Swap Futures YIT 62 3.50 4.00

3-Year Eris SOFR Swap Futures YIC 62 3.50 4.50

4-Year Eris SOFR Swap Futures YID 62 3.25 4.75

5-Year Eris SOFR Swap Futures YIW 62 3.25 4.25

7-Year Eris SOFR Swap Futures YIB 62 3.25 4.25

10-Year Eris SOFR Swap Futures YIY 62 3.25 4.25

12-Year Eris SOFR Swap Futures YII 62 3.25 4.00

15-Year Eris SOFR Swap Futures YIL 62 3.25 4.25

20-Year Eris SOFR Swap Futures YIO 62 3.25 4.00

30-Year Eris SOFR Swap Futures YIE 62 3.00 4.00

2-Year MAC SOFR Swap Futures T1S 63 3.50 4.00
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

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5-Year MAC SOFR Swap Futures F1S 63 3.25 4.25

7-Year MAC SOFR Swap Futures S1S 63 3.25 4.25

10-Year MAC SOFR Swap Futures N1S 63 3.25 4.25

20-Year MAC SOFR Swap Futures E1S 63 3.25 4.00

30-Year MAC SOFR Swap Futures B1S 63 3.00 4.00

 *In event of a US federal government shutdown that would result in a certification beyond December 4, 2023, this submission shall be withdrawn.

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:

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 (312) 466-7478

or CMEGSubmissionInquiry@cmegroup.com. 

 

Sincerely,

 /s/ Timothy Elliott

 Managing Director and Chief Regulatory Counsel