SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 22-487

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): 11/17/22 Filing Description: Additional Increase of the March 2023 

Coupon Rates for all of the Eris US Dollar Swap Futures, Eris SOFR Swap Futures, Eris 

BSBY Swap Futures, MAC SOFR 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

November 17, 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. Additional Increase of the March 2023 Coupon 

Rates for all of the Eris US Dollar Swap Futures, Eris SOFR Swap Futures, Eris BSBY 

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

Contracts.

CBOT Submission No. 22-487

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 2023 coupon rates for all of the 

Eris US Dollar Swap Futures, Eris SOFR Swap Futures, Eris BSBY 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 March 2023

contract month of the Contracts, and related calendar spreads until trade date Monday, December 5, 2022, 

the effective date of this submission (collectively, the “Rule Amendments”). There is no open interest in the

March 2023 contract month of the Contracts.

In a separate but related matter, CME previously increased the March 2023 coupon rates for the Contracts

(see Submission No. 22-425 dated October 14, 2022). Due to the rise in interest rates, the MAC Rate 

values are subject to revision according to the Exchange’s Policy for Publishing MAC Rates as guided by 

Securities Industry and Financial Markets Association (“SIFMA”).

Contract Title Commodity 

Code

Rulebook 

Chapter

Current 

Coupon

(%/year)

Increased 

Coupon

(%/year)

2-Year Eris US Dollar Swap Futures LIT 61 3.75 4.75

3-Year Eris US Dollar Swap Futures LIC 61 3.50 4.50

4-Year Eris US Dollar Swap Futures LID 61 3.25 4.25

5-Year Eris US Dollar Swap Futures LIW 61 3.25 4.25

7-Year Eris US Dollar Swap Futures LIB 61 3.25 4.00

10-Year Eris US Dollar Swap Futures LIY 61 3.25 4.00
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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12-Year Eris US Dollar Swap Futures LII 61 3.25 4.00

15-Year Eris US Dollar Swap Futures LIL 61 3.25 4.00

20-Year Eris US Dollar Swap Futures LIO 61 3.25 4.00

30-Year Eris US Dollar Swap Futures LIE 61 3.00 3.50

1-Year Eris SOFR Swap Futures YIA 62 3.75 4.75

2-Year Eris SOFR Swap Futures YIT 62 3.50 4.50

3-Year Eris SOFR Swap Futures YIC 62 3.25 4.25

4-Year Eris SOFR Swap Futures YID 62 3.00 4.00

5-Year Eris SOFR Swap Futures YIW 62 3.00 4.00

7-Year Eris SOFR Swap Futures YIB 62 3.00 3.75

10-Year Eris SOFR Swap Futures YIY 62 3.00 3.75

12-Year Eris SOFR Swap Futures YII 62 3.00 3.75

15-Year Eris SOFR Swap Futures YIL 62 3.00 3.75

20-Year Eris SOFR Swap Futures YIO 62 3.00 3.75

30-Year Eris SOFR Swap Futures YIE 62 2.75 3.25

1-Year Eris BSBY Swap Futures KXA 64 4.00 5.00

2-Year Eris BSBY Swap Futures KXT 64 3.75 4.75

3-Year Eris BSBY Swap Futures KXC 64 3.50 4.50

4-Year Eris BSBY Swap Futures KXD 64 3.25 4.25

5-Year Eris BSBY Swap Futures KXW 64 3.25 4.25

7-Year Eris BSBY Swap Futures KXB 64 3.25 4.00

10-Year Eris BSBY Swap Futures KXY 64 3.25 4.00

2-Year MAC SOFR Swap Futures T1S 63 3.50 4.50

5-Year MAC SOFR Swap Futures F1S 63 3.00 4.00

7-Year MAC SOFR Swap Futures S1S 63 3.00 3.75

10-Year MAC SOFR Swap Futures N1S 63 3.00 3.75

20-Year MAC SOFR Swap Futures E1S 63 3.00 3.75

30-Year MAC SOFR Swap Futures B1S 63 2.75 3.25
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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2-Year MAC US Dollar Swap Futures T1U 51 3.50 4.50

5-Year MAC US Dollar Swap Futures F1U 52 3.25 4.00

7-Year MAC US Dollar Swap Futures S1U 59 3.25 4.00

10-Year MAC US Dollar Swap Futures N1U 53 3.25 4.00

20-Year MAC US Dollar Swap Futures E1U 60 3.25 3.75

30-Year MAC US Dollar Swap Futures B1U 54 3.00 3.50

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 (212) 299-2200

or CMEGSubmissionInquiry@cmegroup.com. 

 

Sincerely,

 /s/ Christopher Bowen

 Managing Director and Chief Regulatory Counsel