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5-Year USD Deliverable Interest Rate Swap Futures Contract Specs

Underlying Instrument An interest rate swap (IRS), cleared by CME Clearing, with notional principal equal to $100,000 and tenor equal to Reference Tenor, that exchanges semiannual fixed interest payments at a rate per annum equal to Contract Fixed Rate for quarterly floating interest rate payments based on the 3-month London interbank offered rate.
Reference Tenor 5 Years
Delivery Months March Quarterly cycle (March, June, September, December)
Contract Fixed Rate Set by the Exchange when a futures contract is listed for trading, as a rate per annum with 30/360 day count fraction, at an integer multiple of 25 basis points per annum.
Price Basis Prices are made in terms of price points: 100 points plus net present value (NPV) of IRS that meets Delivery Standard, where NPV is present value of IRS fixed-rate payments minus present value of IRS floating-rate payments as of 3rd Wednesday of Delivery Month. Par is on the basis of 100 points.
Contract Size $1,000 per point ($100,000 per contract)
Minimum Price Increment ½ of 1/32nd point ($15.625 per contract)
Last Trading Day Second London business day before 3rd Wednesday of futures Delivery Month. Trading in expiring contracts closes at 2:00 p.m. on the last trading day.
Delivery Day 3rd Wednesday of Delivery Month
Delivery Standard IRS cleared by CME Clearinghouse, with the following elections --

Fixed Rate Payer Short futures position holder making delivery
Floating Rate Payer Long futures position holder taking delivery
IRS Effective Date 3rd Wednesday of Delivery Month = Futures Delivery Day
Currency USD
Notional Amount Futures Contract Size = $1,000 per point ($100,000 per futures contract)
Business Day(s) New York and London
Business Day Convention Modified Following
Termination Date

Anniversary of IRS Effective Date at futures Reference Tenor

   
Fixed Rate Payment Dates Semiannually, from IRS Effective Date
Fixed Rate Contract Fixed Rate
Fixed Rate Day Count 30/360
Floating Rate Paymt Dates Quarterly, from IRS Effective Date
Floating Rate Option USD-LIBOR-BBA
Designated Maturity                3 Month
Spread None
Floating Rate Day Count

Actual/360

Compounding None
Final Settlement Procedure Physical delivery of IRS that meets Delivery Standard. Clearing Acceptance Date and Clearing Effective Date = First CME Clearing Business Day preceding 3rd Wednesday of Delivery Month.

Delivery invoice price = IRS Initial Payment Amount, as determined by contract final settlement price, P:

If 100 < P, then IRS Floating Rate Payer pays, and IRS Fixed Rate Payer receives,

$1,000 x ( P – 100 ) per contract, rounded to nearest penny.

If P ≤ 100, then IRS Fixed Rate Payer pays, and IRS Floating Rate Payer receives,

$1,000 x ( 100 – P ) per contract, rounded to nearest penny.
Settlement Procedure Daily Deliverable Interest Rate Swap Futures Settlement Procedure (PDF)
Final 5 Year Deliverable Interest Rate Swap Futures Settlement Procedure (PDF)
Delivery Eligibility To participate in physical delivery, a futures position holder must be an Eligible Contract Participant (17 CFR 1.3(m) and CME Rule 90005.C.) and must be registered with CME by a CME IRS Clearing Member as an IRS Participant (CME Rules 90005.A. and 90005.B.).
Position Accountability 5,000+ contracts
Reportable Positions 1+ contracts
Block Trade Thresholds and Reporting Requirements 1,500+ contracts

Each block trade must be reported to the Exchange by the seller within 15 minutes of transaction.
Rulebook Chapter CBOT Rulebook Chapter 52
Trading Hours and Venue CME GLOBEX 5 p.m. to 4 p.m., Sun-Fri.
OPEN OUTCRY 7:20.a.m. to 2 p.m., Mon-Fri.
Ticker Symbols:
CME Globex and Open Outcry
F1U

Futures & Options Trading

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