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30-Year Interest Rate Swap Futures
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30-Year Interest Rate Swap Futures
Underlying Instrument The notional price of the fixed-rate side of a 30-year interest rate swap, with notional principal equal to $100,000, that exchanges semiannual interest payments at a fixed rate of 4 percent per annum for floating interest rate payments based on 3-month LIBOR.
Price Quote Points ($1,000.00 per point) and one-half of 1/32 of one point of the notional principal of a swap having notional par value of $100,000. Par is on the basis of 100 points.
Tick Size
(minimum fluctuation)		 One-half of one thirty-second (1/32) of one point per 100 points ($15.625 per contract rounded up to the nearest cent) except for intermonth spreads, where minimum price fluctuations shall be in multiples of one-fourth of one thirty-second of one point per 100 points ($7.8125 per contract).
Contract Months The first four consecutive contracts in the March, June, September, and December quarterly cycle.
Last Trading Day The second London business day preceding the third Wednesday of the expiry month. Trading in expiring contract ceases at 10:01 am Central Time (CT) on the last trading day.
Final Settlement Cash settled to the final settlement value, which is determined as:

100 * [ 4/r30 + (1 - 4/r30)*(1 + r30/200)-60 ]

r30 represents ISDA® Benchmark Rates for 30-Year U.S. dollar interest rate swaps on the last day of trading published at approximately 10:30 Chicago time, expressed in percent terms. (For example, if the ISDA® Benchmark Rate is five and one quarter percent, then r is equal to 5.25.) The final settlement price shall be the final settlement value rounded to the nearest one quarter of one thirty-second of one point.
Final cash settlement occurs on the expiring contract’s last trading day.
Position Limits None
Block Minimum Block Trade Minimums
All or None Minimum All or None Minimums
Rulebook Chapter CBOT Chapter 25
Trading Hours
(All times listed are Central Time)		 OPEN OUTCRY MON-FRI: 7:20 a.m. - 2:00 p.m. CT
CME GLOBEX SUN - FRI: 5:00 p.m. - 4:00 p.m. CT
Ticker Symbol OPEN OUTCRY NZ
CME GLOBEX I3 (eye-3)
Exchange Rule These contracts are listed with, and subject to, the rules and regulations of CBOT.