|Contract Unit||100,000 USD|
|Price Quotation||U.S. dollars and cents per price point: 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.|
|Trading Hours||CME Globex:||Sunday - Friday 6:00 p.m. - 5:00 p.m. (5:00 p.m. - 4:00 p.m. CT) with a 60-minute break each day beginning at 5:00 p.m. (4:00 p.m. CT)||CME ClearPort:||Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT|
|Minimum Price Fluctuation||¼ of 1/32nd point = $7.8125|
|Product Code||CME Globex: T1UCME ClearPort: T1UClearing: T1U|
|Listed Contracts||Quarterly contracts (Mar, Jun, Sep, Dec) listed for 2 consecutive quarters|
|Termination Of Trading||Trading terminates at 2:00 p.m. CT 2 London business day prior to the 3rd Wednesday of the contract month.|
|Settlement Procedures||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 P < 100, 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.
Daily Deliverable Interest Rate Swap Futures Settlement Procedure
|Position Limits||CBOT Position Limits|
|Exchange Rulebook||CBOT 51|
|Block Minimum||Block Minimum Thresholds|
|Price Limit Or Circuit||Price Limits|
|Vendor Codes||Quote Vendor Symbols Listing|
|Delivery Procedure||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.).|
|Delivery Period||3rd Wednesday of Delivery Month|