|Contract Unit||$1,000 per point ($100,000 per contract)|
|Price Quotation||Prices are made in terms of price points: 100 points plus the net present value (NPV) of all past and future swap cash flows.|
|Trading Hours||CME Globex:||Sunday 5:00 p.m. - Friday - 4:00 p.m. CT with a 60-minute break each day beginning at 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||1/32nd of one point (0.03125) = $31.25|
|Product Code||CME Globex: E1SCME ClearPort: E1SClearing: E1S|
|Listed Contracts||Contracts listed for 3 Months in the March Quarterly Cycle (March, June, September, December),on a rolling basis.|
|Termination Of Trading||Trading terminates on the 2nd London business day before 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 63|
|Block Minimum||Block Minimum Thresholds|
|Price Limit Or Circuit||Price Limits|
|Vendor Codes||Quote Vendor Symbols Listing|