Contract Unit $1,000 per point ($100,000 per contract)
Price Quotation U. S. Dollars and Cents per Point
Trading Hours CME Globex: Sunday – Friday 5:00 p.m. – 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 One thirty-second (1/32) of one point ($31.25 per contract), except for intermonth spreads, where the minimum price fluctuation is one-quarter of one thirty-second of one point ($7.8125 per contract)
Product Code CME Globex: E1U
CME ClearPort: E1U
Clearing: E1U
Listed Contracts March Quarterly cycle (March, June, September, December)
Settlement Method Deliverable
Termination Of Trading 2pm Chicago time on 2nd London business day before 3rd Wednesday of contract delivery 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 Procedures
Position Limits CBOT Position Limits
Exchange Rulebook CBOT 60
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