Contract Unit 100,000 USD
Price Quotation U. S. dollars and cents per USD
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 0.015625 per U.S. dollar=$1,562.50
Product Code CME Globex: S1U
CME ClearPort: S1U
Clearing: S1U
Listed Contracts March Quarterly cycle (March, June, September, December)
Settlement Method Deliverable
Termination Of Trading Trading terminates on 2nd business day before 3rd wednesday of the contract month. If that is not a business day then it is the business day after that.
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 59
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