|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: S1UCME ClearPort: S1UClearing: S1U|
|Listed Contracts||March Quarterly cycle (March, June, September, December)|
|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|