Chapter 902
Interest Rate Swaption Contract Terms
90200. SCOPE OF CHAPTERThe terms and conditions of any IR Swaption shall be defined by this Chapter, as supplemented by theISDA Definitions, the definitions set out in Section 90002 (Definitions) of Chapter 900 (Interest RateProducts) and the relevant Contract Elections for IR Swaptions and Underlying IR Swap Contracts, andas further supplemented and amended by the provisions of these Rules.
Capitalized terms in this Chapter that are not otherwise defined in this Chapter shall have the meanings
given to such terms in the other Chapters of the Rules. Capitalized terms in this Chapter that are nototherwise defined in either this Chapter or the other Chapters of the Rules shall have the meanings set
forth in the ISDA Definitions.

90201. DEFINITIONS
90201.A.

Earliest Exercise TimeIn respect of an IR Swaption Contract denominated in US dollars, 9:00 a.m. (New York Time) on thespecified Expiration Date.
90201.B.
Expiration TimeIn respect of an IR Swaption Contract denominated in US dollars, 11:00 a.m. (New York Time) on thespecified Expiration Date.
90201.C.
CME Settlement Rate
The par swap rate for IR Swaps in the currency in which the Underlying IR Swap Contract isdenominated on the Exercise Date, as determined by the Clearing House in its sole and absolute
discretion at 10:50 a.m. (New York Time).

90202. CONTRACT TERMS
90202.A.

Calculation AgentWith respect to any IR Swaption Contract, the Clearing House shall be the sole Calculation Agent for all
purposes, and shall not be required to consult with the parties to such IR Swaption Contract prior tomaking a determination.
90202.B.
Minimum Notional Amount for Clearing
For any IR Swaption Product submitted to the Clearing House, the minimum Notional Amount ofUnderlying IR Swap Contract specified in the Contract Elections for such IR Swaption Product shall beone unit of the Currency of the Underlying IR Swap Contract specified in the Contract Elections for IR
Swaptions. Example: For an IR Swaption Product exercisable into a US dollar-denominated IRS
Contract, the minimum allowable notional size shall be one (1) US dollar.
90202.C.
Premium Payment Date
The Premium Payment Date shall be specified as any calendar day that occurs (i) no earlier than theday on which such IR Swaption is submitted for clearing to the Clearing House and (ii) no later than theClearing Business Day following the IR Swaption Expiration Date specified in the Contract Elections forsuch IR Swaption.
90202.D.
Minimum Premium Increment
For any IR Swaption Contract, the IR Swaption Premium shall be selected in increments no less than
1/100th of the unit of Currency of the Underlying IR Swap Contract. Example: For an IR Swaption
Product exercisable into an Underlying IR Swap Contract denominated in US dollars, the Minimum
Premium Increment shall be $0.01.
90202.E.
Expiration Date
For any IR Swaption Contract, the IR Swaption Expiration Date shall be specified as any calendar dayoccurring no later than 2 years and 10 calendar days after the Clearing Business Day on which such IR
Swaption is submitted to the Clearing House.
90202.F.
Exercise Period
An IR Swaption Contract may be exercised on the Expiration Date at any time from and including theEarliest Exercise Time to and including the Expiration Time.
90202.G.
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The Option Style for each IR Swaption Contract shall be European.
90202.H.
Settlement Method
The Settlement Method for each IR Swaption Contract shall be Physical Settlement.
90202.I.
Expiration TimeAn IR Swaption Contract must be submitted for clearing prior to the Expiration Time for the IR Swaption
Contract. After the Expiration Time, the Clearing House will no longer accept the IR Swaption Contract
for clearing.

90203. EXERCISE AND ASSIGNMENT
90203.A.

Exercise

An IR Swaption Contract may be exercised by the Buyer at any time during the Exercise Period on theExpiration Date. To exercise an IR Swaption Contract, the Buyer shall present an irrevocable exercisenotice to the Clearing House, in such form and manner as the Clearing House may prescribe, no later
than the Expiration Time. In the case of a Swaption Straddle, the exercise notice shall specify whether
the exercise shall apply to the Underlying IR Swap Contract that is a Call Swaption or the Underlying IRSwap Contract that is a Put Swaption.
The Fallback Exercise Procedures set out in Rule 90203.A.3 shall apply.
In respect of any IR Swaption Contract, the Clearing House shall disregard any instruction of intent toexercise or intent to abandon or exercise notice that it receives after the Expiration Time.
90203.A.1.
Instructions of Intent to Exercise or Abandon
Notwithstanding the provisions of Rule 90202.F, at any time from when the Clearing House permits
instructions of intent to exercise or abandon to be delivered to the Clearing House until the expiration ofthe Exercise Period for an IR Swaption Contract, the IRS Participant that is the Buyer in respect of theIR Swaption Contract may instruct the Clearing House that it intends to exercise or that it intends toabandon the IR Swaption Contract in such form and manner as the Clearing House may prescribe. ABuyer may change its intent to exercise or abandon by withdrawing and/or resubmitting the instructionof intent to exercise or abandon (as relevant) at any time up to and including the Expiration Time insuch form and manner as the Clearing House may prescribe, and the Clearing House will only act inaccordance with the last instruction provided to the Clearing House in accordance with these Rules andall prior instructions will be disregarded. If the Clearing House has received an instruction of intent toexercise prior to the expiration of the Exercise Period and no instruction of intent to abandon has beensubsequently received prior to the Expiration Time, the Clearing House shall deem such instruction ofintent to constitute an irrevocable exercise notice delivered by the IRS Participant immediately prior tothe Expiration Time. If the Clearing House has received an instruction of intent to abandon prior to theexpiration of the Exercise Period and no instruction of intent to exercise or exercise notice has beensubsequently received prior to the Expiration Time, the Clearing House shall deem the IR Swaption
Contract abandoned immediately prior to the Expiration Time.
90203.A.2.
Partial Exercise
Provided that Partial Exercise is elected as being applicable in the Contract Elections for an IR
Swaption Contract, the buyer of such an IR Swaption Contract may elect to exercise less than all theNotional Amount of the corresponding Underlying IR Swap Contract within the specified Exercise
Period, provided that the amount exercised must be no less than the Minimum Notional Amount forClearing.
90203.A.3.
Fallback Exercise Procedures
In respect of any IR Swaption Contract in respect of which the Clearing House is not the Buyer,
Fallback Exercise procedures shall apply if the IR Swaption Contract has not been exercised orabandoned prior to the Expiration Time. If Fallback Exercise procedures apply, such IR Swaption
Contract shall be exercised automatically if it is deemed by the Clearing House, in its sole discretion as
the Calculation Agent, to be "in the money" by one tenth of a percentage point (0.10% or .001) orgreater.
A Put Swaption shall be deemed to be "in the money" if the CME Settlement Rate exceeds the Fixed
Rate for such Underlying IR Swap Contract at 10:50 a.m. (New York Time) on the Expiration Date.
A Call Swaption shall be deemed to be "in the money" if the CME Settlement Rate is less than the Fixed
Rate for such Underlying IR Swap Contract at 10:50 a.m. (New York Time) on the Expiration Date.
90203.B.
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IR Swaption Contracts in respect of which the Clearing House is not the Buyer that are exercised on theExpiration Date (whether by acceptance by the Clearing House of an exercise notice or by operation ofthe Fallback Exercise Procedures), shall be assigned solely by the Clearing House to IR Swaption
Contracts in respect of which the Clearing House is the Buyer as soon as technologically practicable
after the Expiration Time (i) first, to equal and opposite positions of the same IRS Swaptions Clearing
Member and (ii) second, to equal and opposite positions of all other IRS Swaptions Clearing Members
through a process of random selection, and such assignment shall constitute an effective exercise ofsuch IR Swaption Contracts. A Seller whose IR Swaption Contract has been exercised in this mannershall be notified thereof by the Clearing House as soon as technologically practicable after suchassignment.
Following the exercise of a Call Swaption, the Underlying IR Swap Contract shall become effective andshall constitute an IR Swap Contract, with the Clearing Effective Date of such Underlying IR Swap
Contract being the Exercise Date. Where the Buyer in respect of such Call Swaption is the Clearing
House, the Clearing House shall be the Floating Rate Payer and the IRS Participant shall be the FixedRate Payer.
Following the exercise of a Put Swaption, the Underlying IR Swap Contract shall become effective andshall constitute an IR Swap Contract, with the Clearing Effective Date of such Underlying IR Swap
Contract being the Exercise Date. Where the Buyer in respect of such Put Swaption is the Clearing
House, the Clearing House shall be the Fixed Rate Payer and the IRS Participant shall be the Floating
Rate Payer.

90204. CONTRACT MODIFICATIONS
90204.A.

CME Rules

The terms of IR Swaption Contracts may be modified by CME in accordance with the Rules, with suchmodification to become part of these Rules and to be applicable to all IRS Swaption Contracts that areentered into subsequent to the relevant date of modification.
90204.B.
Change in Law or RegulationIf any governmental agency or body with jurisdiction over CME issues an order, ruling, directive or law
that conflicts with the requirements of these Rules, CME shall make such amendments andmodifications to these Rules as it deems appropriate in its sole discretion in order to reflect theapplication of such order, ruling, directive or law, and such changes to these Rules shall be applicable
to all IRS Swaption Contracts that are open as of, or entered into subsequent to, the relevant effective
date of the order, ruling, directive or law.

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