CME Group 2 Year USD Deliverable Interest Rate Swap

2-Year USD MAC Swap Futures and Options	2-Year USD MAC Swap Futures and Options 	2-Year USD MAC Swap Futures and Options
Contract Unit 	100,000 USD 	100,000 USD
Price Quotation 	U.S. dollars and cents per price point: 100 points plus net present value (NPV) of IRS that meets Delivery Standard, where NPV is present value of IRS fixed-rate payments minus present value of IRS floating-rate payments as of 3rd Wednesday of Delivery Month. Par is on the basis of 100 points.	U.S. dollars and cents per price point: 100 points plus net present value (NPV) of IRS that meets Delivery Standard, where NPV is present value of IRS fixed-rate payments minus present value of IRS floating-rate payments as of 3rd Wednesday of Delivery Month. Par is on the basis of 100 points.
Trading Hours 	CME Globex: 	Sunday - Friday 6:00 p.m. - 5:00 p.m. (5:00 p.m. - 4:00 p.m. CT) with a 60-minute break each day beginning at 5:00 p.m. (4:00 p.m. CT)
Trading Hours 	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 	¼ of 1/32nd point = $7.8125 	¼ of 1/32nd point = $7.8125
Product Code 	CME Globex: T1U
CME ClearPort: T1U
Clearing: T1U 	CME Globex: T1U
CME ClearPort: T1U
Clearing: T1U
Listed Contracts 	Quarterly contracts (Mar, Jun, Sep, Dec) listed for 2 consecutive quarters 	Quarterly contracts (Mar, Jun, Sep, Dec) listed for 2 consecutive quarters
Settlement Method 	Deliverable 	Deliverable
Termination of Trading 	Trading terminates at 2:00 p.m. CT 2 London business day prior to the 3rd Wednesday of the contract month. 	Trading terminates at 2:00 p.m. CT 2 London business day prior to 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	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 	CBOT Position Limits
Exchange Rulebook 	CBOT 51 	CBOT 51
Block Minimum 	Block Minimum Thresholds 	Block Minimum Thresholds
Price Limit or Circuit 	Price Limits 	Price Limits
vendor Codes 	Quote Vendor Symbols Listing 	Quote Vendor Symbols Listing
Deliver 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.). 	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 	3rd Wednesday of Delivery Month
																						
== Also See ==
2 Year USD Deliverable Interest Rate Swap Futures Contract Specs 
CME Group interest rate products
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