10-Year Interest Rate Swap

None

Delivery against 10-Year Interest Rate Swap futures contracts shall be made by cash settlement through the Clearing House following normal variation margin procedures. Final settlement price shall be calculated on the last day of trading after Reuters has published the ISDA® Benchmark for the last day of trading. Generally, such publications will occur at 10:30 a.m. Chicago time on the last day of trading.

If Reuters fails to report the ISDA Benchmark for the last day of trading on the last day of trading, then the final settlement price shall be based upon the ISDA Benchmark for the next available business day to be reported by Reuters. If such ISDA Benchmark has not been reported within five (5) Exchange business days following the last day of trading, then the contract final settlement price shall be based upon the ISDA Benchmark for the last business day preceding the last day of trading.

The final settlement value shall be determined as follows:

Final Settlement Value = $100,000 * [ 4/r + (1 - 4/r)*(1 + r/200)^-20]

where r represents the ISDA Benchmark for the last day of trading, expressed in percent terms. For example, if the ISDA Benchmark for the last day of trading is five and one quarter percent, then r is equal to 5.250.

The final settlement price shall be the final settlement value (Rule 23103.A.) rounded to the nearest one-quarter of one thirty-second of a price point.

Example: Suppose the ISDA Benchmark on the last day of trading is 5.500. The final settlement value will be $88,579.56. To render this in terms of price points and quarters of thirty-seconds of price points, note that it is between 88-18.5/32nds and 88-18.75/32nds (where each price point equals $1,000) --

88-18.75/32nds = $88,585.9375

Final settlement value = $88,579.56

88-18.5/32nds = $88,578.125

The final settlement value is nearer to 88-18.5/32nds. Thus, the contract final settlement price is obtained by rounding down to 88-18.5/32nds.

In the event that the final settlement value is at the exact midpoint between any two adjacent quarters of one thirty-second of a price point, the final settlement price will be obtained by rounding up to the nearest one-quarter of a thirty-second of a price point.

The contract grade for delivery on futures made under these Rules shall be U.S. Treasury fixed-principal notes which have fixed semi-annual coupon payments, and which have:

(a) an original term to maturity (i.e., term to maturity at issue) of not more than 5 years 3 months; and

(b) a remaining term to maturity of not more than 2 years; and

(c) a remaining term to maturity of not less than 1 year 9 months.

For the purpose of determining a U.S. Treasury note’s eligibility for contract grade, its remaining term to maturity shall be calculated from the first day of the contract’s named month of expiration, and shall be rounded down to the nearest one-month increment (e.g., 1 year 10 months 17 days shall be taken to be 1 year 10 months). New issues of U.S. Treasury notes that satisfy the standards in this Rule shall be added to the contract grade as they are issued.

If the U.S. Treasury Department auctions and issues a Treasury security that meets these standards, such that said security is a re-opening of an extant Treasury issue that had not previously met these standards, then the extant Treasury issue shall be deemed to be a Treasury note meeting these standards and shall be added to the contract grade as of the issue date of said newly auctioned Treasury security.

Notwithstanding the foregoing, the Exchange shall have the right to exclude any new issue from the contract grade or to further limit outstanding issues from the contract grade.