This product has the same economic exposure as an interest rate swap, the margin and liquidity benefits of a futures contract, and at expiration all open positions will deliver into a CME Cleared Interest Rate Swap. The product will be a standardized future, trading both electronically on CME Globex and via open outcry, and will be eligible for privately negotiated transactions.
Futures contracts will be listed for quarterly expiration on [International Monetary Market (IMM)] dates, for physical delivery of OTC US dollar interest rate swaps at key terms to maturity (2, 5, 10, 30 years). Contracts will be quoted on a price basis, with a fixed coupon for each contract that is set by the Exchange when the contract is listed for trading. At expiration the holder of a long futures position will become the fixed rate receiver and floating rate payer in an OTC interest rate swap cleared by CME Clearing.