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The Chicago Board of Trade (CBOT) has announced a change to the regulations regarding settlement provisions of the CBOT 10-Year Interest Rate Swap Futures Contract. Beginning with the June 2002 futures contract, the 10-Year Interest Rate Swap Futures Contract will settle on the last trading day, rather than the first trading day following the last trading day. Additionally, the closing time for trading on the last trading day has been changed to 10:00 a.m. Chicago time for the expiring contract. The CBOT has also announced changes to the delivery standard of the 10 Year Interest Rate Swap Future Contract. If you should have any questions regarding the new delivery standard, please contact the CBOT directly. The new standard is as follows: The notional price of the Trading Unit on the last day of trading, based upon the ISDA Benchmark Rate for a 10-Year U.S. Dollar Interest Rate Swap on the last day of trading, as published at approximately 11:30 a.m. New York time on Reuters page ISDAFIX1.* Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
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