Deliverable Interest Rate Swap Futures Final Settlements

Sep 2016 USD Interest Rate Swap Futures for Physical Delivery - Final Settlement Prices

CBOT USD Interest Rate Swap futures for physical delivery in Sep 2016 expired today, Monday, 19 September 2016, at final settlement prices shown in the fourth column of the Exhibit below.

Exhibit - Sep 2016 USD IRS Futures Final Settlements and Upfront Payments

        Delivery Invoice Amounts –– ($ Collected (Paid) per Contract)
CME Globex Ticker Symbol USD IRS Futures Contract Contract Fixed Rate
(Pct/Yr)
Final Settlement Price
(Points)
Long Futures
(Fixed-Rate Receiver in Delivery)
Short Futures
(Fixed-Rate Payer in Delivery)
B1UU6 30-Year 2.75 120.09375
(120-3/32)
-20093.75 20093.75
E1UU6 20-Year 2.50 101.90625
(101-29/32)
-1906.25 1906.25
N1UU6 10-Year 2.25 106.609375
(106-19.5/32)
-6609.38 6609.38
S1UU6 7-Year 2.25 103.8125
(103-26/32)
-3812.50 3812.50
F1UU6 5-Year 2.00 103.734375
(103-23.5/32)
-3734.38 3734.38
T1UU6 2-Year 1.50 101.1328125
(101-4.25/32)
-1132.81 1132.81

 

For more information, please visit http://www.cmegroup.com/clearing/deliveries/

All CME Cleared IRS exposures assigned in deliveries on expiring futures shall be for $100,000 notional value per futures contract, for IRS Effective Date of Wednesday, 21 September 2016.

Long futures position holders taking delivery:

  • (1) shall become receivers of fixed-rate interest in CME Cleared IRS at Contract Fixed Rates per annum shown in the third column of the Exhibit, and
  • (2) shall receive or (pay) Delivery Invoice Amounts per contract on the IRS Effective Date for delivery, as shown in the second-from-right column of the Exhibit.

Short futures position holders making delivery:

  • (1) shall become payers of fixed-rate interest in CME Cleared IRS at Contract Fixed Rates per annum shown in the third column of the Exhibit, and
  • (2) shall (pay) or receive Delivery Invoice Amounts per contract on the IRS Effective Date for delivery, as shown in the right-hand column of the Exhibit.

For more information about USD IRS futures, please see --

CBOT Rulebook Chapters for USD IRS Futures

51 2-Year http://www.cmegroup.com/rulebook/CBOT/V/51.pdf
52 5-Year http://www.cmegroup.com/rulebook/CBOT/V/52.pdf
59 7-Year http://www.cmegroup.com/rulebook/CBOT/V/59.pdf
53 10-Year http://www.cmegroup.com/rulebook/CBOT/V/53.pdf
60 20-Year http://www.cmegroup.com/rulebook/CBOT/V/60.pdf
54 30-Year http://www.cmegroup.com/rulebook/CBOT/V/54.pdf

CME Group Advisory Notice 14-461 USD and EUR Interest Rate Swap Futures – Delivery Process, December 2014
1 December 2014

http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv14-461.pdf

Or contact --

Steve Dayon, Products & Services steven.dayon@cmegroup.com +1 312 466 4447
Jonathan Kronstein, R&D jonathan.kronstein@cmegroup.com +1 312 930 3472
Fred Sturm, R&D frederick.sturm@cmegroup.com +1 312 930 1282
Laura Buschnyj, Clearing laura.buschnyj@cmegroup.com +1 312 634 1598