EUR Deliverable Interest Rate Swap Futures Final Settlements

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

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

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

        Delivery Invoice Amounts –– ( Collected (Paid) per Contract)
CME Globex Ticker Symbol EUR 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)
N1EU6 10-Year 1 107.82 -7,820 7,820
F1EU6 5-Year 0.5 102.3 -2,300 2,300
T1EU6 2-Year 0.0 100.785 -785 785

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 EUR IRS futures, please see --

CBOT Rulebook Chapters for EUR IRS Futures

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

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