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2-Year Euro MAC Swap Futures Contract Specs

Contract Unit €1,000 per point (€100,000 per contract)
Price Quotation Prices are made in terms of price points: 100 points plus net present value (NPV) of IRS that meets Delivery Standard, where NPV is present value of IRS fixed-rate payments minus present value of IRS floating-rate payments as of 3rd Wednesday of Delivery Month. Par is on the basis of 100 points.
Trading Hours CME Globex: 5:00 p.m  to 4:00 p.m., Sun-Fri.
CME ClearPort: Sunday - Friday  5:00 p.m. – 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m.
Minimum Price Fluctuation 0.005 points (€5 per contract)
Product Code CME Globex: T1E
CME ClearPort: T1E
Clearing: T1E
Listed Contracts March Quarterly cycle (March, June, September, December)
Settlement Method Deliverable
Termination Of Trading Second TARGET Settlement Day before 3rd Wednesday of futures Delivery Month. Trading in expiring contracts terminates at 5:15pm Central Europe time (typically 10:15am Chicago time on the last trading day).
Settlement Procedures Physical delivery of IRS that meets Delivery Standard. Clearing Acceptance Date and Clearing Effective Date = First CME Clearing Business Day preceding 3rd Wednesday of Delivery Month.

Delivery invoice price = IRS Initial Payment Amount, as determined by contract final settlement price, P:

If P > 100, then IRS Floating Rate Payer pays, and IRS Fixed Rate Payer receives,

€1,000 x ( P – 100 ) per contract, rounded to nearest penny.

If P ≤ 100, then IRS Fixed Rate Payer pays, and IRS Floating Rate Payer receives,

€1,000 x ( 100 – P ) per contract, rounded to nearest penny.

Euro Deliverable Interest Rate Swap Futures Settlement Procedures
Position Limits CBOT Position Limits
Reportable Positions 1+ contracts
Exchange Rulebook CBOT 55
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Delivery Procedure To participate in physical delivery, a futures position holder must be an Eligible Contract Participant (17 CFR 1.3(m) and CME Rule 90005.C.) and must be registered with CME by a CME IRS Clearing Member as an IRS Participant (CME Rules 90005.A. and 90005.B.).
Delivery Period 3rd Wednesday of Delivery Month