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DE-IT 10-Year Sovys Futures
| DE-IT 10-Year Sovys Futures | |||||
|---|---|---|---|---|---|
| Underlying Unit | Difference, at termination of trading, between the yield to maturity on government bonds issued by Italy (It) as “Sold Nation” and yield to maturity on government bonds issued by Germany (De) as “Bought Nation.” | ||||
| Contract Grade | Government bonds paying fixed semi-annual or annual interest, with remaining term to maturity of not less than 8 years and 1 month and not more than 10 years from futures contract Delivery Month, and with minimum outstanding issue size of EUR 2 bln. | ||||
| Price Basis | Modified IMM Index = 100 + Yield Spread. Quoted in price points. Yield Spread = Sold Nation (It) yield minus Bought Nation (De) yield Examples Yield Spread = 0.1325 pct per yr (13.25 bps) → Price = 100.1325 points Yield Spread = -6.335 pct per yr (-633.5 bps) → Price = 93.6650 points |
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| Contract Size | 0.01 points = 1 bp = 100 Euros | ||||
| Tick Size | 0.0025 points = 0.25 bps = 25 Euros | ||||
| Delivery Months | Nearest four months in the March, June, September, and December quarterly cycle. | ||||
| Last Trading Day | 3rd London-NY-TARGET business day before 10th day of Delivery Month. Trading in expiring contracts ceases at 3:02 p.m. London time on Last Trading Day. | ||||
| Final Settlement | Delivery by cash settlement by reference to Final Settlement Price. Final Settlement Price = 100 plus Median of Sold Nation (It) Reference Bond Yields minus Median of Bought Nation (De) Reference Bond Yields. Examples: Yield Spread = 0.5512 pct (55.12 bps) → Final Settlement Price = 100.5512 points Yield Spread = -6.3356 pct (-633.56 bps) → Final Settlement Price = 93.6644 points |
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| Position Limits | Current Position Limits | ||||
| Block Minimum | Block Trade Minimums | ||||
| Exchange Rule | This contract is listed with and subject to the rules and regulations of CME. | ||||
| Contract Terms | CME Rulebook Chapter 502 | ||||
| Trading Hours (All times listed are Central Time) |
CME GLOBEX | 5:00 p.m. – 4:00 p.m. Chicago time, Sunday to Friday. | |||
| Ticker Symbol | DTV | ||||
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