| Underlying Instrument |
The notional price of the fixed-rate side of a 5-year interest rate swap, with notional principal equal to $100,000, that exchanges semiannual interest payments at a fixed rate of 4 percent per annum for floating interest rate payments based on 3-month LIBOR. |
| Price Quote |
Points ($1,000.00 per point) and one-half of 1/32 of one point of the notional principal of a swap having notional par value of $100,000. Par is on the basis of 100 points. |
Tick Size
(minimum fluctuation) |
One-half of one thirty-second (1/32) of one point per 100 points ($15.625 per contract rounded up to the nearest cent) except for intermonth spreads, where minimum price fluctuations shall be in multiples of one-fourth of one thirty-second of one point per 100 points ($7.8125 per contract). |
| Contract Months |
The first four consecutive contracts in the March, June, September and December quarterly cycle. |
| Last Trading Day |
The second London business day preceding the third Wednesday of the expiry month. Trading in expiring contract ceases at 10:00 am Central Time (CT) on the last trading day. |
| Final Settlement |
Cash settled to the final settlement value, which is determined as:
100 * [ 4/r5 + (1 - 4/r5)*(1 + r5/200)-10 ]
r5 represents ISDA® Benchmark Rates for 5-Year U.S. dollar interest rate swaps on the last day of trading published at approximately 10:30 Chicago time, expressed in percent terms. (For example, if the ISDA® Benchmark Rate is five and one quarter percent, then r is equal to 5.25.) The final settlement price shall be the final settlement value rounded to the nearest one quarter of one thirty-second of one point. Final cash settlement occurs on the expiring contract’s last trading day. |
| Position Limits |
None |
| Block Minimum |
Block Trade Minimums |
| All or None Minimum |
All or None Minimums |
| Rulebook Chapter |
CBOT Chapter 24 |
Trading Hours
(All times listed are Central Time) |
OPEN OUTCRY
MON - FRI: 7:20 a.m. - 2:00 p.m. CT
CME GLOBEX
SUN - FRI: 5:30 p.m. - 4:00 p.m. CT
|
| Ticker Symbol |
|
| Exchange Rule |
These contracts are listed with, and subject to, the rules and regulations of CBOT. |
