CBOT USD Interest Rate Swap futures for physical delivery in Mar 2023 expired at final settlement prices shown in the fourth column of the Exhibit below.
| Delivery Invoice Amounts –– $Collected (Paid) per Contract | |||||
|---|---|---|---|---|---|
| CME Globex Ticker Symbol | USD IRS Futures Contract | Fixed Rate (Pct/Yr) | Final Settle (Points) | Long Futures (Fixed-Rate Receiver) | Short Futures (Fixed-Rate Payer) |
| B1U H3 | 30-Year | 3.50 | 100.84375 100-27/32 |
-843.75 | 843.75 |
| E1U H3 | 20-Year | 3.75 | 98.96875 98-31/32 |
1,031.25 | -1,031.25 |
| N1U H3 | 10-Year | 4.00 | 103.96875 103-31/32 |
-3,968.75 | 3,968.75 |
| S1U H3 | 7-Year | 4.00 | 99.703125 99-22.5/32 |
296.88 | -296.88 |
| F1U H3 | 5-Year | 4.00 | 101.078125 101-2.5/32 |
-1,078.13 | 1,078.13 |
| T1U H3 | 2-Year | 4.50 | 100.0234375 100-0.75/32 |
-23.44 | 23.44 |
| SOFR Contracts | |||||
| B1S H3 | 30-Year | 3.25 | 96.5625 96-18/32 |
3,437.50 | -3,437.50 |
| E1S H3 | 20-Year | 3.75 | 98.5 98-16/32 |
1,500.00 | -1,500.00 |
| N1S H3 | 10-Year | 3.75 | 100.6875 100-22/32 |
-687.50 | 687.50 |
| S1S H3 | 7-Year | 3.75 | 101.15625 101-5/32 |
-1,156.25 | 1,156.25 |
| F1S H3 | 5-Year | 4.00 | 97.9296875 97-29.75/32 |
2,070.31 | -2,070.31 |
| T1S H3 | 2-Year | 4.50 | 99.921875 99-29.5/32 |
78.13 | -78.13 |
For more information, please visit: http://www.cmegroup.com/clearing/operations-and-deliveries/deliveries.html
All CME Cleared IRS exposures assigned in deliveries on expiring futures shall be for $100,000 notional value per futures contract.
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 --
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, Research & Product Development | jonathan.kronstein@cmegroup.com | +1 312 930 3472 |
| Bobby Timberlake, Research & Product Development | bobby.timberlake@cmegroup.com | +1 312 466 4367 |
| Laura Buschnyj, Clearing Deliveries | laura.buschnyj@cmegroup.com | +1 312 634 1598 |
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