CBOT EUR Interest Rate Swap futures for physical delivery in June 2018 expired today, Monday, 18 June 2018, at final settlement prices shown in the fourth column of the Exhibit below.
| Delivery Invoice Amounts –– (€ Collected (Paid) per Contract) | |||||
|---|---|---|---|---|---|
| CME Globex Ticker Symbol | EUR IRS Futures Contract | Contract Fixed Rate | Final Settlement Price | Long Futures | Short Futures |
| (Pct/Yr) | (Points) | (Fixed-Rate Receiver in Delivery) | (Fixed-Rate Payer in Delivery) | ||
| N1EM8 | 10-Year | 1 | 107.820 | -7820 | 7820 |
| F1EM8 | 5-Year | 0.25 | 102.300 | -2300 | 2300 |
| T1EM8 | 2-Year | 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, 20 June 2018.
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 --
| 55 | 2-Year | http://www.cmegroup.com/rulebook/CBOT/V/55.pdf |
| 56 | 5-Year | http://www.cmegroup.com/rulebook/CBOT/V/56.pdf |
| 57 | 10-Year | http://www.cmegroup.com/rulebook/CBOT/V/57.pdf |
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 |
| Laura Buschnyj, Clearing | laura.buschnyj@cmegroup.com | +1 312 634 1598 |
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