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2-Year MAC SOFR 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 the net present value (NPV) of all past and future swap cash flows.
Trading Hours CME Globex: Sunday 5:00 p.m. - Friday - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m. CT
CME ClearPort:  Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT
Minimum Price Fluctuation 1/4 of 1/32nd of one point (0.0078125) = $7.8125
Product Code CME Globex: T1S
CME ClearPort: T1S
Clearing: T1S
Listed Contracts Contracts listed for 3 Months in the March Quarterly Cycle (March, June, September, December),on a rolling basis.
Settlement Method Deliverable
Termination Of Trading Trading terminates on the  2nd London business day before the 3rd Wednesday of the contract month
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.

Daily Deliverable Interest Rate Swap Futures Settlement Procedure
Position Limits CBOT Position Limits
Exchange Rulebook CBOT 63
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing