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2-Year USD MAC Swap Futures Contract Specs

Contract Unit 100,000 USD
Price Quotation U.S. dollars and cents per price point: 100 points plus net present value (NPV) of IRS that meets Delivery Standard, where NPV is present value of IRS fixed-rate payments minus present value of IRS floating-rate payments as of 3rd Wednesday of Delivery Month. Par is on the basis of 100 points.
Trading Hours Sunday - Friday 6:00 p.m. - 5:00 p.m. (5:00 p.m. - 4:00 p.m. CT) with a 60-minute break each day beginning at 5:00 p.m. (4:00 p.m. CT)
Minimum Price Fluctuation ¼ of 1/32nd point = $7.8125
Product Code CME Globex: T1U
CME ClearPort: T1U
Clearing: T1U
Listed Contracts Quarterly contracts (Mar, Jun, Sep, Dec) listed for 2 consecutive quarters
Settlement Method Deliverable
Termination Of Trading Trading terminates at 2:00 p.m. CT 2 London business day prior to 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
Reportable Positions 1+ contracts
Exchange Rulebook CBOT 51
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Delivery Procedure To participate in physical delivery, a futures position holder must be an Eligible Contract Participant (17 CFR 1.3(m) and CME Rule 90005.C.) and must be registered with CME by a CME IRS Clearing Member as an IRS Participant (CME Rules 90005.A. and 90005.B.).
Delivery Period 3rd Wednesday of Delivery Month

Deliverable Swap Futures Coupon Rates

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