5-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: F1SCME ClearPort: F1SClearing: F1S | ||||
| 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 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 |
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| 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 | ||||
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