5-YEAR USD MAC 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 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 | CME Globex: | Sunday - Friday 5:00 p.m. - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m. | 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 | ¼ of 1/32nd point ($7.8125 per contract) | ||||
| Product Code | CME Globex: F1UCME ClearPort: F1UClearing: F1U | ||||
| Listed Contracts | March Quarterly cycle (March, June, September, December) | ||||
| Settlement Method | Deliverable | ||||
| Termination Of Trading | Second London business day before 3rd Wednesday of futures Delivery Month. Trading in expiring contracts closes at 2:00 p.m. on the last trading day. | ||||
| 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 Procedures |
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| Position Limits | CBOT Position Limits | ||||
| Exchange Rulebook | CBOT 52 | ||||
| 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 | ||||
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