CME Group 2 Year USD Deliverable Interest Rate Swap
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| 2-Year USD MAC Swap Futures and Options | ||
|---|---|---|
| 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 | CME Globex: | 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) |
| 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 | |
| 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 | |
| Exchange Rulebook | CBOT 51 | |
| Block Minimum | Block Minimum Thresholds | |
| Price Limit or Circuit | Price Limits | |
| vendor Codes | Quote Vendor Symbols Listing | |
| Deliver 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 | |
Also See[edit]
2 Year USD Deliverable Interest Rate Swap Futures Contract Specs
CME Group interest rate products