CME Group CBOT 10-Year Interest Rate Swap
From MarketsWiki
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| CBOT 10-Year Interest Rate Swap futures | ||
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| Exchange | CME Group | |
| Settlement | Cash settled | |
| Trade Unit | The notional price of the fixed-rate side of a 10-Year interest rate swap that has notional principal equal to $100,000, and that exchanges semiannual interest payments at a fixed rate of 6 percent per anum for floating interest rate payments, based on 3-month LIBOR. | |
| Point Value | 1/64 of a point ($15.625/contract) rounded up to the nearest cent/contractshall be in multiples of one-fourth of one thirty-second proint per 100 points ($7.8125 per contract). Par shall be on the basis of 100 points. Contracts shall not be made on any other price basis. | |
| Tick Value | Regular: 1 = $15.625 | |
| Contract Months | First three consecutive contracts in the Mar, Jun, Sep and Dec quarterly cycle. | |
| Last Trading Day | Need LTD rules! | |
| Note: This contract is electronic ONLY -- no open outcry | ||
| No Open Outcry | Electronic | |
| Trading Hours | N/A | Sunday/Friday 5:30 p.m.-4:00 p.m. CT; Shutdown period from 4:00 p.m. to 5:00 p.m. nightly. |
| Ticker Symbol | N/A | SR |
| Price Limits | N/A | N/A |
| CBOT 10-Year Interest Rate Swap options | ||
| Trade Unit | One futures contract | |
| Point Value | 1 point = $15.625 | |
| Tick Value | Regular: 1 = $15.625 | |
| Option Months | 5 months always listed. 3 consecutive months; next 2 quarterly months (Mar, Jun, Sep, Dec). | |
| Strike Prices | Need strike price description! | |
| Option Expiration Day | Need OED rules! | |
| No Open Outcry | Electronic | |
| Trading Hours | N/A | Electronic: 6:05 p.m. - 4:00 p.m. CT, Sunday - Friday |
| Ticker Symbol | N/A |
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| Price Limits | N/A | N/A |
Notes
Resources
CME Group CBOT 10-Year Interest Rate Swap Contract Specifications
