CME Group 12-Year Eris SOFR Swap

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12-Year Eris SOFR Swap Futures
Contract Unit $1,000 per point ($100,000 per contract)
Price Quotation U.S.dollars and cents per Price Point
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 0.0200 = $20.00
Product Code CME Globex: YII

CME ClearPort: YII

Clearing: YII

Listed Contracts Contracts listed for 3 Months in the March Quarterly Cycle (March, June, September, December),on a rolling basis.
Settlement Method Financially Settled
Termination of Trading Trading terminates 2 business day before the Maturity Date, defined as 2 business days after final Accrual Period, which is the Effective Date + contract tenor years, aligned with Cash Flow Alignment Date (CAFD) and subject to Modified Following Business Day Convention (ie, if that is not a USGS business day, then 1st business day after that. If next valid business day is in following month, the preceding valid USGS business day will be the Maturity Date)
Settlement Procedures The Final Settlement Price on the Maturity Date of each contract shall be as follows:

Sfinal = 100 + Bfinal − Cfinal Sfinal = Settlement price at Maturity Date Bfinal = Historical Fixed and Floating Rate amounts since contract inception through maturity (Calculated in accordance with the Day Count Convention) Cfinal = Eris Price Alignment Amount (or Eris PAA), at Maturity Date

The Exchange and CME Clearing calculate Final Settlement Price to 4 decimals of precision (e.g., 100.1234).

Position Limits CBOT Position Limits
Exchange Rulebook CBOT 62
Block Minimum Block Minimum Thresholds
Price Listing or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing

Notes[edit]

Resources[edit]

12-Year USD MAC Swap Contract Specs CME Group interest rate products