CME Group 2-Year Eris SOFR/MAC Swap

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2-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 0.0025 = $2.50
Product Code CME Globex: YIT

CME ClearPort: YIT

Clearing: YIT

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
2-Year Eris Swap Futures
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 - Friday 5:00 p.m. - 4:00 p.m. (6:00 p.m. - 5:00 p.m. ET) with a 60-minute break each day beginning at 4:00 p.m. (5:00 p.m. ET)
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 0.0020 = $2.00

Nearest 4 IMM Expiries: 0.0010 = $1.00

Product Code CME Globex: LIT

CME ClearPort: LIT

Clearing: LIT

Listed Contracts At least 2 On-the-Run contract months in the March Quarterly cycle (March, June, September, December) plus Off-the Run contracts until expiry.
Settlement Method Financially Settled
Termination of Trading Trading terminates on the NY business day before the Maturity Date, defined as the date tenor-years forward from the IMM Effective Date, based on ISDA modified following date conventions.
Settlement Procedures The Daily Settlement Price shall be as follows:
            St = 100 + At + Bt - Ct
            St = Settlement price at time t
            At = Net Present Value (NPV) of the future cash flows at time t, based on OIS discounting
            Bt = Value of the historical fixed and floating amounts since contract inception
            Ct = Eris Price Alignment Amount (or Eris PAA).

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

Position Limits CBOT Position Limits
Exchange Rulebook CBOT 61
Block Minimum Block Minimum Thresholds
Price Listing or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
2-Year MAC SOFR Swap Futures
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: T1S

CME ClearPort: T1S

Clearing: T1S

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 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 63
Block Minimum Block Minimum Thresholds
Price Listing or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing

Notes[edit]

Resources[edit]

2-Year Eris SOFR Swap Contract Specs 2-Year Eris Swap Contract Specs 2-Year MAC SOFR Swap Contract Specs CME Group interest rate products