CME Group 2-Year Swap Rate

From MarketsWiki
Jump to navigation Jump to search


CQG logo.png


2-Year USD MAC Swap Rate Futures
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
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
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 Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing

Notes[edit]

Resources[edit]

2-Year USD MAC Swap Contract Specs

2-Year Eris SOFR Swap Contract Specs