CME Group 10-Year Interest Rate Swaps
|10-Year Interest Rate/USD MAC 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 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:||5 p.m. to 4 p.m., Sun-Fri.|
|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||One-half of one thirty-second (1/32) of one point ($15.625, rounded to the nearest cent per contract), except for intermonth spreads, where the minimum price fluctuation is one-quarter of one thirty-second of one point ($7.8125 per contract)|
|Product Code||CME Globex: N1U
CME ClearPort: N1U
|Listed Contracts||March Quarterly cycle (March, June, September, December)|
|Termination of Trading||Second London business day before 3rd Wednesday of futures Delivery Month. Trading in expiring contracts closes at 2:00 p.m. on the last trading day.|
|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 Procedures"
|Position limits||CBOT Position Limits|
|Exchange Rulebook||CBOT 53|
|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|