CME Group 30 Year USD Deliverable Interest Rate Swap
Revision as of 18:29, 6 January 2021 by OwenRehling (talk | contribs)
| 30 Year USD Deliverable Interest Rate 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 | 1/32nd point ($31.25 per contract) | |
| Product Code | CME Globex: B1U
CME ClearPort: B1U Clearing: B1U | |
| Listed Contracts | March Quarterly cycle (March, June, September, December) | |
| Settlement Method | Deliverable | |
| 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 Future Settlement Procedures" | |
| Position Limits | CBOT Position Limits | |
| Exchange Rulebook | CBOT 54 | |
| 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 | |
Also See[edit]
30 Year USD Deliverable Interest Rate Swap Futures Contract Specs
CME Group interest rate products