View source for CME Group 5-Year Eris SOFR/USD MAC Swap

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{| class="wikitable"
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! colspan="3" style="font-weight:bold;" | 5-Year MAC SOFR Swap Futures
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| style="font-weight:bold;" | Contract Unit
| colspan="2" | $1,000 per point ($100,000 per contract)
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| style="font-weight:bold;" | Price Quotation
| colspan="2" | U.S.dollars and cents per Price Point
|-
| style="font-weight:bold;" rowspan="2" | 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 
|-
| style="font-weight:bold;" | Minimum Price Fluctuation
| colspan="2" | 0.0100 = $10.00
|-
| style="font-weight:bold;" | Product Code
| colspan="2" | CME Globex: YIW
CME ClearPort: YIW

Clearing: YIW
|-
| style="font-weight:bold;" | Listed Contracts
| colspan="2" | Contracts listed for 3 Months in the March Quarterly Cycle (March, June, September, December),on a rolling basis.
|-
| style="font-weight:bold;" | Settlement Method
| colspan="2" | Financially Settled
|-
| style="font-weight:bold;" | Termination of Trading
| colspan="2" | 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)
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| style="font-weight:bold;" | Settlement Procedures
| colspan="3" | 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).
|-
| style="font-weight:bold;" | Position Limits
| colspan="2" | CBOT Position Limits
|-
| style="font-weight:bold;" | Exchange Rulebook
| colspan="2" | CBOT 62
|-
| style="font-weight:bold;" | Block Minimum
| colspan="2" | Block Minimum Thresholds
|-
| style="font-weight:bold;" | Price Listing or Circuit
| colspan="2" | Price Limits
|-
| style="font-weight:bold;" | Vendor Codes
| colspan="2" | Quote Vendor Symbols Listing
|}

{| class="wikitable"
|-
! colspan="3" style="font-weight:bold;" | 5-Year USD MAC Swap Futures
|-
| style="font-weight:bold;" | Contract Unit
| colspan="2" | $1,000 per point ($100,000 per contract)
|-
| style="font-weight:bold;" | Price Quotation
| colspan="2" | 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.
|-
| style="font-weight:bold;" rowspan="2" | Trading Hours
| CME Globex:
| Sunday - Friday 5:00 p.m. - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m.
|-
| 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
|-
| style="font-weight:bold;" | Minimum Price Fluctuation
| colspan="2" | ¼ of 1/32nd point ($7.8125 per contract)
|-
| style="font-weight:bold;" | Product Code
| colspan="2" | CME Globex: F1U
CME ClearPort: F1U

Clearing: F1U
|-
| style="font-weight:bold;" | Listed Contracts
| colspan="2" | March Quarterly cycle (March, June, September, December)
|-
| style="font-weight:bold;" | Settlement Method
| colspan="2" | Deliverable
|-
| style="font-weight:bold;" | Termination of Trading
| colspan="2" | 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.
|-
| style="font-weight:bold;" | Settlement Procedures
| colspan="3" | 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.

[https://www.cmegroup.com/confluence/display/EPICSANDBOX/Interest+Rate+Swaps Daily Deliverable Interest Rate Swap Futures Settlement Procedures]
|-
| style="font-weight:bold;" | Position Limits
| colspan="2" | CBOT Position Limits
|-
| style="font-weight:bold;" | Exchange Rulebook
| colspan="2" | CBOT 52
|-
| style="font-weight:bold;" | Block Minimum
| colspan="2" | Block Minimum Thresholds
|-
| style="font-weight:bold;" | Price Listing or Circuit
| colspan="2" | Price Limits
|-
| style="font-weight:bold;" | Vendor Codes
| colspan="2" | Quote Vendor Symbols Listing
|-
| style="font-weight:bold;" | Delivery Procedure
| colspan="3" | 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.).
|-
| style="font-weight:bold;" | Delivery Period
| colspan="3" | 3rd Wednesday of Delivery Month
|}
== Notes ==
==Resources==
[https://www.cmegroup.com/trading/interest-rates/swap-futures/5-year-eris-sofr-swap_contract_specifications.html 5-Year Eris SOFR Swap Contract Specs]
[https://www.cmegroup.com/trading/interest-rates/swap-futures/5-year-usd-mac-swap_contract_specifications.html 5-Year USD MAC Swap Contract Specs]
[http://www.marketswiki.com/mwiki/CME_Group_interest_rate_products#CME_Group_interest_rate_futures_and_options_products CME Group interest rate products]

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