Difference between revisions of "CME Group 5-Year Eris SOFR/USD MAC Swap"
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[https://www.cmegroup.com/confluence/display/EPICSANDBOX/Interest+Rate+Swaps Daily Deliverable Interest Rate Swap Futures Settlement Procedures] | [https://www.cmegroup.com/confluence/display/EPICSANDBOX/Interest+Rate+Swaps Daily Deliverable Interest Rate Swap Futures Settlement Procedures] | ||
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| style="font-weight:bold;" | Position Limits | | style="font-weight:bold;" | Position Limits | ||
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[[Category:Sponsored Pages]] | [[Category:Sponsored Pages]] | ||
[[Category:Sponsored Pages - CME]] | [[Category:Sponsored Pages - CME]] | ||
[[Category:Interest Rate Futures Contracts]] | |||
[[Category:Futures Contracts Traded on CME Group]] | [[Category:Futures Contracts Traded on CME Group]] | ||
[[Category:Financial Futures Contracts]] | [[Category:Financial Futures Contracts]] | ||
[[Category:Futures Data in Template]] | [[Category:Futures Data in Template]] | ||
Latest revision as of 18:01, 18 February 2021
| 5-Year MAC 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 | 0.0100 = $10.00 | ||
| Product Code | CME Globex: YIW
CME ClearPort: YIW Clearing: YIW | ||
| 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 | ||
| 5-Year 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: | 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 | ||
| Minimum Price Fluctuation | ¼ of 1/32nd point ($7.8125 per contract) | ||
| Product Code | CME Globex: F1U
CME ClearPort: F1U Clearing: F1U | ||
| 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 Futures Settlement Procedures | ||
| Position Limits | CBOT Position Limits | ||
| Exchange Rulebook | CBOT 52 | ||
| Block Minimum | Block Minimum Thresholds | ||
| Price Listing 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 | ||
Notes[edit]
Resources[edit]
5-Year Eris SOFR Swap Contract Specs 5-Year USD MAC Swap Contract Specs CME Group interest rate products