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CME 10-Year Swap Rate
Product Snapshot: CME 10-Year Swap Rate Futures
The CME 10-Year Swap Rate futures contract is designed to hedge longer maturity cash market interest rate swaps. It also offers attractive spreading opportunities against the highly liquid Eurodollar futures and options contracts. Interest rate swaps are an innovative and useful means of transferring financial risk and are one of the largest financial markets in the world. The interest rate swap yield curve serves as a benchmark for interest rates in the U.S. due to the market’s size and liquidity
CME 10-Year Swap Rate futures provide a way to:
- Profit from a long-term directional view on interest rate swaps
- Construct hedges for individual U.S. dollar interest rate swaps or corporate debt with minimal basis risk
- Lengthen or shorten the duration of interest rate swap by selling or purchasing Swap Rate futures
- Create intra-product yield curve spreads via trades between the Eurodollar Packs and Bundles and Swap Rate futures
- Take advantage of yield curve and other arbitrage opportunities with cash market instruments by executing an “Exchange Basis Facility” (EBF) transaction with Swap Rate futures
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View free real-time quotes on a variety of electronically traded CME Group products
Four Important New Publications for Interest Rate Customers
View and download them here.
- An Efficient Approach to Mortgage Pipeline Risk Management
- Protecting Funding Margins with Binary Options on the Target Federal Funds Rate
- Liability Driven Investing: Challenges and Opportunities
- The Evolution of Alpha Transport Strategies into Fixed Income
To request a print version, please call Customer Service at 1-800-331-3332 or 312-930-2316.
New Market Maker Programs for Interest Rates Products
Get complete details on our market maker programs for trading options on U.S. Treasuries, 30-Day Fed Funds and Eurodollars
Tick Changes Pending for U.S. Treasury Products and Block Trading Approved for CBOT Interest Rate Products
Beginning March 3, 2008 CME Group will reduce the minimum tick size for three of its most actively traded U.S. Treasury contracts.
| Trade Unit | ISDA USD Benchmark Swap Rate with a ten (10) year term and a $100,000 notional value. | ||
| Settle Method | Cash Settled | ||
| Point Size | 1 point = 0.01 = $100.00 | ||
| Strike Price Interval | |||
| Strike | |||
| Limits/Price Banding | No limits between 7:20am and 2:00pm; 2:00 Index point limit in other hours | ||
| Tick Size (Minimum Fluctuation) |
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| Trading Hours | Mon-Thu 5:00pm - 4:00pm; Sun & Hol 5:00pm - 4:00pm | ||
| Listed | |||
| Product Codes | Clearing=S0 Ticker=S0 Trading Floor=SW0 GLOBEX=S0 | ||
| Minimum Block Size | |||
| Product Calendar | Two months in March quarterly cycle. View current product listings |
| Trade Unit | ISDA USD Benchmark Swap Rate with a ten (10) year term and a $100,000 notional value. | ||
| Settle Method | Cash Settled | ||
| Point (Tick) Size | 1 point = 0.01 = $100.00 | ||
| Strike Price Interval | |||
| Strike | |||
| Limits/Price Banding | No limits between 7:20 a.m. and 2:00 p.m. | ||
| Minimum Fluctuation |
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| Trading Hours | 7:20 a.m. - 2:00 p.m. | ||
| Listed | |||
| Product Codes | Clearing=S0 Ticker=S0 Trading Floor=SW0 GLOBEX=S0 | ||
| Minimum Block Size | |||
| Product Calendar | Two months in March quarterly cycle. View current product listings |
Four Important New Publications for Interest Rate Customers
View and download them here.
- An Efficient Approach to Mortgage Pipeline Risk Management
- Protecting Funding Margins with Binary Options on the Target Federal Funds Rate
- Liability Driven Investing: Challenges and Opportunities
- The Evolution of Alpha Transport Strategies into Fixed Income
To request a print version, please call Customer Service at 1-800-331-3332 or 312-930-2316.
New Market Maker Programs for Interest Rates Products
Get complete details on our market maker programs for trading options on U.S. Treasuries, 30-Day Fed Funds and Eurodollars
Tick Changes Pending for U.S. Treasury Products and Block Trading Approved for CBOT Interest Rate Products
Beginning March 3, 2008 CME Group will reduce the minimum tick size for three of its most actively traded U.S. Treasury contracts.
| Contract Month | Product Code | First Trade Date | Last Trade Date | Settlement Date | |
| SEP08 | S0U08 | 03/18/2008 |  |
09/15/2008 | 09/15/2008 |
| DEC08 | S0Z08 | 06/17/2008 | |
12/15/2008 | 12/15/2008 |
Four Important New Publications for Interest Rate Customers
View and download them here.
- An Efficient Approach to Mortgage Pipeline Risk Management
- Protecting Funding Margins with Binary Options on the Target Federal Funds Rate
- Liability Driven Investing: Challenges and Opportunities
- The Evolution of Alpha Transport Strategies into Fixed Income
To request a print version, please call Customer Service at 1-800-331-3332 or 312-930-2316.
New Market Maker Programs for Interest Rates Products
Get complete details on our market maker programs for trading options on U.S. Treasuries, 30-Day Fed Funds and Eurodollars
Tick Changes Pending for U.S. Treasury Products and Block Trading Approved for CBOT Interest Rate Products
Beginning March 3, 2008 CME Group will reduce the minimum tick size for three of its most actively traded U.S. Treasury contracts.
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