Customer Service
info@cmegroup.com
800-331-3332 or 312-930-2316
CBOT 30-Year Interest Rate Swap
Product Snapshot: CBOT 30-Year Interest Rate Swap Futures
30-Year Interest Rate Swap futures fill a vital need for exchange-traded derivative contracts that reference intermediate- and long-term swap rates. They offer institutional market participants a convenient means for acquiring and laying off exposure to plain vanilla swap rates
30-Year Interest Rate Swap futures provide a way to:
- Create synthetic portfolios that more accurately track actual portfolio exposures, when used in conjunction with other CME Group interest rate futures
- Facilitate the structuring of a variety of credit spread and bank credit yield curve trades.
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View free real-time quotes on a variety of electronically traded CME Group products
3-Month Overnight Index Swaps Launching Sept. 7
Trade the spread between 3-month LIBOR and 3-month overnight rates with this new STIR product.
CNBC's Rick Santelli to host Fed Watch Webinar
Thursday, June 19, 2008
3:00 p.m., Central Time
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.
| Trade Unit | The notional price of the fixed-rate side of a 30-Year interest rate swap that has notional principal equal to $100,000, and that exchanges semiannual interest payments at a fixed rate of 6 percent per anum for floating interest rate payments, based on 3-month LIBOR |
| Settle Method | Cash Settled |
| Point Size | Multiples of one-half of one thirty-second (1/32) point per 100 points ($15.625 per contract rounded up to the nearest cent) except for intermonth spreads, where minimum price fluctuations shall be in multiples of one-fourth of one thirty-second proint per 100 points ($7.8125 per contract). Par shall be on the basis of 100 points. Contracts shall not be made on any other price basis. |
| Strike Price Interval | |
| Strike | |
| Limits/Price Banding | |
| Tick Size (Minimum Fluctuation) | |
| Trading Hours | Electronic: 6:03 p.m. - 4:00 p.m. CT, Sunday - Friday |
| Listed | |
| Product Codes | Clearing: I3 (eye-3) Open Outcry: NZ Electronic: I3 |
| Minimum Block Size | |
| Product Calendar | First three consecutive contracts in the Mar, Jun, Sep and Dec quarterly cycle View current product listings |
| Trade Unit | The notional price of the fixed-rate side of a 30-Year interest rate swap that has notional principal equal to $100,000, and that exchanges semiannual interest payments at a fixed rate of 6 percent per anum for floating interest rate payments, based on 3-month LIBOR |
| Settle Method | Cash Settled |
| Point (Tick) Size | Multiples of one-half of one thirty-second (1/32) point per 100 points ($15.625 per contract rounded up to the nearest cent) except for intermonth spreads, where minimum price fluctuations shall be in multiples of one-fourth of one thirty-second proint per 100 points ($7.8125 per contract). Par shall be on the basis of 100 points. Contracts shall not be made on any other price basis. |
| Strike Price Interval | |
| Strike | |
| Limits/Price Banding | |
| Minimum Fluctuation | |
| Trading Hours | Open Outcry: 7:20 a.m. to 2:00 p.m. CT, Monday - Friday |
| Listed | |
| Product Codes | Clearing: I3 (eye-3) Open Outcry: NZ Electronic: I3 |
| Minimum Block Size | |
| Product Calendar | First three consecutive contracts in the Mar, Jun, Sep and Dec quarterly cycle View current product listings |
3-Month Overnight Index Swaps Launching Sept. 7
Trade the spread between 3-month LIBOR and 3-month overnight rates with this new STIR product.
CNBC's Rick Santelli to host Fed Watch Webinar
Thursday, June 19, 2008
3:00 p.m., Central Time
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.
| Contract Month | Product Code | First Trade Date | Last Trade Date | Settlement Date | |
| SEP08 | I3U08 | 12/18/2007 |  |
09/15/2008 | 09/15/2008 |
| DEC08 | I3Z08 | 03/18/2008 | |
12/15/2008 | 12/15/2008 |
| MAR09 | I3H09 | 06/17/2008 | |
03/16/2009 | 03/16/2009 |
3-Month Overnight Index Swaps Launching Sept. 7
Trade the spread between 3-month LIBOR and 3-month overnight rates with this new STIR product.
CNBC's Rick Santelli to host Fed Watch Webinar
Thursday, June 19, 2008
3:00 p.m., Central Time
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.