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Local: 312-930-1000
Toll Free: 866-716-7274
Customer Service
Product inquiries, website issues, and specific questions
Phone: 312-930-2316
Toll Free: 800-331-3332
E-mail:info@cmegroup.com
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CBOT 5-Year Interest Rate Swap
Product Snapshot: CBOT 5-Year Interest Rate Swap Futures
5-Year Interest Rate Swap futures fill a vital need for exchange-traded derivative contracts that reference intermediate-term swap rates. They offer institutional market participants a convenient means for acquiring and laying off exposure to plain vanilla swap rates
5-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.
New! 7-Year Interest Rate Swap Futures Coming September 21, 2008!
More
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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.
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
| Trade Unit | The notional price of the fixed-rate side of a 5-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 | Points ($1,000) and one-half of 1/32 of one point of the notional principal of a swap having notional par value of $100,000. paris on the basis of 100 points | ||
| Strike Price Interval | Integral multiples of one (1) point per 5-Year Interest Rate Swap futures contract | ||
| Strike | |||
| Limits/Price Banding | |||
| Tick Size (Minimum Fluctuation) |
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| Trading Hours | Sunday/Friday 5:30 p.m.-4:00 p.m. CT; Shutdown period from 4:00 p.m. to 5:00 p.m. nightly | ||
| Listed | |||
| Product Codes | Clearing: NG Open Outcry: NG Globex: SA | ||
| 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 5-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 | Points ($1,000) and one-half of 1/32 of one point of the notional principal of a swap having notional par value of $100,000. paris on the basis of 100 points | ||
| Strike Price Interval | Integral multiples of one (1) point per 5-Year Interest Rate Swap futures contract | ||
| Strike | |||
| Limits/Price Banding | |||
| Minimum Fluctuation |
|
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| Trading Hours | Open Outcry: 7:20 a.m. to 2:00 p.m. CT, Monday - Friday | ||
| Listed | |||
| Product Codes | Clearing: NG Open Outcry: NG Globex: SA | ||
| 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.
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
| Contract Month | Product Code | First Trade Date | Last Trade Date | Settlement Date | |
| DEC08 | NGZ08 | 03/18/2008 |  |
12/15/2008 | 12/15/2008 |
| MAR09 | NGH09 | 06/17/2008 | |
03/16/2009 | 03/16/2009 |
| JUN09 | NGM09 | 09/16/2008 | |
06/15/2009 | 06/15/2009 |
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.
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