2-Year Eris SOFR Swap Futures - Contract Specs
| Contract Unit | 100 price points ($100,000 notional value) |
|---|---|
| Price Quotation | U.S.dollars and cents per price point |
| Trading Hours | CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m.ET (5:00 p.m. - 4:00 p.m. CT). Monday - Thursday 5:00 p.m. - 6:00 p.m. ET (4:00 p.m. - 5:00 p.m. CT) daily maintenance period 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 | 0.0025 of one point = $2.50 |
| Product Code | CME Globex: YIT CME ClearPort: YIT Clearing: YIT |
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 2 consecutive quarters |
| 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 | |
| Exchange Rulebook | |
| Block Minimum | |
| Price Limit or Circuit | |
| Vendor Codes |
