20-Year MAC SOFR Swap Futures - Contract Specs
| Contract Unit | $1,000 per point ($100,000 per contract) |
|---|---|
| Price Quotation | Prices are made in terms of price points: 100 points plus the net present value (NPV) of all past and future swap cash flows. |
| 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 | 1/32nd of one point (0.03125) = $31.25 |
| Product Code | CME Globex: E1S CME ClearPort: E1S Clearing: E1S |
| Listed Contracts | Contracts listed for 2 Months in the March Quarterly Cycle (March, June, September, December),on a rolling basis. |
| Settlement Method | Deliverable |
| Termination of Trading | Trading terminates on the 2nd London business day before the 3rd Wednesday of the contract month |
| 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 Procedure |
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