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10-Year Interest Rate Swap Futures
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Exchange Code
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01
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Commodity Code
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NI
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Trading Unit
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The notional price of the fixed-rate side of a 10-year interest rate swap that has notional principal amount equal to $100,000, and that exchanges semiannual interest payments, at a fixed rate of 6% per annum for floating interest rate payments, based on a 3-month LIBOR.
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Clearing Price Format
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Actual: 99 23/32
7 Digit: 0009923
5 Digit: 09923
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Tick Size:
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One 1/32 of a point ($31.25), rounded up the nearest full cent.
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Daily Price Limit
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None.
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Spreads
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Calendar spreads and intercommodity spreads with Treasury and agency complexes (open outcry only). All spreads will be executed in full tick. Calendar spreads will be available for differential trading (open outcry only)
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Contract Months
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The first three consecutive contracts in the March-June-September-December quarterly cycle.
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Last Trading Day
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The second London business day preceding the third Wednesday of the delivery month. Trading in expiring contracts close at 2:00 p.m. Chicago time on the last trading day.
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Settlement
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Daily settlement price determined by pit committee at close of open outcry trading at 2:00 p.m. If there are less than 12 participants involved in setting the cash settlement price, no price will be provided to clearing and SWAP positions will be carried out until CBOT provides a cash settlement price.
Contract is cash settled quarterly (March, June, September, and December) at expiration. Expiration is the day after last trade date. Minimum tick for cash settlements is ¼ of 1/32 ($7.81).
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Delivery Standard
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The notional price of the Trading Unit on the last day of trading, based upon the ISDA Benchmark Rate for a 10-year U.S. dollar interest rate swap on the last day of trading, as published on the following business day by the Federal Reserve Board in its Daily Update to the H.15 Statistical Release.
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Delivery Method
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By cash settlement. The final settlement price will be determined as
$100,000 * [6/r + (1-6/r)*(1 + 0.01*r/2)^ (-20)]
where r represents the ISDA Benchmark Rate for a 10-Year U.S. dollar interest rate swap on the last day of trading, expressed in percent terms (For example, if the ISDA Benchmark Rate were five and a quarter percent, then r would be 5.25).
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Trading Hours
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Open outcry: 7:20 a.m. to 2:00 p.m. Chicago time, Monday through Friday.
a/c/e: 8:00 p.m to 4:00 p.m. Chicago time, Sunday through Friday.
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Position Limits
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5,000 contracts in spot month / 5,000 contracts in all contract months combined.
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Reportable Positions
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100 contracts (in any one month)
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Ticker Symbol
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Open outcry: NI
a/c/e: SR
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