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VOLUME 22 - BULLETIN #115
TO:
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ALL CLEARING MEMBERS
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FROM:
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BUSINESS SYSTEMS GROUP
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DATE:
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June 11, 2002
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SUBJECT:
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CBOT® 5-Year Interest Rate Swap Futures
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Effective Friday, June 21, 2002, the Chicago Board of Trade will begin trading the 5-Year Interest Rate Swap futures contracts. Contract specifications and trading information are detailed below.
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5-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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NG
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Trading Unit
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The notional price of the fixed-rate side of a 5-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: 0099230
5 Digit: 99230
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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. All spreads will be executed in full tick. Calendar spreads will be available for differential trading in quarter tick increments.
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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 10:00 a.m. Chicago time on the last trading day.
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Settlement
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Cash settled on the last day according to 5-Year ISDA Benchmark Rate available on Reuters ISDAFIX1 page.
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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 5-Year U.S. dollar interest rate swap on the last day of trading, as published at approximately 11:30 a.m. New York
time on the Reuters page ISDAFIX1.*
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Delivery Method
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By cash settlement. The final settlement value will be determined as $100,000 * [ 6/r + ( 1 – 6/r )*( 1 + 0.01*r/2)-10 ] where r represents the ISDA Benchmark Rate for a 5-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 5.250.)
Contract expiration price will be the final settlement value rounded to the nearest one quarter of one thirty-second of one point. It will be reported in points, thirty-seconds of one point, and quarters of one thirty-second of one point.
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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: NG
a/c/e: SA
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Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
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