CME Group 2-Year Eris SOFR/MAC Swap

2-Year Eris SOFR Swap Futures	2-Year Eris SOFR Swap Futures 	2-Year Eris SOFR Swap Futures 	
Contract Unit 	$1,000 per point ($100,000 per contract) 	$1,000 per point ($100,000 per contract) 	
Price Quotation 	U.S.dollars and cents per Price Point 	U.S.dollars and cents per Price Point 	
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 	
Trading Hours 	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 = $2.50 	0.0025 = $2.50 	
Product Code 	CME Globex: YIT
CME ClearPort: YIT
Clearing: YIT 	CME Globex: YIT
CME ClearPort: YIT
Clearing: YIT 	
Listed Contracts 	Contracts listed for 3 Months in the March Quarterly Cycle (March, June, September, December),on a rolling basis. 	Contracts listed for 3 Months in the March Quarterly Cycle (March, June, September, December),on a rolling basis. 	
Settlement Method 	Financially Settled 	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)	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).	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).	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 	CBOT Position Limits 	CBOT Position Limits 	
Exchange Rulebook 	CBOT 62 	CBOT 62 	
Block Minimum 	Block Minimum Thresholds 	Block Minimum Thresholds 	
Price Listing or Circuit 	Price Limits 	Price Limits 	
Vendor Codes 	Quote Vendor Symbols Listing 	Quote Vendor Symbols Listing 	
2-Year Eris Swap Futures 	2-Year Eris Swap Futures 	2-Year Eris Swap Futures 	
Contract Unit 	$1,000 per point ($100,000 per contract) 	$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. 	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 - Friday 5:00 p.m. - 4:00 p.m. (6:00 p.m. - 5:00 p.m. ET) with a 60-minute break each day beginning at 4:00 p.m. (5:00 p.m. ET) 	
Trading Hours 	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	0.0020 = $2.00
Nearest 4 IMM Expiries: 0.0010 = $1.00 	0.0020 = $2.00
Nearest 4 IMM Expiries: 0.0010 = $1.00 	
Product Code 	CME Globex: LIT
CME ClearPort: LIT
Clearing: LIT 	CME Globex: LIT
CME ClearPort: LIT
Clearing: LIT 	
Listed Contracts 	At least 2 On-the-Run contract months in the March Quarterly cycle (March, June, September, December) plus Off-the Run contracts until expiry. 	At least 2 On-the-Run contract months in the March Quarterly cycle (March, June, September, December) plus Off-the Run contracts until expiry. 	
Settlement Method 	Financially Settled 	Financially Settled 	
Termination of Trading 	Trading terminates on the NY business day before the Maturity Date, defined as the date tenor-years forward from the IMM Effective Date, based on ISDA modified following date conventions.	Trading terminates on the NY business day before the Maturity Date, defined as the date tenor-years forward from the IMM Effective Date, based on ISDA modified following date conventions.	
Settlement Procedures 	The Daily Settlement Price shall be as follows:
 St = 100 + At + Bt - Ct
 St = Settlement price at time t
 At = Net Present Value (NPV) of the future cash flows at time t, based on OIS discounting
 Bt = Value of the historical fixed and floating amounts since contract inception
 Ct = Eris Price Alignment Amount (or Eris PAA).
The Exchange and CME Clearing calculate Daily Settlement Price to 4 decimals of precision (e.g., 100.1234).	The Daily Settlement Price shall be as follows:
 St = 100 + At + Bt - Ct
 St = Settlement price at time t
 At = Net Present Value (NPV) of the future cash flows at time t, based on OIS discounting
 Bt = Value of the historical fixed and floating amounts since contract inception
 Ct = Eris Price Alignment Amount (or Eris PAA).
The Exchange and CME Clearing calculate Daily Settlement Price to 4 decimals of precision (e.g., 100.1234).	The Daily Settlement Price shall be as follows:
 St = 100 + At + Bt - Ct
 St = Settlement price at time t
 At = Net Present Value (NPV) of the future cash flows at time t, based on OIS discounting
 Bt = Value of the historical fixed and floating amounts since contract inception
 Ct = Eris Price Alignment Amount (or Eris PAA).
The Exchange and CME Clearing calculate Daily Settlement Price to 4 decimals of precision (e.g., 100.1234).
Position Limits 	CBOT Position Limits 	CBOT Position Limits 	
Exchange Rulebook 	CBOT 61 	CBOT 61 	
Block Minimum 	Block Minimum Thresholds 	Block Minimum Thresholds 	
Price Listing or Circuit 	Price Limits 	Price Limits 	
Vendor Codes 	Quote Vendor Symbols Listing 	Quote Vendor Symbols Listing 	
2-Year MAC SOFR Swap Futures	2-Year MAC SOFR Swap Futures 	2-Year MAC SOFR Swap Futures 	
Contract Unit 	$1,000 per point ($100,000 per contract) 	$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.	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 	
Trading Hours 	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 	1/4 of 1/32nd of one point (0.0078125) = $7.8125 	1/4 of 1/32nd of one point (0.0078125) = $7.8125 	
Product Code 	CME Globex: T1S
CME ClearPort: T1S
Clearing: T1S 	CME Globex: T1S
CME ClearPort: T1S
Clearing: T1S 	
Listed Contracts 	Contracts listed for 3 Months in the March Quarterly Cycle (March, June, September, December),on a rolling basis. 	Contracts listed for 3 Months in the March Quarterly Cycle (March, June, September, December),on a rolling basis. 	
Settlement Method 	Deliverable 	Deliverable 	
Termination of Trading 	Trading terminates on the 2nd London business day before the 3rd Wednesday of the contract month 	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	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	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
Position Limits 	CBOT Position Limits 	CBOT Position Limits 	
Exchange Rulebook 	CBOT 63 	CBOT 63 	
Block Minimum 	Block Minimum Thresholds 	Block Minimum Thresholds 	
Price Listing or Circuit 	Price Limits 	Price Limits 	
Vendor Codes 	Quote Vendor Symbols Listing 	Quote Vendor Symbols Listing 	
== Notes ==
==Resources==
2-Year Eris SOFR Swap Contract Specs
2-Year Eris Swap Contract Specs
2-Year MAC SOFR Swap Contract Specs
CME Group interest rate products
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