CME Group 5-Year Interest Rate Swaps

#redirect CME Group 5-Year Eris SOFR/USD MAC Swap
5-Year Eris SOFR Swap Futures	5-Year Eris SOFR Swap Futures 	5-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 	0.0100 = $10.00 	0.0100 = $10.00
Product Code 	CME Globex: YIW
CME ClearPort: YIW
Clearing: YIW 	CME Globex: YIW
CME ClearPort: YIW
Clearing: YIW
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).
Position Limits 	CBOT Position Limits 	CBOT Position Limits
Exchange Rulebook 	CBOT 62 	CBOT 62
Block Minimum 	Block Minimum Thresholds 	Block Minimum Thresholds
Price Limit or Circuit 	Price Limits 	Price Limits
Vendor Codes 	Quote Vendor Symbols Listing 	Quote Vendor Symbols Listing
5-Year USD MAC Swap Futures	5-Year USD MAC Swap Futures 	5-Year USD MAC 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 net present value (NPV) of IRS that meets Delivery Standard, where NPV is present value of IRS fixed-rate payments minus present value of IRS floating-rate payments as of 3rd Wednesday of Delivery Month. Par is on the basis of 100 points.	Prices are made in terms of price points: 100 points plus net present value (NPV) of IRS that meets Delivery Standard, where NPV is present value of IRS fixed-rate payments minus present value of IRS floating-rate payments as of 3rd Wednesday of Delivery Month. Par is on the basis of 100 points.
Trading Hours 	CME Globex: 	Sunday - Friday 5:00 p.m. - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m.
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 	¼ of 1/32nd point ($7.8125 per contract) 	¼ of 1/32nd point ($7.8125 per contract)
Product Code 	CME Globex: F1U
CME ClearPort: F1U
Clearing: F1U 	CME Globex: F1U
CME ClearPort: F1U
Clearing: F1U
Listed Contracts 	March Quarterly cycle (March, June, September, December) 	March Quarterly cycle (March, June, September, December)
Settlement Method 	Deliverable 	Deliverable
Termination of Trading 	Second London business day before 3rd Wednesday of futures Delivery Month. Trading in expiring contracts closes at 2:00 p.m. on the last trading day. 	Second London business day before 3rd Wednesday of futures Delivery Month. Trading in expiring contracts closes at 2:00 p.m. on the last trading day.
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 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 Procedures
Position Limits 	CBOT Position Limits 	CBOT Position Limits
Exchange Rulebook 	CBOT 52 	CBOT 52
Block Minimum 	Block Minimum Thresholds 	Block Minimum Thresholds
Price Limit or Circuit 	Price Limits 	Price Limits
Vendor Codes 	Quote Vendor Symbols Listing 	Quote Vendor Symbols Listing
Delivery Procedure 	To participate in physical delivery, a futures position holder must be an Eligible Contract Participant (17 CFR 1.3(m) and CME Rule 90005.C.) and must be registered with CME by a CME IRS Clearing Member as an IRS Participant (CME Rules 90005.A. and 90005.B.). 	To participate in physical delivery, a futures position holder must be an Eligible Contract Participant (17 CFR 1.3(m) and CME Rule 90005.C.) and must be registered with CME by a CME IRS Clearing Member as an IRS Participant (CME Rules 90005.A. and 90005.B.).
Delivery Period 		3rd Wednesday of Delivery Month 		3rd Wednesday of Delivery Month
== Notes ==
==Resources==
5-Year USD MAC Swap Contract Specs
5-Year Eris SOFR Swap Contract Specs
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