CME Group 10-Year Interest Rate Swaps

#redirect CME Group 10 Year USD Deliverable Interest Rate Swap
10-Year Interest Rate/USD MAC Swap Futures	10-Year Interest Rate/USD MAC Swap Futures 	10-Year Interest Rate/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: 	5 p.m. to 4 p.m., Sun-Fri.
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 	One-half of one thirty-second (1/32) of one point ($15.625, rounded to the nearest cent per contract), except for intermonth spreads, where the minimum price fluctuation is one-quarter of one thirty-second of one point ($7.8125 per contract) 	One-half of one thirty-second (1/32) of one point ($15.625, rounded to the nearest cent per contract), except for intermonth spreads, where the minimum price fluctuation is one-quarter of one thirty-second of one point ($7.8125 per contract)
Product Code 	CME Globex: N1U
CME ClearPort: N1U
Clearing: N1U 	CME Globex: N1U
CME ClearPort: N1U
Clearing: N1U
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 53 	CBOT 53
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 ==
Category:Sponsored Pages
Category:Sponsored Pages - CME
Category:Reserved Pages
Category:Reserved Pages - CME
Category:Interest Rate Futures Contracts
Category:Futures Contracts Traded on CME Group
Category:Financial Futures Contracts
Category:Futures Data in Template