CME Group Deliverable Interest Rate Swap

CME Deliverable Swap Futures are available in both USD and Euro currency.
Deliverable Interest Rate Swap Futures	Deliverable Interest Rate Swap Futures 	Deliverable Interest Rate Swap Futures 	Deliverable Interest Rate Swap Futures 	Deliverable Interest Rate Swap Futures
Reference Tenors 	2, 5, 10, 30 Year 	2, 5, 10, 30 Year 	2, 5, 10, 30 Year 	2, 5, 10, 30 Year
Delivery Months 	March Quarterly Cycle (March, June, Sept, Dec) 	March Quarterly Cycle (March, June, Sept, Dec) 	March Quarterly Cycle (March, June, Sept, Dec) 	March Quarterly Cycle (March, June, Sept, Dec)
Contract Fixed Rate 	Set by the Exchange when a futures contract is listed for trading, as a rate per annum with 30/360 day count
fraction, at an integer multiple of 25 basis points per annum	Set by the Exchange when a futures contract is listed for trading, as a rate per annum with 30/360 day count
fraction, at an integer multiple of 25 basis points per annum	Set by the Exchange when a futures contract is listed for trading, as a rate per annum with 30/360 day count
fraction, at an integer multiple of 25 basis points per annum	Set by the Exchange when a futures contract is listed for trading, as a rate per annum with 30/360 day count
fraction, at an integer multiple of 25 basis points per annum
Price Basis 	100 points plus NPV of deliverable grade IRS 	100 points plus NPV of deliverable grade IRS 	100 points plus NPV of deliverable grade IRS 	100 points plus NPV of deliverable grade IRS
Contract Size 	$1,000 per point ($100,000 per contract) 	$1,000 per point ($100,000 per contract) 	$1,000 per point ($100,000 per contract) 	$1,000 per point ($100,000 per contract)
Minimum Price Increment 	Reference Tenor 	Minimum Price Increment
Per contract 	Block
Threshold* 	Approximate minimum price
increment in basis points
Minimum Price Increment 	30-Year 	1/32nd point ($31.25) 	500 	1/8
Minimum Price Increment 	10-Year 	½ of 1/32nd point ($15.625) 	1000 	1/6
Minimum Price Increment 	5-Year 	½ of 1/32nd point ($15.625) 	1500 	1/3
Minimum Price Increment 	5-Year 	½ of 1/32nd point ($15.625) 	1500 	1/3
2-Year 	¼ of 1/32nd point ($7.8125) 	3000 	3/8 	
Last Trading Day 	Second London business day before 3rd Wednesday of futures Delivery Month	Second London business day before 3rd Wednesday of futures Delivery Month	Second London business day before 3rd Wednesday of futures Delivery Month	Second London business day before 3rd Wednesday of futures Delivery Month
Trading Hours 	CME Globex: 5:00 PM to 4:00 PM, Sun- Fri
Trading in expiring futures terminates at 2:00 pm CT on Last Trading Day	CME Globex: 5:00 PM to 4:00 PM, Sun- Fri
Trading in expiring futures terminates at 2:00 pm CT on Last Trading Day	CME Globex: 5:00 PM to 4:00 PM, Sun- Fri
Trading in expiring futures terminates at 2:00 pm CT on Last Trading Day	CME Globex: 5:00 PM to 4:00 PM, Sun- Fri
Trading in expiring futures terminates at 2:00 pm CT on Last Trading Day
Tickers 	 	 	US Primary 	US Secondary
Tickers 	2 Year 	2 Year 	T1U 	T2U
Tickers 	5 Year 	5 Year 	F1U 	F2U
Tickers 	10 Year 	10 Year 	N1U 	N2U
Tickers 	30 Year 	30 Year 	B1U 	B2U
Matching Algorithms 	Outrights 	Outrights 	Calendar Spreads 	Calendar Spreads
Matching Algorithms 	FIFO (F) 	FIFO (F) 	Pro Rata (K) 	Pro Rata (K)
== Notes ==
== Resources ==
Deliverable Interest Rate Swap Futures Contract Specs 
CME Group interest rate products
Category:Sponsored Pages
Category:Sponsored Pages - Russell
Category:Deliverable Interest Rate Swap Futures Contracts
Category:Futures Contracts Traded on CME Group
Category:Financial Futures Contracts
Category:Futures Data in Template