© 2012 CME Group. All rights reserved
•Capital efficient way to access interest rate swap exposure•Flexible execution via CME Globex, Block trades, EFRPs and Open Outcry •Allows participants to trade in an OTC manner:
•Ability to block calendar spreads•Lower block thresholds and longer reporting times•No block surcharges
•U.S. dollar-denominated quarterly contracts expiring on IMM dates for key benchmark maturities (2, 5, 10, 30 years)•At expiration, all open positions will deliver into CME Group Cleared Interest Rate Swaps•Created based on strong demand from financial market participants including banks, hedge funds, asset managers and insurers•Complements CME Group’s market-leading Interest Rate Futures and Options businesses and Cleared OTC Swap offerings•Citi, Credit Suisse, Goldman Sachs, and Morgan Stanley are among the firms that plan to serve as market makers
Deliverable Swap Futures
Innovative new product created based on client demandSwap exposure with the benefits of a Futures contract
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© 2012 CME Group. All rights reserved
Contract Specifications
Deliverable Swap Futures
Reference Tenors
•2, 5, 10, 30 Year
Delivery Months
•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.
Price Basis
•100 points plus NPV of deliverable grade IRS
Contract Size
•$1,000per point ($100,000 per contract)
Minimum Price Increment
Reference TenorMinimum PriceIncrementPer contractBlock Threshold* Approximate minimum price increment in basis points
30-Year1/32
nd
point ($31.25)5001/810-Year½ of 1/32
nd
point ($15.625)10001/65-Year½ of 1/32
nd
point ($15.625)15001/32-Year¼ of 1/32
nd
point ($7.8125)30003/8
Last Trading Day
•Second London business day before 3
rd
Wednesday of futures Delivery Month
TradingHours
•CME Globex: 5:00 PMto 4:00 PM, Sun-Fri•Trading in expiring futures terminates at 2:00 pm CTon Last Trading Day
Tickers
US PrimaryUSSecondary
2 YearT1UT2U5 YearF1UF2U10 YearN1UN2U30 YearB1UB2U
Matching Algorithms
OutrightsCalendar Spreads
FIFO(F)Pro Rata (K)3
*Block reporting time is 15 minutes
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