CBOT: F1U 5-Year USD MAC Swap Futures prices chart
5-Year USD MAC Swap Futures (CBOT: F1U)
Product Code: CME Globex: F1U, CME ClearPort: F1U, Clearing: F1U
Contract Unit: $1,000 per point
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. Minimum Price Fluctuation: 1/4 of 1/32 of one point (0.0078125) = $7.8125
Settlement Method: Deliverable
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.
Listed Contracts: Quarterly contracts (Mar, Jun, Sep, Dec) listed for 2 consecutive quarters
Termination of Trading: Trading terminates at 2:00 p.m. CT, 2 London business day prior to the 3rd Wednesday of the contract month.
Trading Hours: Sunday - Friday 6:00 p.m. - 5:00 p.m.ET (5:00 p.m. - 4:00 p.m. CT). Monday - Thursday 5:00 p.m. - 6:00 p.m. ET (4:00 p.m. - 5:00 p.m. CT) daily maintenance period.