CBOT: N1U 10-Year USD MAC Swap Futures prices chart
10-Year USD MAC Swap Futures (CBOT:N1U)
Product Code: CME Globex: N1U, CME ClearPort: N1U, Clearing: N1U
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: 1/2 of one 1/32 of one point (0.015625) = $15.625
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.
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.).
Delivery Period: 3rd Wednesday of Delivery Month
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 days 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.