A Swap Volatility Relative Value Strategy
CBOT Contract Changes Spell New Trading Opportunities
| Contract Size |
|
The notional price of the fixed-rate side of a 5-year interest rate swap that has notional principal equal to $100,000, and that exchanges semiannual interest payments at a fixed rate of 6% per annum for floating interest rate payments, based on 3-month LIBOR. |
| Tick Size |
|
Minimum price fluctuations shall be in multiples of one-half of one thirty-second (1/32) point per 100 points ($15.625 rounded up to the nearest cent per contract) except for intermonth spreads, where minimum price fluctuations shall be in multiples of one-fourth of one thirty-second point per 100 points ($7.8125 per contract). Par shall be on the basis of 100 points. Contracts shall not be made on any other price basis. |
| Price Quote |
|
Points ($1,000.00) and thirty-seconds (1/32) of one point of the notional principal of a swap having notional par value of $100,000. Par is on the basis of 100 points. |
| Contract Months |
| The first three consecutive contracts in the March-June-September-December quarterly cycle. |
| Last Trading Day |
| The second London business day preceding the third Wednesday of the delivery month. Trading in expiring contracts close at 11:00 am, Eastern Time, on the last trading day. |
| Settlement |
|
The notional price of the Trading Unit on the last day of trading, based upon the ISDA® Benchmark Rate for a 5-year U.S. dollar interest rate swap on the last day of trading, as published at approximately 11:30 am, Eastern Time, on Reuters page ISDAFIX1sm.* |
| Settlement Price |
| By cash settlement. The final settlement value will be determined as $100,000 * [ 6/r + ( 1 – 6/r )*( 1 + 0.01*r/2)-10 ] where r represents the ISDA Benchmark Rate for a 5-year U.S. dollar interest rate swap on the last day of trading, expressed in percent terms (For example, if the ISDA Benchmark Rate were five and a quarter percent, then r would be 5.250.) Contract expiration price will be the final settlement value rounded to the nearest one quarter of one thirty-second of one point. It will be reported in points, thirty-seconds of one point, and quarters of one thirty-second of one point. |
| Trading Hours |
| Open Auction: 7:20 am to 2:00 pm, Central Time, Monday - Friday Electronic: 6:03 pm to 4:00 pm, Central Time, Sunday - Friday |
| Ticker Symbols |
| Open outcry: NG Electronic: SA |
| Daily Price Limit |
| None |
| Margin Information |
| Find information on margins requirements for the 5 Year Interest Rate Swap Futures. |
| Subscriptions