Wholesale Transactions
Changes in Exchange Minimum Margin Requirements
| Contract Size |
|
The notional price of the fixed-rate side of a 30-year interest rate swap with $100,000 notional principal, that exchanges semiannual interest payments at a 6% per annum fixed rate for floating interest rate payments based on 3-month LIBOR. |
| Tick Size |
|
One half of one thirty-second of one point ($15.625 per contract). |
| Price Quote |
|
Notional principal value of $100,000. Par is on the basis of 100 points. One point equals $1,000. |
| 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 expiration month. Trading in expiring contracts ceases at 11:00 am New York 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 30-year US dollar interest rate swap on the last day of trading, as published at approximately 11:30 am New York time on Reuters page ISDAFIX1sm. . (ISDA Benchmark mid-market par swap rates are collected at 11:00 am New York time by Reuters Limited and Garban Intercapital plc and published on Reuters page ISDAFIX1. Source: Reuters Limited.) |
| Settlement Price |
|
Cash settlement. The final settlement value will be determined as $100,000 * [6/r + (1 – 6/r) * (1 + r/200)-60] Where r represents the ISDA Benchmark Rate for a 30-year US dollar interest rate swap on the last day of trading, expressed in percent terms. (E.g., if the ISDA Benchmark Rate were five and a quarter percent, then r would be 5.25.) Contract expiration price will be the final settlement value rounded to the nearest one quarter of one thirty-second of one point. |
| Trading Hours |
|
Open auction: 7:20 a.m. to 2:00 p.m. Chicago time, Monday through Friday. |
| Ticker Symbols |
| Open Auction: NZ Electronic: I3 |
| Daily Price Limit |
| No position limit. Reportable position threshold: 500 contracts. Updates posted in Appendix 4C of CBOT Rules and Regulations. |
| Margin Information |
|
For information on margin requirements see CBOT website. |
| Subscriptions