Interest Rate Swaps

MAC Swap Futures

Normal Daily Settlement

Daily settlements of the 2-Year (T1U), 5-Year (F1U), 7-Year (S1U) 10-Year (N1U), 20-Year (E1U) and 30-Year (B1U) MAC Swap futures are determined by CME Group staff based on trading activity on CME Globex.

Lead Month

The lead month is the anchor leg for settlements and is the contract expected to be the most active.

Tier 1: If the lead month contract trades on CME Globex between 13:59:30 and 14:00:00 Central Time (CT), the settlement period, then the lead month settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2: If no trades in the lead month occur on CME Globex between 13:59:30 and 14:00:00 CT, then the last trade (or prior settle in the absence of a last trade price) is used.

The lead month settles to the last trade/prior settle assuming that it does not violate the current bid or the current ask in the settlement period. If the current bid is higher than the last trade/prior settlement price, then the lead month settles to that bid. If the current ask is lower than the last trade/prior settle, then the lead month settles to that ask.

Second Month

When the lead month is the expiry month, then the second month is defined as the calendar month immediately following the lead month. When the lead month is not the expiry month, then the second month is defined as the first expiring non-lead month.

Tier 1: If the lead month-second month spread trades on CME Globex between 13:59:30 and 14:00:00 CT, then the spread VWAP is calculated and rounded to the spread’s nearest tradable tick. The spread differential is then applied to the lead month settlement price to derive the second month settlement, which is rounded to the outright’s nearest tradable tick.

Tier 2: If a spread VWAP is not available due to an absence of trades, then the last spread trade is applied to the lead month settlement price to derive the second month settlement, which is rounded to the outright’s nearest tradable tick.  
If there is no last trade available, then the prior-day spread relationship is used, assuming that it does not result in a settlement that violates the current bid or the current ask in either the outright market for the second month or the lead month-second month calendar spread market during the settlement period. In either of the above scenarios, if the derived spread differential in the lead month-second month spread is below the current bid in the settlement period in that spread, then the spread settles to that bid. If the calculated spread differential in the lead month-second month spread is higher than the current ask in the settlement period in that spread, then the spread settles to that ask. Additionally, if the derived second month settlement violates the current bid or the current ask in the outright market for the second month during the settlement period, then, the settlement will be adjusted to the nearest current bid or the current ask accordingly – provided the resulting price does not violate the current bid /current ask in the spread.

Back Months

To derive settlements for all remaining months, the lead month net change is applied to the back month contracts’ prior-day settlements, provided that this value does not violate the current bid or current ask between 13:59:30 and 14:00:00 CT for either the respective outrights or the consecutive-month calendar spreads.

Normal Final Settlement Procedure

Final Settlement Calculation for Expiring Contract

Tier 1:   If the expiring contract trades on Globex between 13:59:30 and 14:00:00 Central Time (CT), the settlement period, then that contract settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2:   If no trades in the expiring month occur on Globex between 13:59:30 and 14:00:00 CT, then the last trade (or prior settle in the absence of a last trade price) is used.

The expiring month settles to the last trade/prior settle assuming that it does not violate the current bid or the current ask in the settlement period. If the current bid is higher than the last trade/prior settlement price, then the lead month settles to that bid. If the current ask is lower than the last trade/prior settle, then the lead month settles to that ask. 

Additional Details

• 2-Year (T1U) Deliverable Interest Rate Swap futures are physically delivered upon expiration. For additional details on delivery, please see the CBOT Rulebook (Chapter 51).
• 5-Year (F1U) Deliverable Interest Rate Swap futures are physically delivered upon expiration. For additional details on delivery, please see the CBOT Rulebook (Chapter 52).
• 10-Year (N1U) Deliverable Interest Rate Swap futures are physically delivered upon expiration. For additional details on delivery, please see the CBOT Rulebook (Chapter 53).
• 30-Year (B1U) Deliverable Interest Rate Swap futures are physically delivered upon expiration. For additional details on delivery, please see the CBOT Rulebook (Chapter 54).

MAC SOFR Swap Futures

Normal Daily Settlement Procedure

Daily settlements of the 2-Year (T1S), 5-Year (F1S), 7-Year (S1S), 10-Year (N1S), 20-Year (E1S) and 30-Year (B1S) MAC SOFR Swap Futures are determined by CME Group staff based on trading activity on CME Globex.

Lead Month

The lead month is the anchor leg for settlements and is the contract expected to be the most active.

Tier 1:  If the lead month contract trades on Globex between 13:59:30 and 14:00:00 Central Time (CT), the settlement period, then the lead month settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2:  If no trades in the lead month occur on Globex between 13:59:30 and 14:00:00 CT, then the last trade (or prior settle in the absence of a last trade price) is used.

The lead month settles to the last trade/prior settle assuming that it does not violate the current bid or current ask at the close of the settlement period. If the current bid is higher than the last trade/prior settlement price, then the lead month settles to that bid. If the current ask is lower than the last trade/prior settle, then the lead month settles to that ask.

Second Month

When the lead month is the expiry month, then the second month is defined as the calendar month immediately following the lead month. When the lead month is not the expiry month, then the second month is defined as the first expiring non-lead month.

Tier 1:  If the lead month-second month spread trades on Globex between 13:59:30 and 14:00:00 CT, then the spread VWAP is calculated and rounded to the spread’s nearest tradable tick. The spread differential is then applied to the lead month settlement price to derive the second month settlement, which is rounded to the outright’s nearest tradable tick.

Tier 2:  If a spread VWAP is not available due to an absence of trades, then the last spread trade is applied to the lead month settlement price to derive the second month settlement, which is rounded to the outright’s nearest tradable tick.

If there is no last trade available, then the prior-day spread relationship is used, assuming that it does not result in a settlement that violates the current bid or the current ask in either the outright market for the second month or the lead month-second month calendar spread market during the settlement period. In either of the above scenarios, if the derived spread differential in the lead month-second month spread is below the current bid in the settlement period in that spread, then the spread settles to that bid. If the calculated spread differential in the lead month-second month spread is higher than the current ask in the settlement period in that spread, then the spread settles to that ask. Additionally, if the derived second month settlement violates the current bid or the current ask in the outright market for the second month during the settlement period, then, the settlement will be adjusted to the nearest low bid or the high ask accordingly – provided the resulting price does not violate the current bid / current ask in the spread.

Back Months

To derive settlements for all remaining months, the lead month net change is applied to the back month contracts’ prior-day settlements, provided that this value does not violate the current bid or current ask between 13:59:30 and 14:00:00 CT for either the respective outrights or the consecutive-month calendar spreads.

Normal Final Settlement Procedure

Final Settlement Calculation for Expiring Contract

Tier 1:   If the expiring contract trades on Globex between 13:59:30 and 14:00:00 Central Time (CT), the settlement period, then that contract settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2:   If no trades in the expiring month occur on Globex between 13:59:30 and 14:00:00 CT, then the last trade (or prior settle in the absence of a last trade price) is used.

The expiring month settles to the last trade/prior settle assuming that it does not violate the current bid or the current ask in the settlement period. If the current bid is higher than the last trade/prior settlement price, then the lead month settles to that bid. If the current ask is lower than the last trade/prior settle, then the lead month settles to that ask. 

Euro MAC Swap Futures Daily Settlement Procedure

Normal daily settlement procedure

Daily settlements of the 2-Year (T1E), 5-Year (F1E), and 10-Year (N1E) Euro MAC Swap futures are determined by CME Group staff based on trading activity on CME Globex.

Lead month

The lead month is the anchor leg for settlements and is the contract expected to be the most active.

Tier 1:   If the lead month contract trades on Globex between 17:14:30 and 17:15:00 Central European Time (CET), then the lead month settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2:   If no trades in the lead month occur on Globex between 17:14:30 and 17:15:00 Central European Time (CET), then the last trade (or prior settle in the absence of a last trade price) is used.

The lead month settles to the last trade/prior settle assuming that it does not violate the current bid or the current ask of the settlement period. If the current bid is higher than the last trade/prior settlement price, then the lead month settles to that bid. If the current ask is lower than the last trade/prior settle, then the lead month settles to that ask.

Second month

When the lead month is the expiry month, then the second month is defined as the calendar month immediately following the lead month. When the lead month is not the expiry month, then the second month is defined as the first expiring non-lead month.

Tier 1:   If the lead month-second month spread trades on Globex between 17:14:30 and 17:15:00 Central European Time (CET), then the spread VWAP is calculated and rounded to the spread’s nearest tradable tick. The spread differential is then applied to the lead month settlement price to derive the second month settlement, which is rounded to the outright’s nearest tradable tick.  

Tier 2:   If a spread VWAP is not available due to an absence of trades, then the last spread trade is applied to the lead month settlement price to derive the second month settlement, which is rounded to the outright’s nearest tradable tick. 

If there is no last trade available, then the prior-day spread relationship is used, assuming that it does not result in a settlement that violates the current bid or the current  ask in either the outright market for the second month or the lead month-second month calendar spread market during the closing range.

Back months

To derive settlements for all remaining months, the lead month net change is applied to the back month contracts’ prior-day settlements, provided that this value does not violate the current bid or current ask between 17:14:30 and 17:15:00 Central European Time (CET) for either the respective outrights or the consecutive-month calendar spreads.