Contract Specs

Overview:

  • Contracts mirror plain vanilla MAC swaps
  • Contract Size: $100,000 notional
  • Pre-determined fixed coupons vs. 3M LIBOR
  • Effective Dates: Quarterly IMM start dates
  • Standard ISDA conventions
  • Underlying Tenors: 2Y, 3Y, 4Y, 5Y, 7Y, 10Y, 12Y, 15Y, 20Y, and 30Y, starting from the Effective Date and expiring at the end of the underlying tenor
  • Trading Hours: 7:00am – 5:00pm EST, contracts settle daily at 3pm EST

More Informatoin

Tenor Tic Size ($)
2Y 2
3Y 2
4Y 5
5Y 5
7Y 10
10Y 10
12Y 10
15Y 10
20Y 20
30Y 20

Product Resources