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MAC Standard

Current Coupons and CUSIPs. MAC Swap Effective Date. Publication Date . Initial Listing Date. XLSX. CSV. December 2021: Dec 15, 2021: Mar 8, 2021: Mar 15, 2021

Actived: 8 days ago

URL: https://www.cmegroup.com/trading/interest-rates/swap-futures/mac-standard.html

MAC Swap Futures

• Notional Coupons for new contract listings will be announced on or about the First Business Day of March, June, September and December. New, deferred contracts will be made available for trading on the last trading day of the front expiring contract

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Brazilian Real CDI Swaps

• On/off spread. Interbank Deposit (ID) Futures • Listed on the BM&F exchange – the most liquid interest rate instrument in the Brazilian market. • Underlying Index: ID rate, the average one-day interbank deposit rate. • Regarded as fixed-date zero coupon swap. Brazilian Market Overview

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Latin American Swap Clearing

Since 2014, cost pressures have continued to mount in the bilateral swap market and voluntary clearing of OTC products has increased. Interest rate swap clearing in G4 currencies has increased 103%, while clearing in the 17 currencies outside of the G4 has soared 372% across the industry.

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The Basics of US Treasury Futures

INTRODUCTION. CBOT Treasury futures are standardized contracts for the purchase and sale of U.S. government notes or bonds for future delivery. The U.S. government bond market offers the greatest liquidity, security (in terms of credit worthiness), and diversity among the government bond markets across the globe.

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KRW IRS & INR OIS

Coupons and Fees USD Holiday Calendar Mumbai Settlement & Business Day Convention USD will be settled on a next day (T+1) basis Default will be ACT/365.FIXED FX Rate The below FX rate will be used to convert INR coupon payments to USD: INR.RBIB (INR01) –INR/USD rate reported on Reuters “RBIB” screen at about 12:30pm Mumbai time

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Eris Swap Futures on CME Globex

Example: LITZ18-LITH19. Leg 1: LITZ18 – earliest off the run instrument; Transition to Off the Run date: 18 Dec 2018 (day before the third Wednesday of Dec 2018) Expiration/LTD: 18 Dec 2020; Spread; Expiration: 18 Dec 2018 (based on transition date to Off the Run for earliest leg) Changing Minimum Price Increment Depending on the contract tenor, Tag 969-MinPriceIncrement in the Security

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Eris Swap Futures on CME Globex

Off the run - when the trade date is on or after the IMM date (third Wednesday) of instrument’s named contract month, i.e. all other listings. The same Eris Swap futures instrument will initially be considered “on the run”, but as time passes and new listings are added, the older instrument becomes “off the run”.

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CME STP FIXML for BrokerTec Library

EUSUPRA - Euro Supranational Coupons. FUT - Future. FWD - Forward. MLEG - Multi Leg (Combo) OPT - Option. REPO - Repurchase. SOV - UK Gilt. SUPRA - USD Supranational Coupons. TB - Treasury Bill - non US. TBA - To Be Announced. TBILL - US Treasury Bill. TBOND - US Treasury Bond. TNOTE - US Treasury Note. IRS - Interest Rate Swap PROV - Canadian

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Deliverable Interest Rate Swap Futures

• Trades can be privately negotiated off-exchange. • Enables counterparties to leverage existing relationships via block trades. • Block trades must be reported with 15 minutes of execution. • Calendar spreads are eligible for blocks provided the sum of the legs meets the threshold.

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Credit Spread-Yield Curve: All Eyes on the Fed

The Fed staved off a U.S. recession by lowering rates to 4.75% in the late summer and fall of 1998 but began raising rates again in June 1999, with the Fed Funds rate reaching 6.5% in March of 2000. During this time credit spreads widened considerably.

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CME STP FIX for BrokerTec Library

EUSUPRA - Euro Supranational Coupons. FUT - Future. FWD - Forward. MLEG - Multi Leg (Combo) OPT - Option. REPO - Repurchase. SOV - UK Gilt. SUPRA - USD Supranational Coupons. TB - Treasury Bill - non US. TBA - To Be Announced. TBILL - US Treasury Bill. TBOND - US Treasury Bond. TNOTE - US Treasury Note. IRS - Interest Rate Swap PROV - Canadian

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Eris USD Swap Futures

A long position represents receiving fixed and paying floating rates in a swap. So fixed coupons are treated as positive numbers and floating coupons as negative numbers and vice versa for a short position. Price Convention Eris contracts trade on a decimal price indexed to 100, in eligible tick increments; the value of 1.0 price point is equal

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The New Treasury Market Paradigm

of Treasury coupons to the on-the-run (OTR) security (the most recently auctioned). In a recent note, JP Morgan analysts took this approach by comparing on-the-run/ hot run Treasury cash and futures volume in terms of notional and duration-weighted basis. Based upon data for 2012-15, the JP Morgan authors determined that “global

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Annual Report to Shareholders

Floating-rate securities are debt instruments with floating-rate coupons that generally reset every 30 to 90 days. While floating-rate securities are senior to equity and fixed-income securities, there is no guaranteed return of principal in case of default. Floating-rate issues often have less interest-rate risk than other fixed-income

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CME Group Latin American IRS Clearing

• On/off spread • Interbank Deposit (ID) Futures • Listed on the BM&F exchange –the most liquid interest rate instrument in the Brazilian market • Underlying Index: ID rate, the average one-day interbank deposit rate • Regarded as fixed-date zero coupon swap MXN and BRL IRS Overview

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20181022

Back to Top . Automated Port Closure for Drop Copy Sessions - November 18. Effective Sunday, November 18 (trade date Monday, November 19), CME Globex will implement Automated Port Closure on Drop Copy sessions to further protect CME Group markets and systems from potentially detrimental behavior.Currently, CME Globex Port Closure Policy applies only to iLink sessions.

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20181029

Detailed information on messaging controls is available in the Client Systems Wiki.. This change is currently available in New Release. Back to Top . New New - Elimination of VOI Messages on CME Group Exchange Holidays - November 22. Starting Thursday, November 22, preliminary and final Daily Cleared Volume and Open Interest (VOI) messages will no longer be published on CME Group …

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Markets and Expectations in the Era of Dissonance

income to pay the coupons. Mature economies have entered an extended period of market-enforced fiscal austerity. And since the Financial Panic of 2008, central banks have taken short-term interest rates to near zero and experimented with massive balance sheet expansion. While these emergency measures

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Eris USD Swap Futures Complex Moves to CME Group Q4’18

coupons vs 3M LIBOR, $100k contract size • Mechanics: No forced quarterly expiry/delivery, contracts can be left outstanding to underlying maturity • Settlement/Valuation: Contracts will maintain the Eris Methodology® including Price Alignment Interest for pricing & settlement, and the live Eris curve data will be available Eris USD Swap

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20180716

For modified trading days, the sampling period shall be the corresponding half-hour period in relation to the cash market close (MOC) order cut-off. For example, if cash market stops at 12:00 noon CT, the corresponding sampling period shall be 11:15:00-11:45:00am CT. These contracts are listed with, and subject to, the rules and regulations of CME.

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Contents

migration, as well as substituted contracts at the pre-determined standardized coupons . a. Indices will be substituted on a 1-for-1 basis per the listed contracts . b. Single Names will be substituted on a 1-for-2 basis per the contract split methodology into standard coupons of 100bps and 500bps. The eligibility file will also include: a.

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20180723

For modified trading days, the sampling period shall be the corresponding half-hour period in relation to the cash market close (MOC) order cut-off. For example, if cash market stops at 12:00 noon CT, the corresponding sampling period shall be 11:15:00-11:45:00am CT. These contracts are listed with, and subject to, the rules and regulations of CME.

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20180709

For modified trading days, the sampling period shall be the corresponding half-hour period in relation to the cash market close (MOC) order cut-off. For example, if cash market stops at 12:00 noon CT, the corresponding sampling period shall be 11:15:00-11:45:00am CT. These contracts are listed with, and subject to, the rules and regulations of CME.

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20181126

Critical System Updates. Update Update - iLink Convenience Gateways Behavior Harmonization - January 6, 2019. To simplify the iLink session behavior, effective Sunday, January 6, 2019 (trade date Monday, January 7). All Convenience Gateway (CGW) iLink sessions will move to MSGW-style Session Connection and Resend Request.The following CGW features will as a result …

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Managing Event Risk in 2017 – CME Group

There are known dates for binary outcomes (i.e., on/off, yes/no, Liberal/Conservative, this/that, etc.) but the probabilities for the divergent scenarios continue to shift right up until the actual event. Elections with highly polarized choices or central bank policy meetings to shift policy or not fit into this category.

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SEC Filing CME Group Inc.

Prospectus Supplement . February 4, 2009 (To Prospectus dated March 17, 2006) $750,000,000 . CME Group Inc. 5.75% Notes due 2014 . We will pay interest on the notes semiannually in arrears on February 15 and August 15 of each year, commencing on August 15, 2009.

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Euro Deliverable Swap Futures

• Builds off the success of the USD Deliverable Swap Future • Citi, Societe Generale and Nomura are among the firms that plan to serve as market • Notional Coupons for new contract listings will be announced on or about the First Business Day of March, June, September and December. New, deferred contracts will be made available for

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5-year Eris Swap Futures Contract Specs

At least 2 On-the-Run contract months in the March Quarterly cycle (March, June, September, December) plus Off-the Run contracts until expiry. Settlement Method Financially Settled: Termination Of Trading Trading terminates on the business day in NY before the Maturity Day. Settlement Procedures

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SEMI-ANNUAL REPORT (UNAUDITED)

and-demand imbalance, fueling a sell-off in energy-related assets and emerging markets. U.S. Treasury bonds benefited as their persistently low yields had become attractive as compared to the even lower yields on international sovereign debt. Equity markets reversed in early 2015, with international markets outperforming the United States as

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investor.cmegroup.com

As filed with the Securities and Exchange Commission on November 21, 2001 Registration No. 333-72184

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Investor Relations CME Group Inc.

As filed with the Securities and Exchange Commission on October 24, 2001 Registration No. 333-----SECURITIES AND EXCHANGE COMMISSION

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