About CME Ten-year Swap Rate Futures

CME 10-year Swap Rate futures are designed to hedge long maturity cash market interest rate swaps while offering attractive spreading opportunities against the highly liquid CME Eurodollar futures and options contracts.

Interest rate swaps, agreements between two parties to exchange or "swap" interest rate payments, have existed more than twenty years. During that time, they have grown from being an innovative and useful means of transferring financial risk into one of the largest financial markets in the world.

The interest rate swap yield curve serves as a benchmark for interest rates in the U.S. due to the market’s size and liquidity.

The CME 10-year Swap Rate futures contract has a $100,000 notional value. It moves in 1/4-point minimum increments (1 point = 0.01 = $100.00) with two contract trading months in the March quarterly cycle.

CME Swap Rate futures can be used to:

• profit from a short-term directional view on interest rate swaps
• construct hedges for individual U.S. dollar interest rate swaps or corporate debt with minimal basis risk
• lengthen or shorten the duration of interest rate swap by selling or purchasing CME Swap Rate futures
• create intra-product yield curve spreads via trades between the CME Eurodollar Packs and Bundles and CME Swap Rate futures
• take advantage of yield curve and other arbitrage opportunities with cash market instruments by executing an “Exchange Basis Facility” (EBF) transaction with CME Swap Rate futures