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GBP Flex Tenor Spot and Forward Starting Cash Interest Rate Swaps - CME Clearing

Contract Overview GBP Fixed for Floating Interest Rate Swaps of periodic fixed interest payments and periodic floating interest payments based on an interest rate benchmark over a term to maturity. The interest rate payments are exchanged for a specified period based on a notional amount. There is no optionality or conditional notional amounts.
Contract Size Minimum notional size of £1 million and notional increments of £1 thereafter
Quote Convention The traded fixed interest rate in basis points on Trade Date. For example, a rate of 1.25125 percent would be quoted as 1.25125.
Minimum Price Increment 1/8th of a basis point
Swap Leg Conventions Fixed Leg:
Payment Frequency - Semi-Annual or Annual
Day Count - Actual/365
Holiday Calendar - London


Floating Leg:
Payment Frequency - Semi-Annual or Quarterly
Day Count - Actual/365
Holiday Calendar - London
Interest Rate Benchmark - 6 month GBP Libor (Semi-Annual payment frequency) or 3 month GBP Libor (Quarterly payment frequency)
Start Date/Effective Date The first date from which fixed and floating interest amounts accrue is spot starting, that is, from trade date (“T+0”), using the modified following convention and respecting the London Holiday calendar.
End Date/Maturity Date The final date until which Fixed and Floating amounts accrue is start date plus tenor, modified following and respecting the London Holiday calendar.
Roll Date Convention The date used for determining all fixed and floating reset dates is the same date of the month as the Start Date, except where the start date the last business day of the month whereby the Roll Date is then the end of each month where a payment is due. Roll Date marks the start of a new interest accrual period, and is the date on which a Reset Rate takes effect.
Floating Reset Dates Date utilized to determine the Floating Rate amounts for each interest accrual period during the Tenor of the contract is the same date as the Roll Date for that interest accrual period.
First Period Fixing Date The Interest Rate for the first interest period is fixed on the Trade Date, for both Floating and Fixed Rates.
Trading Symbol Key economic terms for each contract are specified in each Trading Symbol including base currency, clearinghouse, term and fixed/floating parameters. Each contract symbol will specify the (1) swap clearinghouse for delivery (C=CME); (2) the term of the swap (W=Weeks, M=Months, Y=Years); (3) the swap fixed/floating parameters (e.g. GBP Fixed semi-annual money basis Actual/365.Fixed vs. floating 6M GBP Libor Actual/365.Fixed.) For example, “C-2Ysm_v6M_GBP” represents CME cleared, two year, annual money basis (Actual/365.Fixed) vs. six month GBP LIBOR.
Last Trading Day The last trading day for each start date and end date combination prescribed by tenor is the close of business on Trade Date.
Trading and Delivery Eligibility Limited to Eligible Contract Participants (ECPs) per Section 1a(18) of the Commodity Exchange Act and registered with CME Clearing as, or via, a CME Clearing Member.
Position Accountability Aggregate net long or net short trade volume of £20 billion contracts in all tenors.
Large Trader Reporting Level Daily net long or net short trade volume of £1.5 billion contracts in all tenors.