About ELXAbout ELX SwapsSwaps FuturesFutures OnboardingOnboarding ClearingClearing TechnologyTechnology

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

Contract Overview USD 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.
Tenor Start Date to End Date, a contract can have a tenor from 7 days to 50 years where accepted by Swapclear (OIS to 30 Years).
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 - Quarterly, Semi-Annual, or Annual
Day Count - Actual/360 "money" day count ( Quarterly and Annual) 30/360 or 30/360 "bond" day count (Semi-Annual)
Holiday Calendar - London and New York

Floating Leg:
Payment Frequency - Quarterly, Monthly, or Compunded Daily with Annual Payment
Day Count - Actual/360
Holiday Calendar - London and New York (Quarterly and Monthly) or Federal Reserve Bank of New York (Compunded Daily with Annual Payments)
Interest Rate Benchmark - 3 month USD Libor (Quarterly payment frequency), 1 month USD Libor (Monthly payment frequency), or 1 day USD Overnight Index Average (Compunded Daily with annual payments)
Start Date/Effective Date The first date from which fixed and floating interest amounts accrue is 1) spot starting, that is, two business days from trade date, using the modified following convention and respecting the London and New York Holiday calendars; or 2) Forward starting, that is any date further from spot starting date.
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 and New York Holiday calendars.
Roll Date Convention 1. The date used for determining fixed and floating payment dates for Spot and Forward starting swaps of fixed payment frequency 30/360 (“bond basis”) day count is the same date of the month as the Start Date, except where the start date is the 31st 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.

2. The date used for determining fixed and floating payment dates for Spot and Forward starting swaps of fixed payment frequency Actual/360 (“money basis”) day count is as above in (vii) 1., except for ...
(a) spot starting swaps of an end date of up to (but excluding) 2 years from Spot date where the start date is the last business day of the month, whereby the Roll Date is then the end of each month where a payment is due.
(b) Forward starting swaps of an end date of up to and including 2 years from Spot date where the start date is the last business day of the month, whereby the Roll Date is then the end of each month where a payment is due.

3. The date used for determining fixed and floating payment dates for floating rate Overnight Index (OIS) Spot and Forward starting swaps is the same date of the month as the Start Date, except where the start date is the last business day of the month, whereby the Roll Date is then the end of each month where a payment is due.

4. The date used for determining fixed and floating payment dates for Forward starting IMM (International Money Market) dated swaps is the 3rd Wednesday of the quarterly months of March, June, September and December, following convention.
Floating Reset Dates Date utilized to determine the Floating Rate amounts for each interest accrual period during the Tenor of the contract is two business days prior to 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, start date (spot or Forward), 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. USD Fixed semi-annual bond basis 30/360 vs. floating 3M USD Libor Actual/360) For example, “C-2Ysb_v3M_USD” represents CME cleared, two year, semi-annual bond basis (30/360) vs. six month USD 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. For contracts prescribed by specific start date and end date combinations (including IMM dated swaps), the last trading day is two business days before start 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.