• CME Account Manager: CBOT Treasury Invoice Swaps Support20141105

      • To
      • CME Account Manager
      • From
      • Global Account Management
      • #
      • 20141105
      • Notice Date
      • 05 November 2014
      • Effective Date
      • 14 December 2014
    • Effective Sunday, December 14 (for trade date Monday, December 15), pending all relevant CFTC regulatory review periods, CBOT Treasury Invoice Swaps will be listed for trading on CME Globex and for block submission via CME ClearPort. CBOT Treasury Invoice Swaps are a type of standardized, forward starting Libor-reference interest rate swap which will be traded solely as inter-commodity spreads consisting of a long (short) specific, related Treasury futures contract and a long (short) Treasury Invoice Swap contract (IRS).

      With this launch, customers will have the ability to permission accounts for CBOT Treasury Invoice Swaps in CME Account Manager by completing the following steps:

      • Existing Market type for interest rate swap clearing:
        • CME IRS (ClearPort) must be selected to indicate permissions for interest rate swap clearing. This market type must be selected for any account that will be used to clear CBOT Treasury Invoice Swaps.
      • New Market types:
        • Order Entry via CME Direct
          • CBOT IRS (Globex) for CME Direct Market Type
          • Market Permissions must be enabled by the Account Administrator for each account that needs to trade CBOT Treasury Invoice Swaps on CME Globex through CME Direct.
      • Block Submission via CME ClearPort
        • CBOT IRS (ClearPort) for CME ClearPort Market Type
        • In order for blocks in Invoice Swaps (executed as part of Treasury Invoice Spreads) to be cleared through CME ClearPort, Clearing Firms must permission a given account for both the “CBOT IRS (ClearPort)” and “CBOT (ClearPort)” market types, to permission the Treasury Invoice Swap and Treasury futures products, respectively..
          • Limits for the IRS leg will be maintained by clearing firm risk admins in Calypso DMS, and only the treasury leg’s margin usage will be applied against the CME ClearPort account’s CME Account Manager limit.
      • Customers utilizing the EOS Market Type will need to ensure there is no explicit product permissioning.
        • Customers must ensure that the CBOT Treasury Invoice Swaps products have non-zero position limits in the Account Credit Controls

      Please contact Enterprise Application & System Entitlements (EASE) with questions on CME Account Manager at 312 456 1560 in the US, 44 203 379 3802 in Europe, or 65 6593 5536 in Asia.