Clearing House Advisory Notices
To | Clearing Member Firms
From | CME Clearing
Subject | CME Cleared Interest-Rate Swaps to Launch on September 2, 2008.
Notice Date | 2008-08-26
Notice Number | 08-197
Effective Date | 2008-09-02
On September 2, 2008, CME will begin clearing privately-negotiated trades in CME Cleared Interest-Rate Swaps, also known as CME Swaps on Swapstream. These products will first be present in CME’s production SPAN files on this date. At launch, there will be two “standard forward” swaps contracts available: USD3L – USD-denominated IMM-dated contracts on 3-month LIBOR, and EUR6E – EUR-denominated IMM-dated contracts on 6-month EURIBOR. Maturities going out ten years will be eligible for clearing at launch, and this will be later expanded to thirty years. We refer to these as “standard forward” swap contracts because (a) they are standard fixed versus floating interest-rate swaps, (b) start and end dates are standardized on IMM dates, so that associated LIBOR fixing dates occur typically on the Monday prior to the third Wednesday of the month, and precisely match those of CME Eurodollar futures, and (c) you’re always trading a forward-starting contract. When the start date of each contract arrives, the initial coupon is stripped and the contract “rolls” to the next shortest maturity. For example, when the first fixing date arrives for the ten-year forward-starting USD3L swap, it rolls and becomes a nine-and-three-quarter year forward-starting swap, with an adjustment to the start-of-day price to take into account the monetary impact of this roll. Also available at launch there will be two “overnight index” swaps: USDDF – USD-denominated contracts on the daily Fed Funds rate, and EUREO – EUR-denominated contracts on the daily EONIA rate. These are spot-starting contracts which terminate on an upcoming IMM date, matching the start date for a standard forward contract. The overnight index swaps are similar to the standard forward swaps except that they roll every day, rather than only on monthly IMM dates. At launch there will be overnight index swaps with monthly maturities going out one year. For more information, please see : The main page for CME Cleared Interest-rate Swaps at: www.cmegroup.com/clearedswaps or www.cmegroup.com/trading/interest-rates/swaps/swapstream.html Detailed contract specs at: www.cmegroup.com/trading/interest-rates/files/CME_Cleared_InterestRate_SwapContractSpecs.pdf Also see Clearing New Product Summary NP08-10 at: http://www.cme.com/clearing/clr/npadv/files/NPadv08-10.pdf Detailed specifications about clearing and bookkeeping processing for CME cleared interest-rate swaps are available in Clearing Advisory 07-173 at: http://www.cme.com../files/Chadv07-173.pdf Information about FIXML settlement price files for CME cleared swaps is available in Clearing Advisory 08-129 at: www.cme.com../files/Chadv08-129.pdf Or contact : · In North America: Swapstream 212-851-8296 or Steve Dayon 312-466-4447 Ron Peterson 212-897-5285 Pete Barker 312-930-8554 Elizabeth Flores 312-338-2801 · In Europe: Robert Hammond 44-207-796-7100 Jeremy Solle 44 207-796-7209 Andrew Moreton 44 207-796-7214 Kim Short 44 207-796-7213 Paul Skipp 44 207-796-7219 Or call: CME Clearing at 312-207-2525. For the full-text of this advisory, please click here.