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
:
Or contact
:
·
In North America:
Swapstream
212-851-8296 or
·
In Europe:
Or call:
CME Clearing at 312-207-2525.
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