• Deliverable Interest Rate Swap Delivery Process

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 13-112
      • Notice Date
      • 07 March 2013
      • Effective Date
      • 11 March 2013
    • Please be advised the following delivery process and timeline will be in effect for the March 2013 delivery cycle. All times listed are in Central Standard Time unless otherwise noted.
      March 11th through March 15th
      • Firms may submit delivery intents for the March delivery cycle from 8:00 am to 8:00 pm
      • Once a firm submits delivery intentions, the firm does not need to resend delivery intentions unless a clearing member firm’s positions or delivery instructions have changed.
      Monday, March 18, 2013 – Last Trading Day
      • Trading ceases at 2:00 pm
      • Firms have until 8:00 pm to submit or change delivery intentions
      Tuesday, March 19, 2013 – Last Intent Day
      • Firms have until 12 noon to make any changes to delivery intentions
      • By 6:00 pm OTC clearing firms will receive Deliverable Interest Rate Swap details including the upfront fee. OTC Swap details will be available on cleared confirm messages with tag “DSF” and trade register reports will outline swap details and upfront payment amounts.
      • By 10:00 pm, Clearing IRS initial margin and variation amounts for delivery are made to clearing firms.
      • By end of the processing day, clearing firms’ futures positions are removed.
      Wednesday, March 20, 2013 – Delivery Day, Clearing Acceptance Day, and Clearing Effective Date
      • Clearing effective day for OTC Swap
      • By 7:30 am, initial margin, variation, and upfront fee payments complete.
      Special Reminders
      ·         To take delivery, a Futures position holder must be an Eligible Contract Participant (17CFR1.3 (m) and CME Rule 90005.C.) and must be registered with CME by a CME IRS Clearing Member as an IRS Participant (CME Rules 90005.A. and 90005.B.).
      If there are any questions, please contact Deliveries at 312.930.3172 or email clearinghousedelivteam@cmegroup.com .

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