IDEX USD Interest Rate Swaps

IDEX USD Interest Rate Swap Futures Contracts are futures on United States dollar-denominated interest rate swaps with a notional value of $100,000, requiring the exchange of periodic payments of semi-annual fixed rate payments based on the futures price in exchange for quarterly floating-rate payments based on the 3-month US Dollar London Interbank Offered Rate (the "USD LIBOR").
 
== Notes ==
 
Clearinghouse: International Derivatives Clearinghouse, LLC
Daily Settlement Price: Each open position is valued by the Clearinghouse at the end of each trading day by valuing each leg of the cash flows of the contract (fixed and floating) according to discount factors generated by the IDEX Curve. Each Trading Day, the Daily Settlement Price shall be established by the Clearinghouse based upon the IDEX Curve that corresponds to the fixed rate portion of the swap. A net present value of the position will be determined and set as the Daily Settlement Price. Notwithstanding the preceding sentence, the Clearinghouse may, in its sole discretion, establish a Daily Settlement Price that is a fair and appropriate reflection of the market. The Final Settlement Price shall be the Daily Settlement Price on the Last Trading Day.
Floating Rate Setting: The floating rate payment for a given accrual period shall be an amount equal to the Notional Value multiplied by the USD LIBOR setting multiplied by the actual number of days in the accrual period, divided by 360.
Final Settlement Date: The Final Settlement Date shall be the Final Payment Date of each individual Swap Futures Contract. Clearing Members holding open positions in a Swap Futures Contract at the termination of trading in that Contract shall make payment to or receive payment from the Clearinghouse in accordance with normal variation and performance bond procedures based on the net of the Fixed and Floating Rate Interest payment of the last interest accrual period.
Large Trader Reporting Level: Pursuant to Commission Regulation Section 15.03 and Part 17 of the Commission’s Regulation, the position level that is required to be reported to the Exchange and Commission is any open position in a particular Swap Futures Contract at the close of trading on any trading day equal to or in excess of twenty-five on either side of the market.
Periodic Payments: Periodic payments on the Swap Futures Contract will be made on a quarterly basis for the floating rate payments, and on a semi-annual basis for the fixed rate payments. Each payment date in the Swap Futures Contract will be defined by the Effective Date, the Maturity Date, and the payment frequency of the fixed or floating side as appropriate, adjusted by the Modified Following Business Day convention for New York and London. 
The Effective Date (start of first accrual period) shall be 2 Week Days after the execution date of any individual Swap Futures Contract, adjusted by the Following Business Day convention for New York. 
The Maturity Date shall be the final payment date unadjusted by any Business Day convention of the Swap Futures Contract and shall be established by the Exchange on the listing date.
The Reset Date shall be 2 London Business Days preceding the start of the floating interest accrual period. The only exception to this is the first floating interest accrual period where the Reset Date will be the execution date unless this is not a good London Business Day in which case the Reset Date will be the first good London Business Day preceding the listing date.
The Start Date of the nth interest accrual period is the Effective Date for the series plus (n-1)* payment frequency of the fixed or floating side as appropriate, adjusted by the Modified Following Business Day convention for New York and London.
The End Date of the nth interest accrual period is the Effective Date for the series plus n* payment frequency of the fixed or floating side as appropriate, adjusted by the Modified Following business day convention for New York and London.
The Interest Payment Date of the nth interest period is the End Date of the same interest accrual period.
For purposes of these rules, the following conventions determine how non-business days are treated:
(i) “Following” means the date will be adjusted to be the first following day that is a Business Day in the locations listed;
(ii) “Modified Following” means the date will be adjusted to be the first following day that is a Business Day in the locations listed unless that day falls in the next calendar month, in which case that date will be the first preceding day that is a Business Day in the locations listed;
(iii) “Preceding” means the date will be adjusted to the first preceding day that is a Business Day in the locations listed;
(iv) “Business Day” means a day in which the banking system is open to settle payments in the locations listed; and 
(v) “Week Day” means any calendar day which is not a Saturday or Sunday
Floating Rate Periodic Payment Calculation: The floating rate payment for a given accrual period shall be an amount equal to the Notional Value multiplied by the USD LIBOR setting multiplied by the actual number of days in the accrual period, divided by 360.
Fixed Rate Periodic Payment Calculation: The fixed rate payment for a given accrual period shall be equal to the notional value multiplied by the fixed rate multiplied by the number of days in the interest period in respect of which payment is being made divided by 360, calculated on a formula basis as follows;
{[360 x (Y2-Y1)] + [30 x (M2-M1)] + (D2-D1)}/360 
Where:
Y1 is the year, expressed as a number, in which the start date of the interest period falls Y2 is the year, expressed as a number, in which the end date of the interest period falls M1 is the calendar month, expressed as a number, in which the start date of the interest period falls M2 is the calendar month, expressed as a number, in which the end date of the interest period falls D1 is the first calendar day expressed as a number, of the interest period, unless such a number would be 31, in which case D1 will be 30. D2 is the last calendar day, expressed as a number, of the interest period, unless such a number would be 31 and D1 is greater than 29, in which case D2 will be 30.
Position Accountability: A person owning or controlling more than 3,000 contracts net long or net short in all contract maturities combined shall provide, in a timely fashion, upon request by the Exchange, information regarding the nature of the position, trading strategy, and hedging information, if applicable.
Large Trader Reporting: Pursuant to Commission Regulation Section 15.03 and Part 17 of the Commission’s Regulation, the position level that is required to be reported to the Exchange and Commission is any open position in a particular Swap Futures Contract at the close of trading on any trading day equal to or in excess of twenty-five on either side of the market.
 
== References ==
Category:Swaps
Category:Interest Rates