IDEX USD 3 Month Forward Rate Agreement Futures

== Notes ==
Trading Platform: IDEX XT Trade Match Engine
Payment Schedule: The Start Date of the interest accrual period and the Interest Payment Date is the Maturity Date for the series. The End Date of the interest accrual period shall be three months after the Maturity Date, adjusted by the Modified Following Business Day Convention for New York and London. The only exception to this is if the Maturity Date for the series falls on the last business day of the month in which case the End Date of the interest accrual period will fall on the last business day of the month three months after the maturity date.
Final Payment: The Final Payment shall be an amount equal to the Notional Value multiplied by the difference between the fixed rate and the USD LIBOR setting multiplied by the Actual/360 Accrual Year Fraction divided by the Accrual Factor. When the USD LIBOR setting is greater than the fixed rate, the final payment will be made to the buyer, and from the seller, of the contract. Conversely when the USD LIBOR setting is less than the fixed rate, the final payment will be made to the seller, and from the buyer, of the contract.
Maturity Date: Will be the final payment date, unadjusted by any Business Day Convention, of the IDEX USD Forward Rate Agreement Futures Contract, it shall be established by the Exchange on the listing date.
Reset Date: Will be 2 London Business Days preceding the Maturity Date.
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 (vi) “Accrual Factor” means the accrual shall be equal to one plus the USD LIBOR setting multiplied by the Actual/360 Accrual Year Fraction. 
Actual/360 Accrual Year Fraction means the actual number of days in the interest period in respect of which payment is being made divided by 360.
30/360 Accrual Year Fraction means the number of days in the interest period in respect of which payment is being made (assuming 30 day months) 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. 
== Also See ==
IDEX USD Interest Rate Swaps
== Resources ==
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