IDEX USD 3 Month Forward Start Interest Rate Swap Futures
|USD 3 Month Forward Start Interest Rate Swap futures|
|Exchange||NASDAQ OMX Futures Exchange|
|Contract Size||IDEX USD 3 Month Forward Start Interest Rate Swap Futures Contracts are futures on United States dollar-denominated interest rate swaps with a notional value of $100,000 and a deferred Effective Date, 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”).|
|Pricing Unit||Need pricing unit!|
|Tick Value||The price of the Forward Start Swap Futures Contract is the price of the fixed leg portion of the swap. Minimum price intervals are expressed in terms of the interest rate on the fixed rate portion of the Forward Start Swap Futures Contracts. The minimum price interval is .001 for Contracts traded on the IDEX XT trading system and .00001 for Contracts established by means of EFS through the SwapDrop Portal.|
|Contract Months||The Exchange at any given time may list for trading IDEX USD 3 Month Forward Start Interest Rate Swap Futures Contracts having terms from one to twenty nine years and a Maturity Date no longer than thirty years (with one year comprising 365 days, or 366 days for leap years), with one maturity of Forward Start Swap Futures Contract maturing on every calendar day. The Effective Date and Maturity Date of each individual IDEX USD 3 Month Forward Start Interest Rate Swap Futures Contract shall be established by the Exchange on the date each such contract is listed by the Exchange. The Exchange shall make known the listing of any contract on its website prior to the commencement of trading.|
|Last Trading Day||Trading of any individual Forward Start Swap Futures Contract terminates at the close of trading on the Business Day preceding that contract’s Maturity Date. For purposes of this rule, a Business Day is any day on which the Exchange is open for the trading of Forward Start Swap Futures Contracts.|
|Note: This contract is electronic ONLY -- no open outcry|
|No Open Outcry||Electronic|
|Trading Hours||N/A||7:00 AM to 5:00 PM US Eastern Time, Monday – Friday|
|Ticker Symbol||N/A||Base Example = 3FSYYYYMMDD. YYYYMMDD refers to the unadjusted Maturity Date of the series and YNN refers to contract duration in years.|
Trading Platform: IDEX XT Trade Match Engine
Effective Data: Will be established by the Exchange on the listing date of any individual IDEX USD 3 Month Forward Start Interest Rate Swap Futures Contract.
Start Date: Means the date on which an interest rate accrual period begins.
End Date: Means the date on which an interest rate accrual period ends.
Maturity Date: Will be the final payment date, unadjusted by any Business Day Convention, of the IDEX USD 3 Month Forward Start Interest Rate Swap Futures Contract it will be a whole number of years after the Effective Date and shall be established by the Exchange on the listing date.
Reset Date: Will be 2 London Business Days preceding the start of the floating interest accrual period.