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Contents

Testing and Certification

Certification is required for Invoice Swaps Spreads. Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with questions while testing in the New Release Environment or to schedule a certification.

Production

For production issues, please contact the Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010.

Invoice Swap Spread Submission Requirements

Credit and Regulatory Requirements

• Credit Control checks on the futures legs will be performed based on the limits set in CME Account Management Service. Credit control checks on the swap legs will be performed per the account settings in CME Interest Rate Swap Clearing, either as hosted limits or explicit accept/reject by the clearing firm of each side.
• Block trading rules or minimum quantities as mandated by the CFTC will be enforced on each of the invoice swap spread legs which makeup the overall spread.

Invoice Swap Spreads Submission Requirements

These rules apply only to invoice swap spread submissions.

• The quantity entered for both Interest Rate Swaps and Futures legs must be the same.

Invoice Swap Calendar Spreads Submission Requirements

These rules apply only to invoice swap spread calendar spread submissions.

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For a calendar spread between June 2016 and September 2016, the Interest Rate Swap with a June 2016 10-Year Treasury Invoice Swap Spread leg and the related Treasury Futures contract (IRS TYA / FUT 21 M16) must have the same quantity; the Sep 2016 10-Year Treasury Invoice Swap Spread and the related Treasury Futures contract (IRS TYA / FUT 21 U16) must have the same quantity; but to accomodate "tails" on the roll, the IRS TYA / FUT 21 M16 quantity may be different from the IRS TYA / FUT 21 U16 quantity 

Invoice Swap Switch Spreads Submission Requirements

These apply only to invoice swap spread switch submissions.

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An Interest Rate Swap with a 10-Year Treasury Invoice Swap Spread leg and the related Treasury Futures contract (IRS TYA / FUT 21) must have the same quantity; a 2-Year Treasury Invoice Swap Spread and the related Treasury Futures contract (IRS TVA / FUT 26) must have the same quantity; but the IRS TYA / FUT 21 quantity may be different from the IRS TVA / FUT 26 quantity

Void Submission

• A single void trade message may be submitted to CME Clearport, which, if it is an invoice swap, will additionally void all other trades contained in that package.

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  This will only occur for invoice swap packages, not across all batches. For example, if a customer voids a futures trade in an invoice swap spread, the two IRS trades and the other futures trades will be voided as well.

• If a void message is sent for an invoice swap package in which one or more (but not all) of the linked trades are already voided, CME ClearPort API will void those trades which have not yet been voided.
• A message will be sent indicating that the other trades were already in a voided state.
• Future Trade(s) and Swap Trade(s) may have different outcomes, therefore CME ClearPort API will automatically void the cleared future trades.

Trade Processing

• An entire package will be processed by CME Clearport API as all or nothing. If one of the trade failed clearing the whole package fails. 
• The package clearing processing will generate a link id that will tie up all the trades of the package.
• All values are accepted for VenuTyp

SDR Processing

All Interest Rate Swap legs will be reported to the CME SDR in actual interest rate swap terms, not as the futures-lookalike.