EP054 – Support for Standardized Interest Rate Swaps

This proposal supports CME standardised interest-rate swaps. The contracts preserve financial characteristics of OTC swaps while adding central clearing, daily margining, netting, consolidated collateral management and standard contract specifications. It covers EUR- and USD-denominated swaps, overnight index swaps and swaps extending across the yield curve.

The protocol gap concerns consistent identification and lifecycle description of these instruments. The proposal introduces an IRS SecurityType for Instrument, InstrumentLeg and UnderlyingInstrument, and defines Swap Start Date, Swap End Date and Swap Roll Date event types. It also adds an MDEntryType for Swap Value Factor, representing the daily change in a swap’s net present value used to calculate mark-to-market.