Terminating Futures Contract

Terminating Futures Contract. As of any Swap Calculation Date, either: (x) a Swap Agreement that is traded on a registered exchange as a futures contract and which futures contract expires in the calendar month immediately following such Swap Calculation Date and for which trading terminated on such registered exchange within five (5) Business Days prior to such Swap Calculation Date; or (y) an over-the-counter swap that is settled by reference to a futures contract as referenced in (x) above, in which case only the portion... of the notional quantity for the relevant calendar month shall be considered the Terminating Futures Contract for purposes of this definition View More