• Production OTC IRS Advisory – EUR, GBP and JPY Valuation Curves

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 17-380
      • Notice Date
      • 29 September 2017
      • Effective Date
      • 02 October 2017
    • As part of our continuing efforts to ensure a prudent risk management process for all products, CME Clearing will be incorporating CME-specific observations into end of day valuation curves used for pricing of EUR, GBP and JPY interest rate swaps (IRS). This change will be reflected in the Production environment on Monday, October 2nd, 2017. Please note this change has been live in NR since August 9, 2017.

      For the full text of this advisory, please click here.