As previously published in Clearing Advisory 11-277, CME Clearing will change the value date convention for banking EUR-denominated settlement variation and option premium amounts, beginning with the end-of-day clearing cycle this Friday, September 16. The change is being made to introduce greater efficiency in settlement banking.
The current convention is that the value date for such EUR-denominated amounts is the second Euro banking business day following the current clearing business date. With the change to be made beginning Friday night, the value date will be the first subsequent Euro banking business date.
The corresponding change will be made for the British Pound, the Swiss Franc and other European currencies on Friday, October 14. The Japanese Yen and other Asian currencies are not affected at this time, and will remain for now with the T+2 value date convention.
Note that this change affects only the value date for banking of settlement variation and option premium. There is no impact to the delivery timetable or process associated with CME FX futures and options, and there is no impact to trade or position processing. “Combined cash flow” processing, in which EUR settlement variation pays are taken from EUR cash collateral on deposit to the extent possible, and collects are deposited to firms cash collateral accounts, will continue to be used. The only difference that will be visible to firms is in the specific value dates which appear on banking reports. The timing of settlement bank confirmation is also not affected, and remains at 7:30am Chicago time (8:30am New York time.)
Clearing Advisory 11-277 is available at:
For more information please contact CME Clearing’s Financial Unit at 312-207-2594.
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