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  • REVISED: Change to Interest Rate Swap Settlement File

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 13-403
      • Notice Date
      • 06 September 2013
      • Effective Date
      • 16 September 2013
    • Please be advised that beginning Monday, September 23, 2013, CME Clearing will revise the settlement file for the CME cleared USD Interest Rate Swap Products (filename: IRS_USD_CURVE_YYYYMMDD) to reflect only the actual tenor points used to price interest rate swaps.
       
      The revision will remove the following tenor points:
       
      Swap.USD.3M.FEDFUNDS.1D/LIBOR.3M.LIBOR01
      Swap.USD.6M.FEDFUNDS.1D/LIBOR.3M.LIBOR01
      Swap.USD.9M.FEDFUNDS.1D/LIBOR.3M.LIBOR01
      Swap.USD.1Y.FEDFUNDS.1D/LIBOR.3M.LIBOR01
       Swap.USD.18M.FEDFUNDS.1D/LIBOR.3M.LIBOR01
      Swap.USD.2Y.FEDFUNDS.1D/LIBOR.3M.LIBOR01
       
       
      If you have any questions please contact the CME Client Services Group at onboarding@cmegroup.comor (312)-338-7112
       
       
       
       
      13-403