Please note CME Clearing will be refreshing USD CME Interest Rate Swaps (IRS) historical data in its Production environment. The changes will apply to all USD IRS and will be in effect as of December 8th in Production. Historical data for USD IRS will be refreshed to align historical data snap times between IRS and futures.
Additionally, CME Clearing is updating the volatility floors for Eurodollar and Treasury futures.
This data refresh was originally communicated on October 22, 2014 and has been available in our test environment since then. The original communication can be viewed at the link below.
If you have questions, please contact the Risk Research team at firstname.lastname@example.org or 312-648-3813.
CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.