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

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 17-311
      • Notice Date
      • 08 August 2017
      • Effective Date
      • 09 August 2017
    • As part of our continuing efforts to ensure a prudent risk management process for all products, CME Clearing will soon 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 New Release environment on Wednesday, August 9th, 2017. The Production date will be communicated at a later date.

      For the full text of the advisory, click here