• OTC IRS Production Advisory – OIS Compounding Method Change - Effective: April 7, 2019

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 19-106
      • Notice Date
      • 27 March 2019
      • Effective Date
      • 07 April 2019

    • Please be advised that CME will apply spreads as simple interest amounts for all OIS swaps cleared on April 1 and going forward. CME currently defaults to Flat compounding on all OIS floating legs, which includes the spread in the compounding calculation. CME will calculate compounded rates in accordance with the OIS formulas in Section 7.1 of the 2006 ISDA Definitions. Spreads will now be added to the compounded rate as a simple interest amount.

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

CME Group is the world’s leading 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.

© 2025 CME Group Inc. All rights reserved.