• Value date for settlement variation to be added to IRSXV report - Effective June 01, 2020

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 20-191
      • Notice Date
      • 11 May 2020
      • Effective Date
      • 01 June 2020

    • The IRSXV report is a CSV-formatted datafile (comma-separated values) which provides settlement variation amounts by position account and currency, for positions in interest-rate swaps and interest-rate futures being portfolio margined together with those swaps.

      Effective Monday, June 1, 2020, at clearing firm requests, the report will be enhanced by the addition of the value date for the variation movement as a new field at the end of the record.

      Click here for the full text of the advisory

      20-191

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