• Transition to €STR Price Alignment and Discounting for Euro OTC IRS - Effective July 24, 2020

      • To
      • Clearing Members Firms; Back Office Managers; FCM's
      • From
      • CME Clearing
      • #
      • 20-210
      • Notice Date
      • 22 May 2020
      • Effective Date
      • 24 July 2020
    • In order to support the market transition from EONIA to €STR, and consistent with the wider industry initiative to switch to €STR discounting in line with the recommendations of the ECB Working Group, Chicago Mercantile Exchange Inc. (“CME” or “CME Clearing“), pending CFTC approval, proposes to update the PA/discounting protocol for CME cleared EUR interest rate swap products from EONIA to €STR (the “Transition”). In accordance with the recommendation of the ECB Working Group and with broader industry initiatives, the Transition will follow a “single day” approach and will take effect on July 24, 2020 (the “Transition Date”), from which date all existing and new positions in such products will be subject to €STR PA/discounting.

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