• OTC IRS Advisory - COP, CLP Daily FX Rate in NR and Production

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 20-234
      • Notice Date
      • 10 June 2020
      • Effective Date
      • 10 June 2020

    • As part of continuing efforts to ensure a prudent risk management process for all products, CME Clearing will update the CME Daily FX Rate used to convert the daily Variation Margin (VM) and Price Alignment Amount (PAA) from COP and CLP into USD. This change on COP and CLP swaps will be reflected in the New Release testing environment on Wednesday, June 17th, 2020 and the Production environment on Monday, June 22.

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

       

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