• OTC IRS Production – €STR Price Alignment and Discounting Transition - Effective July 15, 2020

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 20-272
      • Notice Date
      • 15 July 2020
      • Effective Date
      • 15 July 2020

    • Please be advised that CME Clearing will implement the transition of the price alignment (PA) and discounting protocols from EONIA to €STR with respect to open cleared trades in affected CME cleared products (Euro OTC IRS) after the close of business on Friday, July 24, 2020. Beginning July 27, 2020, CME will begin using €STR in price alignment and discounting of Euro OTC IRS.

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

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