• Revision to CH Advisory 20-339 Eris Swap Future Transition to SOFR Discounting

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 20-340
      • Notice Date
      • 01 September 2020
      • Effective Date
      • 16 October 2020

    • On Sunday, October 18, 2020, for the clearing cycle Monday, October 19, 2020, and pending all regulatory review, CME will transition its existing Eris Swap Futures from OIS discounting to SOFR discounting. ERIS Swap Futures contracts will continue to clear using EFFR discounting and price alignment through October 16, 2020. After the discounting transition ERIS Swap Futures contracts will be priced using SOFR discounting and price alignment.

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

       

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