• OTC IRS New Release – SOFR Discounting Transition Processing Completed

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 20-367
      • Notice Date
      • 18 September 2020
      • Effective Date
      • 18 September 2020

    • -- SOFR Discounting Transition Test Advisory --

      Please be advised that CME has successfully completed the SOFR Discounting Transition and Price Alignment processing for USD products.

      As part of this transition, CME conducted a standard end-of-day valuation cycle under Fed Funds discounting. CME then generated an IRS Discounting Transition Report (IRSDIS) providing the NPV of all trades under SOFR discounting and the corresponding cash adjustment amounts needed to account for the change in discounting rate. The IRSDIS report was posted to each firm’s secure FTP site.

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

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2025 CME Group Inc. All rights reserved.