OTC IRS Production – SOFR Discounting Transition: Basis Swap Auction Process Completed – Trades Executed

Please be advised that CME Clearing has successfully executed the SOFR Basis Swap Auction in Production and CME will book offsetting trades in the relevant Participating Account of each Participant to terminate/close out the Basis Swaps submitted to the auction. The auction proceeds when allocated to individual Participants was approximately 0.139152 basis points of gross discounting risk.

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